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Backtesting commodity futures


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Backtesting commodity futures

  #1 (permalink)
kobo
Sofia,Bulgaria
 
Posts: 7 since Jun 2021
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Hi guys,

If you backtest strategies in commodity futures, do you use back-adjusted data or do you perform the backtesting for every single contract (for example instead of back-adjusting all the crude oil futures contracts for 2021, test the strategy separately on clf21, clg21, clh21 etc.)?

I use the latter method which I find OK for short term price swings which do not require rolling over (but also I know that I am working with real data).

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  #2 (permalink)
 havo9999 
Sydney, Australia
 
Experience: Advanced
Platform: Old school
Trading: Futures trends
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kobo View Post
Hi guys,

If you backtest strategies in commodity futures, do you use back-adjusted data or do you perform the backtesting for every single contract (for example instead of back-adjusting all the crude oil futures contracts for 2021, test the strategy separately on clf21, clg21, clh21 etc.)?

I use the latter method which I find OK for short term price swings which do not require rolling over (but also I know that I am working with real data).

I am using back adjusted time series from CSI Data. My holding periods may be longer than yours so it suits me.

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  #3 (permalink)
MattATM
Paducah KY United States
 
Posts: 7 since Sep 2021
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kobo View Post
Hi guys,

If you backtest strategies in commodity futures, do you use back-adjusted data or do you perform the backtesting for every single contract (for example instead of back-adjusting all the crude oil futures contracts for 2021, test the strategy separately on clf21, clg21, clh21 etc.)?

I use the latter method which I find OK for short term price swings which do not require rolling over (but also I know that I am working with real data).

I am not knowledgeable in how commodities contracts are organized.
Would the difference between backtesting the contracts in separate dates be the mechanism that they are exercised and the dates roll over or is there more complexity here?

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Last Updated on October 13, 2021


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