Lets say I am doing a spread of July vs. December of CL.
I downloaded some historical data from Bloomberg.
Lets take the year 2001 as an example:
On 6/21/2000, CLN01 started to be available for trading.
On 11/20/2000, CLZ01 started to be available for trading.
On 6/21/2001, CLN01 ceased to exist and CLN02 started to kick in.
So from 11/20/2000 to 6/21/2001, both CLN01 and CLZ01 are available and I can form a matching spread.
But after 6/21/2001, it became CLN02 vs. CLZ01, which lasted until 11/20/2001, when CLZ02 replaced CLZ01.
So my question is: do I only trade the spread from 11/20/2000 to 6/21/2001? What's the potential pitfall there?
Can I trade the spread between CLN02 vs. CLZ01 from 6/21/2001 to 11/20/2001 althought they seem to be not a matching pair?
Or maybe it just doesn't matter.
My goal is to do backtest using historical data and then trade the spreads...
Any thoughts would be highly appreciated! Thank you!
I downloaded some historical data from Bloomberg.
Lets take the year 2001 as an example:
On 6/21/2000, CLN01 started to be available for trading.
On 11/20/2000, CLZ01 started to be available for trading.
On 6/21/2001, CLN01 ceased to exist and CLN02 started to kick in.
So from 11/20/2000 to 6/21/2001, both CLN01 and CLZ01 are available and I can form a matching spread.
But after 6/21/2001, it became CLN02 vs. CLZ01, which lasted until 11/20/2001, when CLZ02 replaced CLZ01.
So my question is: do I only trade the spread from 11/20/2000 to 6/21/2001? What's the potential pitfall there?
Can I trade the spread between CLN02 vs. CLZ01 from 6/21/2001 to 11/20/2001 althought they seem to be not a matching pair?
Or maybe it just doesn't matter.
My goal is to do backtest using historical data and then trade the spreads...
Any thoughts would be highly appreciated! Thank you!
