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Any ideas / help on the following would be appreciated.
Assumptions:
1. use continuation charts for signals. (could argue the validity of
this for some time but not the subject here)
2. take positions in prompt month and roll when cont chart flips to
next month. (at this point timing of roll is not the subject we'll
just define it as expiration to keep it simple)
Goal: backtest indicators on cont chart and get realistic results by
removing false gains/losses from roll of contract.
Proposed Solutions:
1. Starting with the very first month in the cont series, at each
roll of the contract adjust all remaining contracts by the value of
the roll. so nov is 5.00, dec is 5.50. when rolled all months dec
and beyond are moved down by 0.50. I believe Murphy proposed this
but really can't remember.
Generate buy/sell signals from unadjusted curve. Backtest those
signals on adjusted curve.
2. Run backtest on unadjusted curve. Get buy / sell signals out of
Metastock somehow and adjust for gains / losses on rolls for each
individual trade. I'm assuming I could figure something out in excel
to do this.
Any thoughts
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