Take Copper as an example. LME futures are in fact forwards, rolling every day. They don't have the monthly futures, e.g. LPF1, LPG1, LPH1, etc. (using Bloomberg symbology) So how to trade the LPF1, LPG1, LPH1, etc. ? Thank you!
I trade them quite a few different ways. Perhaps the one which might be least-unobvious, is to trade the LME metals using mechanical systems using systems whose calculations employ the "Close" price only, i.e., they don't use the Open or the High or the Low; and which trade at prices defined by MOO or MOC or VWAP orders (rather than Stop or Limit orders) using systems whose average trade hold time is many months, thereby reducing the significance of the difference between the spot price and the forward price. If the average win and the average loss (and the average trade) is more than a dozen ATRs, then a half ATR here or there is not a life or death proposition.
you are trading the rolling forwards, or the specific-date contracts targeting at the 3rd Wed in each month?