Every future will have its own market convention for rolling. If you are 
not sure what the market convention is for a market, the best is to switch 
contracts when the volume and open interest of the "deferred" contract is 
greater than the "front". That makes sure that you are always in the most 
active contract month.




"Jorge Nieves" <jorge.nieves@moorecap.com> 
Sent by: r-sig-finance-bounces@stat.math.ethz.ch
11/12/08 12:27 PM

To
<r-sig-finance@stat.math.ethz.ch>
cc

Subject
[R-SIG-Finance] Generic versus calendar futures in trading models






Hello,

I am testing an econometric model for trading futures on commodities. I
am setting up the back-testing phase, but I am facing a  dilemma about
what is the best way to "easy" the transition for when futures mature
into the next open contact. For now I am testing the model using the
generic CL1 crude front contact. I would like to ensure that the rolling
after maturity of each calendar contract does not generate false
signals. Any one has any suggestion about what will be the best approach
and why?

Thanks,


Jorge Nieves



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