Trading contracts that expire – e.g. oil
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.
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?
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.
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