Contract Diversification
Posted: Mon Feb 09, 2004 12:12 pm
How do you gentlemen feel about diversifying across contract months?
In my opinion you are confusing diversification with rollover.
One simple rule for rollover is the one used by CSI (if I'm not wrong) for back-adjusting futures prices, when the open interest in the back-month is bigger than the one of the front-month you close the position in the front month and open one in the back month.
Rollover issues are well addressed in the Original Turtles Rules.
best reagards, as ever