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Rolling contracts
Posted:
Mon Sep 10, 2018 6:38 pmby Ben
Hi,
Is it possible to specify when each contract is rolled when backtesting strategies that involve longer holding periods of individual contracts?
Thanks
Ben
Re: Rolling contracts
Posted:
Wed Sep 12, 2018 7:42 amby Roman
Hi Ben, sorry this is not possible
Re: Rolling contracts
Posted:
Wed Sep 12, 2018 10:31 amby Ben
Thanks very much. How many days before expiry then are contracts rolled during backtests? If I wanted to backtest buying Wheat and shorting corn for several months each year and the Wheat contract expires during this trade then I need to roll the position before I exit, how is this factored into backtesting? Or does each trade only consist of 1 expiry?
Many thanks!