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Using Metastock and Reuters datalink. I am attempting to backtest
simple strategies on futures continuation charts. I am producing
false results as my backtesting does not factor in loss/gain from
rolling my positions from one contract to the next?
Anyone have a solution to solve this problem? I'm betting if I just
fill in the gaps by adjusting the entire time series when I roll the
backtest would be realistic, even though I could get some very funny
looking charts.
Similar problem: I want to backtest on calendar spreads. Is it
possible to create my own security (combination of two contract
months) that would be the spread and then backtest?
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