CME先物の上場サイクルとバックテスト用限月の選択
記事 Machine Learning for Trading
サマリー
この資料では、株価指数、米国債、エネルギー、金属、通貨、金利、農産物、畜産物、暗号資産にわたる35種類のCME先物商品の上場限月をまとめています。取引所の限月コード体系を説明し、月次、四半期ごと、商品ごとの隔月上場スケジュールを区別します。表には代表的な上場パターンを示し、株価指数と主要な米国債の四半期サイクル、エネルギー商品の月次限月、農産物や畜産物の作物・受渡しに関係するスケジュールなどを含みます。
実務上の焦点は、過去データ収集に使う限月の選択です。取引所の上場情報は取引される可能性のある限月を示しますが、データの有無はベンダーの定義と実際の取引状況によって決まり、上場済みでも期先の限月では取引がないことがあります。近い限月の連月FXは過去データが限られるため、バックテストには四半期限月のFXを推奨しています。また、期近のプラチナとパラジウムの月次限月の一部は流動性が限られる点にも注意を促しています。これは限月カレンダーとデータの利用可能性に関するメモであり、トレード戦略の証拠ではありません。掲載スケジュールは特定時点のもので、それ自体が流動性や連続限月系列の構築を保証するものではありません。
主なアイデア
- CME先物商品では、標準化された限月コードで表される月次、四半期ごと、または商品固有の受渡月スケジュールが採用されます。
- 上場限月でも、特に期先が遠い場合には取引や過去データが存在しないことがあります。
- 記載されたデータの状況では、四半期限月のFX先物の方が期近の期近限月より過去データが豊富です。
- 期近のプラチナとパラジウムの月次限月は、上場されていても流動性が限られる場合があります。
- 過去データでバックテストを行う際は、実際に流動性とデータが確認できる限月を選びます。
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# CME Futures Contract Specifications # CME Futures Contract Specifications This document captures the official CME contract specifications for the 35 products in the ML4T futures universe. Data sourced directly from CME Group website (December 2025). ## Contract Month Patterns CME uses three main listing patterns: 1. **Monthly** - Contracts for all 12 calendar months (26 consecutive months typical) 2. **Quarterly** - Mar (H), Jun (M), Sep (U), Dec (Z) plus 3 serial months 3. **Bi-monthly** - Specific months based on harvest/delivery cycles ### CME Month Codes | Code | Month | Code | Month | |------|-------|------|-------| | F | January | N | July | | G | February | Q | August | | H | March | U | September | | J | April | V | October | | K | May | X | November | | M | June | Z | December | --- ## Equity Index Futures (4 products) All quarterly: **H, M, U, Z** | Product | Name | Listed Contracts | |---------|------|------------------| | ES | E-mini S&P 500 | Quarterly (H,M,U,Z) for 5+ years | | NQ | E-mini Nasdaq 100 | Quarterly (H,M,U,Z) for 5+ years | | YM | E-mini Dow | Quarterly (H,M,U,Z) for 5+ years | | RTY | E-mini Russell 2000 | Quarterly (H,M,U,Z) for 5+ years | --- ## Treasury Futures (4 products) All quarterly: **H, M, U, Z** | Product | Name | Listed Contracts | |---------|------|------------------| | ZN | 10-Year T-Note | Quarterly (H,M,U,Z) | | ZB | 30-Year T-Bond | Quarterly (H,M,U,Z) | | ZF | 5-Year T-Note | Quarterly (H,M,U,Z) | | ZT | 2-Year T-Note | Quarterly (H,M,U,Z) | --- ## Energy Futures (4 products) All monthly: **All 12 months** | Product | Name | Listed Contracts | |---------|------|------------------| | CL | Crude Oil WTI | Monthly for 9+ years | | NG | Natural Gas | Monthly for 12+ years | | RB | RBOB Gasoline | Monthly for 3+ years | | HO | Heating Oil | Monthly for 3+ years | --- ## Metals Futures (5 products) ### Base Metals (3 products) - Monthly | Product | Name | Listed Contracts | Source | |---------|------|------------------|--------| | GC | Gold | "Monthly contracts listed for 26 consecutive months and any Jun and Dec in the nearest 72 months" | CME Verified | | SI | Silver | "Monthly contracts listed for 26 consecutive months and any Jul and Dec in the nearest 60 months" | CME Verified | | HG | Copper | "Monthly contracts listed for 24 consecutive months and any Mar, May, Jul, Sep, and Dec in the nearest 63 months" | CME Verified | ### PGM (2 products) - Quarterly | Product | Name | Listed Contracts | Pattern | Source | |---------|------|------------------|---------|--------| | PL | Platinum | "Monthly contracts listed for 3 consecutive months and any Jan, Apr, Jul, and Oct in the nearest 36 months" | F, J, N, V | CME Verified | | PA | Palladium | "Monthly contracts listed for 3 consecutive months and any Mar, Jun, Sep, Dec in the nearest 36 months" | H, M, U, Z | CME Verified | **Note**: PL and PA use quarterly patterns, NOT monthly like GC/SI/HG. Near-term monthly contracts have limited liquidity. --- ## Currency