[Kiwi]

I would note a few things in addition to the valuable information at the top:

1) Non US rollovers are often different. Last trading day of the (monthly) HSI futures contract is the day before the last business day of the month. Volume almost always stays with the front month until the morning of the last trading day so you trade December right up to opening on the day before the last business day of December - 28/12/2006

2) Most longer term futures traders rollover when volume moves from the current front month to the new one. This day is often not the same day as the day that the exchange forces rollover --- you just watch volume and when you see its now higher you move. This is made more complex if your volume reporting is 1 day late :-)

3) If you change the rollover dates from the ones you tested your system on you will be surprised how huge the change in profitability can be!