Trading contracts that expire – e.g. oil
1 replies
mikeyc
8 years ago #114270
Thinking about use SQ for trading things like oil, that have defined contract start and end dates.
These contracts have no rollover. On the contract expiry date, at the expiry time, the broker simply closes them, at profit or loss regardless.
Expiration Dates
US Oil
UK Oil
NGAS
2015
17-Dec
15-Dec
23-Dec
15-Jan
14-Jan
27-Jan
18-Feb
11-Feb
24-Feb
18-Mar
13-Mar
26-Mar
14-Apr
14-Apr
27-Apr
15-May
13-May
26-May
18-Jun
12-Jun
25-Jun
17-Jul
15-Jul
28-Jul
18-Aug
13-Aug
26-Aug
21-Sep
14-Sep
25-Sep
16-Oct
14-Oct
27-Oct
18-Nov
12-Nov
24-Nov
How to intelligently setup SQ with this in mind? I am thinking that knowing the contract is going to expire might affect when you exit a position and prevent opening a position too close to expiry date?
Anyone any thoughts on this?
Cheers,
Mike
stearno
8 years ago #133166
I was thinking about this today actually. Basically, I have seen data providers provide “continuous contracts” where they combine it all into one dataset for backtesting. I Google it and this first article I saw. I like this guy so thought it’s a good place to start. But basically this is the goal you need and then it can be imported into SQ.
https://www.quantstart.com/articles/Continuous-Futures-Contracts-for-Backtesting-Purposes
Stearno
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