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Date/Time: Mon, 25 Nov 2024 03:06:51 +0000

Post From: Contineous Futures Contract and backtesting/replay

[2024-04-13 14:23:34] Link To Thread - Link To Post [Go To First Post]
Sawtooth - Posts: 4120
1) I don't use continuous contracts. I roll manually on the Monday after 'rollover Thursday'. Coincidentally, this usually matches with a volume rollover. And I don't trade during rollover week. 2) I don't use continuous contracts when backtesting. I backtest each contract separately. The backtest start date is the Monday after 'rollover Thursday', and the end date is the Friday before rollover week. 3) Excluding dates doesn't cause any issues that I'm aware of. To see when the volume of the new contract exceeds the old, use the attached chartbook during rollover week.
1x Thank you
Volume at rollover.Cht - Attached On 2024-04-13 14:23:28 UTC - Size: 8.61 KB - 198 views