Rolling contracts

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Ben
 
Posts: 2
Joined: Sun Sep 09, 2018 8:28 pm

Rolling contracts

by Ben » Mon Sep 10, 2018 6:38 pm

Hi,
Is it possible to specify when each contract is rolled when backtesting strategies that involve longer holding periods of individual contracts?
Thanks
Ben

Roman
 
Posts: 96
Joined: Tue May 14, 2013 12:59 pm

Re: Rolling contracts

by Roman » Wed Sep 12, 2018 7:42 am

Hi Ben, sorry this is not possible

Ben
 
Posts: 2
Joined: Sun Sep 09, 2018 8:28 pm

Re: Rolling contracts

by Ben » Wed Sep 12, 2018 10:31 am

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!

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