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I want to run an automated strategy on indices. But most of indices are traded via futures. How can I run an auto strat with the problem of month contract if there is no "rolling". Example if I have a long signal on Dax, I buy a march contract but when the contract expiries, the strat is flat? I use MC, have I to specify all the contract name?
Thank u for your advices!
Can you help answer these questions from other members on NexusFi?
Your strategy needs to run on backadjusted futures, as the offset compensates for false rollover gains or losses. Multicharts allows you to create backadjusted futures on volume rollover.
If you trade real money you will need to roll your position on rollover day.
