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Essay Details:
Essay text:
under rollover policy you can put certain months or adjusted prices etc.
You can display when the contract rolls over by going to the toolbar. Under OPTIONS go to EXECUTE OPTIONS. Under the ORDER tab, find Entry & Exit for rollovers. You can select none/exit/re-entry number of contracts or re-entry dollars.
#10
#11
%exec.units:1 day
%exec.headings: NO
%exec.dayofweek: NO
%exec.count: NO
%exec.average: NO
%exec.stddev: NO
%exec.highest: NO
%exec.lowest: NO
%exec.averagepos: NO
%exec.averageneg: NO
%exec.percentpos: NO
%exec.percentneg: NO
%exec.zstat: NO
%exec.variance: NO
LET
A_roll = HO(ROLLOVER_DATE="1 Day before Expiration Day",ROLLOVER_POLICY="Backward Adjusted Prices")
LET
ATTR XvarA = (1*( Close of front A_roll))
LET
B_roll = CL(ROLLOVER_DATE="1 Day before Expiration Day",ROLLOVER_POLICY="Backward Adjusted Prices")
LET
ATTR XvarB = (1*( Close of front B_roll))
LET
ATTR XvarC = (1 * XvarA-XvarB)
SHOW
1: XvarA
2: XvarB
3: XvarC
WHEN
Date is from 08/14/2006 to 08/14/2008
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