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Trading contracts that expire – e.g. oil

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mikeyc

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5 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

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stearno

Customer, bbp_participant, community, 382 replies.

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5 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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