Hi all,
I was developing a "rolling-yield" strategy that rebalances its portfolio to keep a constant volatility-term exposure, the same that VXX, XIV, and other volatility ETN's and ETF's use. The main problem is to extract last matured contract auto_close_date, since I am using continuos_futures and I am not able to retrieve matured contracts. The workaround I found is to retrieve the last matured contract identifier (e.g VXM18) from the current_contract but since I am not able to pass a dynamic variable to future_symbol I can't get its auto_close_date anyway. Any ideas??!
Thanks a lot for the support!!
Best regards,
Axel!!