testing futures for rolls

Discussion in 'Automated Trading' started by Jgills, Apr 21, 2012.

  1. Jgills


    i'm running a back test in excel and i'm having a little trouble so i'm seeking some help.


    my data is from bloomberg. I used the "generic" future tickers such as UX1, UX2, UX3 etc. and what this does is it pulls the front month contract for ux1, 2nd month for ux2 and so on. I also have a column that shows what the underlying contract is for that ticker, so that i can monitor when roll dates are , (i.e UX2 switches from a May contract to a June contract.

    I am trying to figure out a way to tell my model that if it puts a trade on, it needs to look if it is holding over a roll period, and if it is then it needs to match the price it is pulling on day 1 to the price of the same contract on the trade close date.

    Has anyone worked with this problem before? if so, what was your solution?

  2. This is why they invented continuous contracts. You need to examine the pros and cons of continuous data and see if they will work for you.

    Also, I would not be doing this is excel. Some platforms are designed to back-test futures and handle rollover issues.
  3. Jgills


    i'm not sure if you understand my question. i don't mind if im trading the day before a roll, i just want to make sure my system knows that and can give me the trading exit price based on the contract i traded and not based on the contract that is now designated as ux2 in bloomberg.