Futures (7 products) ### G10 Currencies (6 products) Quarterly: **H, M, U, Z** (plus 3 serial months for near-term) | Product | Name | Listed Contracts | Source | |---------|------|------------------|--------| | 6E | Euro FX | "Quarterly contracts (Mar, Jun, Sep, Dec) listed for 20 consecutive quarters and serial contracts listed for 3 months" | CME Verified | | 6J | Japanese Yen | Same pattern as 6E | Inferred | | 6B | British Pound | Same pattern as 6E | Inferred | | 6A | Australian Dollar | Same pattern as 6E | Inferred | | 6C | Canadian Dollar | Same pattern as 6E | Inferred | | 6S | Swiss Franc | Same pattern as 6E | Inferred | **Note**: Serial months (non-quarterly) have limited historical data. For backtesting, use quarterly contracts only. ### Emerging Market Currencies (1 product) Monthly: **All 12 months** | Product | Name | Listed Contracts | Source | |---------|------|------------------|--------| | 6M | Mexican Peso | "Monthly contracts listed for 13 consecutive months and 2 additional quarterly contracts (Mar, Jun, Sep, Dec)" | CME Verified | --- ## Interest Rate Futures (1 product) | Product | Name | Listed Contracts | |---------|------|------------------| | SR3 | Three-Month SOFR | Monthly (all 12 months) - IMM quarterly + serial months | --- ## Agriculture Futures (5 products) | Product | Name | Contract Months | Pattern | |---------|------|-----------------|---------| | ZC | Corn | H, K, N, U, Z | Mar, May, Jul, Sep, Dec | | ZS | Soybeans | F, H, K, N, Q, U, X | Jan, Mar, May, Jul, Aug, Sep, Nov | | ZW | Wheat | H, K, N, U, Z | Mar, May, Jul, Sep, Dec | | ZM | Soybean Meal | F, H, K, N, Q, U, V, Z | Jan, Mar, May, Jul, Aug, Sep, Oct, Dec | | ZL | Soybean Oil | F, H, K, N, Q, U, V, Z | Jan, Mar, May, Jul, Aug, Sep, Oct, Dec | --- ## Livestock Futures (3 products) | Product | Name | Contract Months | Pattern | |---------|------|-----------------|---------| | LE | Live Cattle | G, J, M, Q, V, Z | Feb, Apr, Jun, Aug, Oct, Dec | | HE | Lean Hogs | G, J, K, M, N, Q, V, Z | Feb, Apr, May, Jun, Jul, Aug, Oct, Dec | | GF | Feeder Cattle | F, H, J, K, Q, U, V, X | Jan, Mar, Apr, May, Aug, Sep, Oct, Nov | --- ## Crypto Futures (2 products) Monthly: **All 12 months** | Product | Name | Listed Contracts | |---------|------|------------------| | BTC | Bitcoin | Monthly for nearest months + quarterly | | ETH | Ether | Monthly for nearest months + quarterly | --- ## Data Collection Notes ### Source ### Important Distinction **CME Listed Contracts** vs **Databento Available Data**: - CME lists what contracts CAN trade - Databento definition data shows what contracts ARE actively trading - Far-deferred contracts may be listed but have no trades (no data) - For historical backtesting, use the pattern that matches liquid contracts ### Serial vs Quarterly Months For FX futures (6E, 6J, etc.): - **Quarterly** (H, M, U, Z): Full historical depth, most liquid - **Serial** (non-quarterly): Only near-term, limited history - **Recommendation**: Download quarterly only for backtesting --- ## Configuration Summary For the `individual_contracts.yaml` download config: | Category | Products | Pattern | Months | |----------|----------|---------|--------| | Equity Index | ES, NQ, YM, RTY | Quarterly | H, M, U, Z | | Treasury | ZN, ZB, ZF, ZT | Quarterly | H, M, U, Z | | Energy | CL, NG, RB, HO | Monthly | All 12 | | Base Metals | GC, SI, HG | Monthly | All 12 | | PGM | PL | Quarterly | F, J, N, V | | PGM | PA | Quarterly | H, M, U, Z | | G10 FX | 6E, 6J, 6B, 6A, 6C, 6S | Quarterly | H, M, U, Z | | EM FX | 6M | Monthly | All 12 | | Rates | SR3 | Monthly | All 12 | | Grains | ZC, ZS, ZW | Bi-monthly | Specific | | Oilseeds | ZM, ZL | Bi-monthly | Specific | | Livestock | LE, HE, GF | Bi-monthly | Specific | | Crypto | BTC, ETH | Monthly | All 12 | --- *Last updated: 2025-12-20*
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