etf_trick

Subject

Position Sizing and Trade Construction

Why This Module Exists

Backtests must include financing, carry, and contract-roll mechanics to avoid optimistic bias.

Mathematical Foundations

ETF NAV Update

$NAV_t=NAV_{t-1}(1+r_t-c_t)$

Roll Return

$r^{roll}_t=\frac{F^{near}_t-F^{far}_t}{F^{far}_t}$

Usage Examples

Rust

Construct synthetic ETF series

use openquant::etf_trick::{EtfTrick, Table};

// Load open/close/allocation/cost tables from CSV
let etf = EtfTrick::from_csv(
    "open.csv", "close.csv", "alloc.csv", "costs.csv", Some("rates.csv"),
).unwrap();

// Generate synthetic ETF NAV series
let series = etf.get_etf_series(252).unwrap();
// Returns Vec<(date_string, nav_value)>

Compute futures roll-adjusted series

use openquant::etf_trick::{get_futures_roll_series, FuturesRollRow};

let rows: Vec<FuturesRollRow> = vec![/* ... */];
let adjusted = get_futures_roll_series(&rows, "backward", true).unwrap();

API Reference

Rust API

• EtfTrick
• EtfTrick::from_tables
• EtfTrick::from_csv
• EtfTrick::get_etf_series
• get_futures_roll_series
• FuturesRollRow
• Table

Implementation Notes

• Verify contract calendar assumptions.
• Costs and rates should come from the same clock as price data.
• This module is Rust-only — no Python bindings are currently exposed.