Selecting Main Continuous Futures Contracts for Backtests

Summary

This support answer explains how to choose futures contracts in a template strategy. The template requires a specified contract list for a targeted backtest; leaving the list empty passes all contracts rather than selecting a single main contract. The answer recommends using a main-contract continuous series when the goal is to follow the active contract over time.

It distinguishes two series conventions: the 8888 continuous series may have price jumps when the lead contract changes, while the 9999 adjusted series is described as continuous and aligned to the latest main contract's price. It illustrates the setup with a rubber futures example. The document addresses contract selection and historical price continuity, but it does not describe roll execution, adjustment methodology in detail, or how adjusted prices affect simulated fills and returns. Those limitations matter when interpreting backtest results.

Key ideas

• The template strategy requires a specified contract list to target contracts in a backtest.
• An empty list passes all contracts rather than selecting one main contract.
• The 8888 continuous series is described as having jumps on contract-switch dates.
• The 9999 adjusted series is described as price-continuous and referenced to the latest main contract.

Tags

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