No registration required! (Why?)

Continuous Contract and Rollover questions?


Hello all,

Relatively newbie trader here, first off just want to say thanks to all participants in this forum. The info here has helped me in my trading very much.

But I am having some trouble trying to figure out how to handle
rollover and merging of front month or continuous contracts. I am not sure if any of you do this also, but I like to look back in time at the last time current price levels traded during RTH and use the VAH, POC, VAL and O,H,L,C of those days(especially if left untested) to look for possible entries/exits.

Yesterday is the perfect example, a nice size gap up into 5/31/11's range approximately, now the September contract wasn't the front month at that point. So would you use what price levels were traded on the september contract which would be about 4-5pts lower, or would you use the front months at that time (which would have been June 11 contract) Value Areas and O,H,L,C?

It appears like the June numbers worked well yesterday, as the 5-31 open gap was filled to the tick, which ended up being the low of day and then pushed higher. So it seems it respects the continuous contract numbers as opposed to the front month?

But I hear arguments for both sides and there's so much info out there I seem to be getting more confused. I would just like to keep it as simple as possible if I can.

I am currently using Ninja 7 with Zen-Fire and ToS if that helps at all.

Just wondering how anyone here deals with this issue.

Thanks in advance,
I've struggled with the same thing since the 1990's. Continuous contract ... and the pricing of past expired contracts looking back in time. I'd be interested in inputs from anyone who has delved into the comparisons and in what way ... in terms of types of analysis (ex. drawing in price support and resistance lines etc.)

[Also, what would probably be another topic is dealing with RTH vs. All Trading Hours in analysis ... but maybe there's just a slight bit of dovetailing here.]

As for contract rollovers and what to use ... I tend to stay with continuous contract analysis ... BUT, during the first week or so after rollover, I look at both ... then typically flush past contracts from my charts and analysis. Hope some folks here have some better input than I've offered.

MM
In my opinion you use the underlying instrument for long term analysis, for example the S&P500 index and then the current contract for the execution and the short term analysis. For example, if you're trading off a support line that was established months ago then you use the futures offset against the cash index to calculate where that price is in the futures and then trade it in the futures when the price hits there.

Just my opinion. I have not done any back testing to support this opinion so it's just that.
Thanks guys for the input, sorry for the late reply. My DSL modem died over the weekend, so I had to wait for a new one to arrive.

Personally so far I have found that the basic market profile numbers (VAL, POC, VAH) have been relatively effective for whatever front month contract is trading. Obviously I need to back test this much further and given the fact I am still a newbie trying to find a trading strategy that suits my style.

Daytrading, that's an excellent point regarding using the cash markets for longer term. Maybe the SPY would be a good option since it has actual volume traded behind it?

Thanks again guys, sorry if this is newbie stuff, apprectiate the help!