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I have many doubts about Which roll date and price adjustment should I use. I need to backtest like 50 diferents futures. 6 index(mini sp500, Nikkei 225…), 10 Agriculture (soybean, Oat, Corn….),3 Meats (live Cattle, Lean Hog, Feeder Cattle), 8 Currencies (yen , Australian Dollar, Pound, Swiss Franc…), 5 Metals (Silver, Gold, Palladium…), Treasury Notes (10 years, 5 years…), Us Bond 30 year and some more…

My backtest is for 15 years from 2000 to 2015. I have choosen the backward Panama canal method, rolling with the open interest switch and with a depth #1 in all of then.

My question is…Is that correct? Or I should use differents kind of methods for the differents kinds of futures(agricultures, metals, currencies…)

Another question is that the SCF FUTURES of some futures have gaps in the graphics. There are severals with this gaps between 2009 until 2012 (the mayority of the currencies and the agricultures futures) . The example below is the yen future.

enter image description here

I don’t know why produce this gaps or undiscontinuous bars.

Thank you very much for your time .

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I would first take a look at Quandl SCF Roll Methodology (if you haven't done so already). In my own personal backtests I have used weighted rolls based on either the last trading day or the first day of the month, simply because I prefer the determinism of when the roll takes place and how it is to take place. The other advantage of this weighted roll is that it can smooth the price gaps between months, just because if the spread between first and second month is big, this approach eases into the second month over a couple of days.

On the other hand, the guy that wrote this post prefers no adjustment, because the "rollover gaps are treated just like traditional gaps and have a very high probability of being filled at some point in the future." That's a common belief in the world of technical analysis, and if you agree then you might also prefer an unadjusted roll methodology.

TLDR: At the end of the day, it depends on a combination of what you're trying to do and your personal preference. Just make sure you know what's going on with your chosen roll methodology.

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  • $\begingroup$ If you roll slowly, then you are essentially adding a spread position to your portfolio. $\endgroup$ – will Oct 20 '18 at 13:05

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