Hey everyone,
Trying out a simple “Buy & Hold” strategy on futures. Seems to work just fine with the E-mini S&P futures, but nothing happens with Treasury futures. The gist of it is the following:
- If I'm not invested, check when the active contract expires. If it expires in more than 5 days, take it, otherwise, get the following contract.
- If I'm already invested, roll to the next contract, 2 days before expiry.
Thanks for your help !
Nicolas
Alexandre Catarino
Hi Nicolas Voisin ,
ZN does not belong to the CME market, but to CBOT.
If you do not define the market (use None):
the engine will find the right market and the backtest will execute as expected.
Best regards,
Alex
Nicolas Voisin
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