At first I guess rolling a future potion by volume should be reasonable. But I did a simple research shows maybe simply roll by volume maybe too early. VXQ17 expires around 8/17/2017. Using volume to roll cause the rolling happens at 2017-08-08, there's 8 days remaining,the front one is still active traded. The other way roll by calendar date maybe too late.
My intention is to maintain a short current VX future position. Is is possible to define a way to roll (roll after the second future's volume> first future's volume*1.1)? I need some suggestion,plz
Doubts about how to maintain (roll) a future positon?
Hi,
I would recommend you checking out this community thread where Jamie shared an example of how to customize the way your algorithm rolls your portfolio positions.
For clarification, the
roll attribute of a continuous future specifies how to determine the primary contract on that future's chain of active contracts. It does not deal with rolling or moving positions from one contract to the next.
I hope this helps.
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The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by Quantopian.
In addition, the material offers no opinion with respect to the suitability of any security or specific investment. No information contained herein should be regarded as a suggestion to engage in or refrain from any investment-related course of action as none of Quantopian nor any of its affiliates is undertaking to provide investment advice, act as an adviser to any plan or entity subject to the Employee Retirement Income Security Act of 1974, as amended, individual retirement account or individual retirement annuity, or give advice in a fiduciary capacity with respect to the materials presented herein. If you are an individual retirement or other investor, contact your financial advisor or other fiduciary unrelated to Quantopian about whether any given investment idea, strategy, product or service described herein may be appropriate for your circumstances. All investments involve risk, including loss of principal. Quantopian makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances.