I'm looking for some advice on choosing when to rollover futures contracts. I've been using historical futures data from premiumdata in my back testing. Well worth the $60 they charge. -Running my strategy through the back-adjusted data is easy enough, but I know that there are some technicalities to address before switching to real-time trading. - I tried to find on premiumdata.com how they determined when to rollover contracts. The rollover dates are different for each market. I believe I saw they choose the date furthest back from expiration that works across all historical data. -Choosing a consistent rollover day is very important as volume is crucial for my strategy's entry signals. I plan on trading various futures markets, so I need to have a strict rule as to when to rollover. I know different markets have different expiration months as well. Some use changes in volume or open interest. I'm wondering if choosing a specific day across all markets would be best. -Since I use volume as an indicator in my strategy, changing the rollover will have an affect on my results as well. -Any advice?

OK, after some work, I think I have a new plan. Someone let me know if I have this correct. Say I decide to rollover the day the next futures contract has higher volume than the soon to be expiring front month contract. I pulled up two consecutive E-Mini Nasdaqs futures contracts from 2011. The first one is the March 2011 contract, and the next the June 2011 contract. emini NQ march contract 3/11/11 close=2305.25 High=2306.25 volume=140,000 my stop=2312.5 emini nq june contract 3/11/11 close=2302.75 High=2304.0 volume= 320,000 My stop going into 3/11/11 is at 2312.5. By the way I am short. My stop is not hit on 3/11, the high of the day is 2306.25. However, E.O.D., I find out volume was greater on the June contract. Therefore, this is my day to move out of the March and into the June contract. So, I cancel my stop in the March, and want to start trading the June. So, I cover my march short E.O.D. I'm assuming I know that volume will be higher in the June contract before the close. So, i'm out of my trade by the market close on 3/11. However, I still want to be short the market, my stop hasn't been hit yet. So, I short the June contract before the close on 3/11. Now where do I place my stop? I don't know the closing price yet, so I can't back adjust the stop. Do I back adjust the gap in the contracts according to the previous day's closes? March contract 3/10/11 close=2283.0 June contract 3/10/11 close=2280.75 There is a -2.25 point gap. My stop on the March contract is 2312.5. If I short the June contract before the close on 3/11, would my stop be 2312.5 - 2.25 = 2310.25? However, the gap between contracts does not stay -2.25. On 3/11 the closing price gaps becomes -2.50. Do I keep adjusting my stop as the closing price gaps change between contracts? There's a lot here, and probably very confusing. Still trying to learn more about rollover and back-adjusting. I'm thinking i might be better off just closing all positions in the previous contract, waiting for my rollover signal, and then begin trading the new contract fresh. Long story short, I guess what I'm trying to ask is how do I adjust my positions as I rollover contracts? -Andrew