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<<...the use of continuous contracts is a very subjective decision....>>
Subjective and back-testing are conflicting concepts.
When it comes to financial/derivative contracts, you can make a better (but
not perfect) case for continuous contracts and back-testing because the data
is more closely akin to cash. However, if you are going that route for
financials, cash makes the most sense of all. But in hard commodities the
roll-over is often a wild gyration (all you have to do is look at continuous
contracts) and any attempt to use cash is difficult because cash isn't
available for some commodities (orange juice is a good example) and for many
others there are no cash goods that directly equate to the delivery goods,
or, the cash sources are varied and not consistent, or, there is only one
quote, no high or low, only a close.
If you are making profitable decisions with continuous contracts then your
trading system is built on something other than back-testing and gut feeling
is sometimes the best one going.
Jay
<<Although your point of view has a lot of company, the use of continuous
contracts is a very subjective decision. There are arguments for every side
of the issue. Many "professionals" use continuous contracts. I traded the
T-Bond futures for 7 years and became one of the largest traders outside of
the CBT floor by using an "unadjusted" continuous contract with a fully
automated "black box" trading program. I do not necessarily say you are
totally wrong about continuous contracts, but you cannot say they are
without merit. Depends on how you use them.>>
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