Futures · Building a futures strategy · lesson 3 of 9 · 7 min read · David Alexander
Rolls in the backtest
the simulated roll
The backtest executing the rule's written roll policy: exposure migrated on the stated dates, the month gap charged at the historical basis, the roll's own round turns and spreads paid, and the test run on data whose construction the rule's questions permit. The seed's explicit demand - roll dates in the backtest - and the single commonest omission in amateur futures testing.
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.