Calendar Spread

[carlosavellan]

Marco, I am trying to backtest a strategy based on some "fundamentals" as well, I have a few questions you may be able to help me based on your experience:
1) May I know what data feed you are using for the COT data? Is it a reliable? Does it include Open Interest?
2) Have you been able to backtest on daily charts with the COT weekly data?
3) For time spreads, what "distant" contract month works best in your strategies?
4) Have you had any success with this approach?

[marcoheimann]

Hi Carlos,

1) May I know what data feed you are using for the COT data? Is it a reliable? Does it include Open Interest?
http://www.tradecot.com/
It is reliable for what I do, ie. updates are on time and historical data seems accurate (I compared some points with a few other sources)

2) Have you been able to backtest on daily charts with the COT weekly data?
Yes. It works just like any multi-time stategy in Ninja.

3) For time spreads, what "distant" contract month works best in your strategies?
I'm not sure to understand the question well. I usually use the price difference between the two most liquid months if that helps.

4) Have you had any success with this approach?
I have 3 COT strategies that are quite good in backtests. However I happen to trade only one live for the moment. The live trading results are within the limits of backtests but only four trades so far.

Thanks for you interest and don't hesitate to ask more.

Marco