Futures Backtest Drawdowns Around Lead-Contract Rolls
Summary
The post raises a futures backtesting issue: unusually large drawdowns may coincide with price gaps when the lead contract changes. The author wants to identify roll dates and avoid trading on those dates, but the post does not provide a method for detecting the change or implementing the exclusion.
There is no supporting analysis, data, or proposed solution in the captured content. It frames a useful research question about how contract-roll handling can affect backtest results, while leaving open whether skipping roll dates is appropriate and how that choice might alter strategy performance. Researchers would need to define the roll schedule or detection rule and test the impact against consistently constructed continuous-contract data.
Key ideas
- Lead-contract changes can create price gaps that appear as sharp drawdowns in a backtest.
- The post asks how to identify contract replacement dates but supplies no detection procedure.
- Excluding roll dates is proposed as an idea, not validated as a reliable adjustment.
- Roll handling should be evaluated against the construction of the futures data series.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.