A Micro E-Mini Futures contract has a period of 3 months. There is a March, June, September and December contract. At the end of the period the contracts expire.
However, it is common practice in Micro E-Mini Futures to sell the expiring quarterly Futures contract eight calendar days before the contract expires. Then one can purchase the contract of the following quarter. This is called a rollover. After the deadline selling is still possible but at the same time the liquidity of the old futures decreases more and more. Lower selling prices are the result. If you do not sell the old contract before the expiration date your broker will automatically sell the position at the expiration date. This is called cash settlement.

The rollover dates for the Micro E-Mini Futures are set by the CME (Chicago Mercantile Exchange):

Rollover ( expiration )

12/09/21 (12/17/21)
03/10/22 (03/18/22)
06/09/22 (06/17/22)
09/08/22 (09/16/22)
12/08/22 (12/16/22)

Current rollover data on the CME Group website: https://www.cmegroup.com/trading/equity-index/rolldates.html

You can find more information about rollovers at NinjaTrader as well: https://ninjatrader.com/blog/what-is-futures-rollover/

How does this affect the AVALON strategy?

If AVALON is positioned on a rollover date:

  1. Close the current position.
  2. Select the futures of the next quarter. For example if you closed the Micro E-Mini Futures December on rollover date 12/09/21 choose now the Micro E-Mini Futures March and open your position with the same number of units as your closed December contract.

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