"roll your own" LME futures contracts

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trader20
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Joined: Fri Mar 26, 2010 10:57 pm

"roll your own" LME futures contracts

Post by trader20 » Mon Sep 06, 2010 5:19 pm

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€

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