For a day trader, I think it makes sense to always trade the front month on a new trade or roll-over. What if the trader wants to trade the stock index futures on a longer term period? He does not know how long to hold as it depends on the market performance. What criteria would elite traders suggest that he use for choosing the month to trade?
Choosing the front month may result in higher rollover cost. Would 6 months away be good to reduce rollover cost? Would it be a good idea to look at…