Futures look ahead bias

AI & Machine learning
1

Course Name: Momentum Trading Strategies, Section No: 19, Unit No: 9, Unit type: Video



Will using the nearby vs deferred futures term structure resolve the problem we had previously with look ahead bias since the futures prices will be available at the same time?



Many thanks,

Ryan

2

Hi Ryan,



The nearby and deferred futures for an asset on the same exchange will be available at the same time and there will be no look-ahead bias.



The video on look-ahead bias referred to the difference in time because the futures end-of-day price is obtained at 17:00 ET from COMEX, while the silver ETF end of day price is obtained at 16:00 ET from NYSE Arca.



Hope this helps!