I am trying to use zipline-reloaded to backtest futures strategy and would like to enquire how the active contract of a continuous future created by roll style = volume is determined?
If I can provide more detail, can I ask whether anyone knows how continuation_contract as shown in the below lines of code is determined? One thing for sure, the logic for determining the active contract is more complex than just selecting the contract with the highest traded volume for the particular day.
continuation = continuous_future(mkt, offset=0, roll=‘volume’, adjustment=‘mul’)
continuation_contract = data.current(continuation, ‘contract’)
I look forward to receiving any guidance from anyone.