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rbind and duplicates in monthly futures

6 messages · Peter Neumaier, Joshua Ulrich, Brian G. Peterson

Original
Peter Neumaier
# 
Hi all, I am trying to rbind monthly futures to a continuous time series to
be run through an algo strategy. The problem here is that data is
overlapping, i.e. my Feb contract trades for 6 weeks and when I rbind with
my March data I get an overlap for last two weeks of Jan.

How can I create a time series that is continuous, not overlapping and
useable in quantstrat (i.e. XTS format)? I am not posting any code as it
would be really one single rbind statement.

Thanks
Peter
Joshua Ulrich
#
On Mon, Apr 4, 2016 at 7:24 AM, Peter Neumaier <peter.neumaier at gmail.com> wrote:
Even though the code may be simple, you still would be more likely to
receive help if you provide a minimal reproducible example of the
issue.  In this case, the data are not simple, and most people will
not take the time to construct sample data in order to attempt to
reproduce the issue you describe.

  
    

      
      
    

  


  


      

    

    
1 day later

    

      
      

        


  

        

      Peter Neumaier
    

    

      
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Hi all, in the interim I've managed to import the halfhourly data, cast to
a matrix, then rbind the two months
and convert to XTS for later use by my algo strategy.

I am wondering how the data overlap will be treated by the quantstrat
framework and how
it might be impacting the calculations (i.e. P&L during overlaps).

Below the files and the code I am using:

APR <-
as.matrix(read.zoo("NGF201404_6weeks30mins.csv",sep=",",tz="",header=T))
MAY <-
as.matrix(read.zoo("NGF201405_6weeks30mins.csv",sep=",",tz="",header=T))

APR_MAY <- as.xts(rbind(APR,MAY))


http://tempsend.com/BBA86DB4ED

http://tempsend.com/0EDA07753B

Thanks
Peter

On Mon, Apr 4, 2016 at 2:30 PM, Joshua Ulrich <josh.m.ulrich at gmail.com>
wrote:

            

      
      
      
    

        

      
      
    

            

      
      
      
    

        

  
  


  


      

    

    
1 day later

    

      
      

        


  

        

      Joshua Ulrich
    

    

      
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On Tue, Apr 5, 2016 at 3:06 PM, Peter Neumaier <peter.neumaier at gmail.com> wrote:

            

      
      
      
    

        
It wasn't clear to me from your original question, but I can now see
that you want to create a single continuous futures series using
adjacent futures contracts.  As you probably guessed, the overlap in
data in your APR_MAY object would be very bad.

There is not a single correct way to create a continuous futures
series for every futures market.  You could roll to the next contract
when the current contract expires, when volume or open interest in the
current contract drops below some threshold over the next contract's
volume or open interest, etc.

I realize this doesn't completely answer your question... because your
question is not just about programming.  It's also about the
microstructure of the market you're researching.  Searching for
"continuous futures" or "futures roll" should help give you some ideas
about how to solve the problem for this specific futures market.

            

      
      
      
    

        

      
      
    

            

      
      
      
    

        

  
    

      
      
    

  


  


      

    

    

      
      

        


  

        

      Peter Neumaier
    

    

      
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I agree, I could have been more explicit about the nature of my problem and
the specific issue arising from the decision of
when/how to roll futures contracts.

However, I was hoping for a workaround within the quantstrat framework that
might help me. My research shows
that the last six weeks of my traded contract are the most liquid period
over lifetime. As a result, I end up wth an overlap of two
weeks, where in practical terms I would be trading two contracts: the
actual frontmonth and the following month.

Currently, I am backtesting each contract separately, ending up with
monthly output, which is not 100% satisfying as I'd like to
evaluate the yearly performance and not look into monthly output.

Is there a way to overcome the issue of overlapping periods, i.e. run the
data for the actual frontmonth (six weeks) and continue thereafter
with the overlap period, essentially forcing sequential execution of the
time series instead of merging the two months and mix
the data during the overlap period? I hope I am not confusing you further.

Thanks
Peter



On Thu, Apr 7, 2016 at 1:57 AM, Joshua Ulrich <josh.m.ulrich at gmail.com>
wrote:

            

      
      
      
    

        

      
      
    

            

      
      
      
    

        

  
  


  


      

    

    

      
      

        


  

        

      Brian G. Peterson
    

    

      
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You need to decide how you want to roll.  You're telling us that you'll
trade two contracts simultaneously.  That's different from all the
standard roll algorithms.  

You've confirmed what Josh told you by saying you don't want to create a
continuous series.

You should subset your data over the periods you want to trade before
calling quantstrat.  quantstrat loops over instruments, so it will trade
them when the data is available. 

I don't understand your query about summarizing results.  If they are
cash P&L recorded in the portfolio or account, they will be at whatever
frequency you market the portfolio at, typically at least daily.  You'll
probably pull then using something like dailyEqPL or dailyTxnPL or
dailyReturn or dailyStats.

You can summarize and display your results however you like, and there
are a host of tools in blotter for price/cash space and
PerformanceAnalytics for %-returns space.  Very few of them presume
monthly summaries except for the few standardized fund returns tables.

Regards,

Brian