Backtesting RBOB Fuel Futures: Handling
What if your RBOB strategy looks profitable on paper but fails instantly when a geopolitical shock opens the market? You might be missing the reality of...
What if your RBOB strategy looks profitable on paper but fails instantly when a geopolitical shock opens the market? You might be missing the reality of extreme gaps and slippage in your backtest. RBOB Gasoline futures are notorious for violent price moves driven by refinery outages, weather events, or supply chain disruptions. If you backtest without modeling these realities, your results are likely fiction. Key fact: One full RBOB contract represents 42,000 gallons, meaning a $0.01 move equals a $420 change in contract value. This article explores how to handle these specific risks in NinjaTrader 8. We will look at realistic slippage modeling, gap handling, and the specific mechanics of the RBOB market. RBOB, or Reformulated Blendstock for Oxygenate Blending, is the benchmark futures contract for wholesale gasoline in the United States. It trades on the NYMEX division of the CME Group and settles via physical delivery. The contract size is massive compared to many other futures, which amplifies the impact of any execution error. According to the CME Group, RBOB products allow investors to express views on crude oil, weather, consumer behavior, and regulatory action.