Is anyone aware of any good articles or books addressing monthly data in mechanical futures systems? More specifically, articles or books discussing how to handle indicators that span contract months, which months to trade, roll-over criteria, etc.? I am not so much concerned about constructing continuous data as I am the proper way to address monthly data for a live mechanical trading engine.
Thanks to any and all who maybe able to share any insights.
Discussions about the testing and simulation of mechanical trading systems using historical data and other methods. Trading Blox Customers should post Trading Blox specific questions in the Customer Support forum.
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