As financial future markets offer coexistent contracts that only differ in their maturities, trading mandatorily induces the task of selecting a specific contract. Assuming the objective of maximal profit, an analysis of the current market situation is inevitable. Among immediate and upcoming trading costs and market liquidity, even possible market inefficiencies might be taken into consideration. This research introduces a future selection strategy that minimizes trading costs by dynamic programming. The strategy is evaluated by Monte Carlo simulations on sets of arbitrary trading instructions on three commodity classes. The results allow the conclusion of market inefficiencies in the analyzed future markets.