Traders' Roundtable

For a long-term trend following system (turtle-like), anyone has any idea which is the optimum contract month to hold for STIRs. All of them are fairly liquid with large OI from the current contract month to the all the quarters 2-3 years ahead.

Isn't that something you could investigate by running backtests and comparing results? Build 12 different continuous contracts with 12 different rollover schedules (roll 0 month before expiry, roll 1 month before expiry, roll 2 months before expiry, ...) and squirt those continuous contracts thru some trading systems.

Here's another idea to consider: for those STIRs that you feel are super-duper extra liquid, don't trade some of the contract months. If the exchange offers 12 contracts per year, consider rolling over 6X per year instead of 12X. Don't even trade 6 of the contract months. Or why stop there; roll 4X per year.

He already solved this question hundreds of years ago.
Simplifying his suggestions, it is worth to reduce more the possible numbers of rollovers.
Why not? Less Fee, less slippage.
Doing this research, you will also find that not all active months are used by traders, especially in Grain Futures.