So I have Time Series data for Gas Spot and Futures Prices (first 6 front quarters and first 3 front years) from 2009-2019 and I want to evaluate the performance of a 3- year static hedge vs. 3- year Rolling hedge. Say I have a yearly need of 100’000 barrels of oil. So my plan was to pick a point in 2009 say 1.1 and then for the static hedge I would buy the futures for delivery at 1.1 2010, 1.1 2011 and 1.1 2012. Then on the 1.1 2010 I would sell the futures, buy the 100‘000 barrels on the spot market and buy the futures with delivery 1.1. 2013. Next year at 1.1. 2011 I would buy the 100‘000 barrels at the spot, sell the futures and another futures with delivery 1.1.2014 and so on.
For the rolling the hedge forward strategy I would buy 3*100‘000 front year so if I buy at 1.1. 2009 the delivery would be 1.1.2010. On the date of delivery I would buy 100‘000 at the spot sell all the futures contracts and buy another 3*100‘000 futures with 1.1.2011 delivery and so on.
Finally I would then compare the costs of this strategy. My questions are now is this methodlogy correct? And how could I determine the fraction of futures to be purchased?