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Tom Pederson wrote:
> When making continuous contracts for systems, I'd assume
> you don't want the gaps, but if you were to roll a real
> position, you do have those gaps as the real world.
A trader who exits one contract month and enters a different one does not
experience the price gap between the two (only transaction costs) in actual
trading. It therefore is reasonable to offset the price of one contract to
match another when splicing them together for long-term back-testing.
-Bob Brickey
Scientific Approaches
sci@xxxxxxxxxx
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