In backtesting, positions in contracts will be automatically closed out on their auto_close_date. What could I do if I do not want to automatically closed out future position at auto_close_date.
What should I do if I do not want to automatically closed out future position at auto_close_date in backtesting?
I think you need to roll over, there was a previous post, I'm dealing with this same issue myself. They don't have an "automatically roll over" feature built in, even for continuous futures. I was trying to figure out why all my contracts closed for a scratch of little to no profit or loss, and this was the culprit.
I saw this example that seems to help on a method of avoiding it.. https://www.quantopian.com/posts/futures-have-launched-research-backtesting-lectures-tutorial-and-more#590a61401f7c7a24f51e17c8
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