Rolling Contracts in Multi-Product Futures Backtests

Summary

This discussion raises practical questions about backtesting strategies across multiple futures products with different expirations. It asks whether a system can switch automatically to the next active contract before expiry, how to test periods longer than an individual contract’s life, and whether products can be ranked or forecast across contracts. It also reports an out-of-range date assertion when the strategy does not specify a contract.

The page mentions using back-adjusted data for research and includes an example strategy on a single product, but does not provide a complete roll procedure or a resolved answer to the reported error. It therefore identifies contract selection, roll handling, and continuous-series construction as issues that a multi-year futures backtest must address, without establishing how the platform handles them or discussing roll costs and adjustment bias.

Key ideas

• Multi-product futures backtests must account for differing contract expiration dates.
• The discussion asks whether the backtest can roll automatically to the next active contract.
• An unspecified contract reportedly triggered an out-of-range date assertion.
• Back-adjusted data is mentioned for research, but no complete rolling method is provided.
• The post does not resolve contract ranking, roll implementation, or associated backtest limitations.

Tags

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.