how do you handle futures roll-over?

[mizhael]

Quote from intradaybill:

If you want to backtest reliably you should do that only with your own code. Most programs operate based on assumptions you do not even know what they are. Some skip trades, others take trades they should not. Try testing a few different backtesting programs with the same system and data and you will see what I mean. I never got the same results.

I also found that problem.

I am trying to get LIM/XMIM work on backtesting futures ...

 

[mizhael]

Quote from meanreversion:

Pinnacle data provide their own chosen rollover dates for their continuous futures; with CSI you can select how you want the system to rollover.

The three methods of stitching a series together are

non-adjusted (like it sounds)
back adjusted ... e.g. the front contract changes and increases by 5 points, go back and increase everything before by 5 points
ratio adjusted ... similar to back adjusted, but shift by a percentage move, in order to avoid negative data.

When you do back-test futures spreads, let's say we are doing a Crude/BRENT spread,

they don't expire at the same time.

what shall I do?

Of course we can define a roll-date to roll them both at the same time,

but when we roll, how do we handle those cash in-and-out due to rolling, in back-test?