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<<The only way you can do any statistically
meaningful system testing is usingback-adjusted continuous contracts. See
Schwager et al. The individualcontracts don't give you a long enough data
series. Nothing is perfect.Spliced contracts give you price/resistance but
jumps between contracts.Back-adjusted avoids the jumps, gives you results
that are very close toreal trading results and works for system testing -
but not forresistance/support.>><FONT
face="Courier New">
I simply don't agree. There is absolutely no
way for a "back adjusted" continuous contract to give meaningful historical
data. If you look at grains, for example, they have 7 or more contracts
per year that means you have to make adjustments 7 times in each years data, for
however many years you "test." If you've looked at individual historical
contracts you will find that many of them have a personality - that's what Moore
Research depends on.
If you in fact want to back test long strings of
real data, go to cash, but cash data often doesn't represent future's
data.
If your system works, use it.
Jay
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