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Category
Strategy Elements
Description
Total cost of each roll transaction while holding a futures position.
Input
Formula specifying a dollar amount.
Notes
RollCost is only applied to trades in a strategy that uses CSI Futures back-adjusted data.
Each time an open position is held across a roll date boundary, the RollCost formula is evaluated.
The dollar amount that it returns is added to the running total of roll costs for this position.
When the trade exits, this total is subtracted from its net profit calculation (similarly to commissions).
To see the total roll costs for a trade, add a column to your Trades.rts that shows T.RollCosts.
To see the total daily roll costs for all trades exited that day, add an item to your Graphs.rts that shows S.RollCosts.
Note that RollCost should calculate the total commissions plus slippage impact for both transactions (or for a spread trade).
Example
If your Commission is $1.50 per contract and your Slippage averages one tick, then your formula would be:
RollCost: 2 * Contracts * (1.5 + (1 * TickSize * PointValue))
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