As you know Futures instruments have an expiration date and a rollover date, being the last one a week before. The problem that I've found trading and backtesting is that very often when the rollover kicks in, the new contract still doesn't have the same liquidity than the previous one which will be expired in a week, so as you can imagine you can have totally different trades and results depending on which contract you're working on. It seems that working with the new contract as soon as rollover date kicks in could be very detrimental because liquidity is not quite complete.
Doing backtesting with merge data, I've solved this by moving manually the rollover date for the next opening on Sunday at 6pm. This is not an issue of NT but is good to know these things.
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