Stocks & Commodities V. 42:07 (35, 39): Algo Q&A by Kevin J. Davey
Product Description
Algo Q&A by Kevin J. Davey
SMOOTH ROLLOVERS
I am trading an automated long position. The issue I am having is I may still be holding long when the contract is expiring. I have been selling the contracts I have and closing out the position at expiration. But this is messing up my strategy, as I am potentially holding the position for longer timeframes. Is there a workaround? How can I flip to the new-month contract and keep the strategy active?
These are questions many futures traders have regarding rollovers. The crucial point to remember is that the strategy itself does not know you performed a rollover ...
SMOOTH ROLLOVERS
I am trading an automated long position. The issue I am having is I may still be holding long when the contract is expiring. I have been selling the contracts I have and closing out the position at expiration. But this is messing up my strategy, as I am potentially holding the position for longer timeframes. Is there a workaround? How can I flip to the new-month contract and keep the strategy active?
These are questions many futures traders have regarding rollovers. The crucial point to remember is that the strategy itself does not know you performed a rollover ...
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