Commodities · Building a commodity strategy · lesson 6 of 9 · 8 min read · David Alexander
The bill goes in the test: roll and financing inside expectancy
net expectancy
Expectancy computed after every cost the rule's design incurs: spread and slippage on each trade, and - for any rule that holds - the roll and financing charges accrued over the holding period. A backtest that skipped these costs tested a different rule. That sentence is this module's central claim, and this lesson exists to make it unmissable.
This lesson is part of the advanced modules.
Modules 6 to 8 are included with a paid account. The definitional summary above is the whole of this page until then.