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Anyone who back tests commodity data with any kind of "continuous" contracts
(a non-existent, fabricated data series) will produce nothing but fictitious
results. The only way to get significant results is to back test all
contracts of a commodity by their expiration month, that is, all July wheat
for 15 or 20 years back, all September wheat for 15 or 20 years back, etc.
That's what the professionals such as Moore Research do, and they charge you
an arm and a leg for their test results.
If you have really convinced yourself that continuous contracts are what you
want then CSI data's Unfair Advantage (UA) gives you the best adjustment
parameters that I've found to be available. You get to choose all of your
roll over options and you have to do that only once and your parameters are
saved for all other continuous contracts.
Jay
<<If you want to do backtesting of futures data, you'll most likely need to
establish continuous contracts and back-adjust to remove the rollover gap.
It's very cumbersome to do yourself... Our futures data product, data tools,
gives you the ability to create such contracts.>>
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