For example, I am using a buy and hold strategy for commodities futures. When spot month close to expiry, I rollover my contract to next month.
However, the next month contract are usually wont equal price with the spot month, which would result in some gain or loss.
For example: if I close my long position of spot month at price $2000, and roll to next month to buy at $2010, I am paying extra $10 in the rollover.
Another case is, if I close my spot month long position at $2000, and roll to next month to buy at $1990, I earned $10 in the rollover.
Technically, I didn't pay or earn extra $10, but currently I am running a backtest on a strategy which did not factor in rollover cost. I am wonder, in the long run, will they even out?