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What did you do in testing? Do the same in real time.
I would say otherwise it doesn't matter that much, as long as you always apply
the same rule. If you consider the expiring contract, always do so, and vice
versa. However, keep in mind your position needs an exit signal. If the new
contract doesn't count you in, it won't be able to let you know when to get
out... My approach is to close old positions, and reopen new ones only if the
new contract confirms so.
Gwenn
| -----Ursprungliche Nachricht-----
| Von: gmtac [SMTP:gmtac@xxxxxx]
| Gesendet am: Wednesday, September 29, 1999 9:16 AM
| An: omega-list@xxxxxxxxxx
| Betreff: Real trading problem
|
| Trading a portfolio with a simple channel brk out I am in trouble with
| eurodollar.
| December 1999 contract is flat while march 2000 is long...what to do?
| Can anybody you help me please?
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| Thank you
| Mario
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