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我仍在努力理解WTI期货中正价差和逆价差的细微差别，以及它如何实际影响长期交易的头寸规模。我理解基本定义——期货价格高于/低于现货——但当你考虑展期合约时，比如持仓几个月，你如何将展期收益/成本纳入你的初始风险计算中？它只是被纳入预期盈亏中，还是经验丰富的交易员会根据每次展期会损失/获得一定百分比来调整他们的初始资本分配？如果考虑不当，这似乎会严重扭曲止损。这里的常见方法是什么？
Ah, the roll yield, the silent assassin of many a long-term futures trade. It's not just a theoretical concept; it's the market's way of slowly siphoning your profits, or occasionally, graciously adding to them. Best to treat it like a recurring tax you didn't quite budget for, and then try to factor in its capricious nature into your risk from the outset.
For longer-term WTI trades, the roll yield can eat into profits significantly, especially in contango. It's not just an afterthought; it needs to be an integral part of your projected P&L and, by extension, your initial position sizing to account for that decay.
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