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For futures contracts, do we need to do price adjustment during live testing?

I am trying to do pair trading on a pair of future contracts, e.g. CME gold and silver. During the training of my trading model, I do forward adjustment on the pair of future contracts. Let the ...
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IMM rolls: Are there special business day conventions?

If a trade (lets say for example a 'simple' interest rate swap) is using IMM rolls (so the interest calculation periods start and end on IMM Wed dates), are there particular/special business day ...
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347 views

ETF Negative Roll Yield

I have a quick question about the ETF Roll Yield. As we all know commodity ETF’s have struggled with contango (spot price is below futures prices on the term structure). Look at an ETF like USO which ...
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492 views

Continuous returns for negative roll-adjusted futures data

I've generated roll adjusted notional futures data by adding a roll adjustment to the settlement price then multiplying by contract multiplier through time. For example, for crude oil CL, on 15 March ...