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"roll your own" LME futures contracts

Posted: Mon Sep 06, 2010 5:19 pm
by trader20
Here’s an idea for backtesting LME contracts. Specifically, generating a price series that matches what you would actually trade in the real world. I have no experience actually trading LME, but from my understanding of how it works, it seems like the following would be possible.

If you had access to every price for every prompt date for the backtest period then you could:

Create your own “normalâ€