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I use the perpetual contracts myself and am surely a minority. When a
future contract nears expiration it becomes more volatile. That volatility
causes many systems to initiate trades that would have otherwise not been
engaged. If the real market is to be traded, surely then it would exist
somewhere in between current contract and next one out. Given that, I would
suggest you think about this : Many people build models using back adjusted
contracts and many other methods. All of my current EOD models work best on
that type of data. However when you understand why they work better then
you may want to reexamine the way you build models. It sounds like you have
a model that follows price action. I propose that a good model instead
trades a markets historical 70 to 90 percentile personality. The very moves
that others concentrate so hard on are the very moves I dismiss as an
anomaly. mb
ps I see that many authors of books on trading often dismiss perpetual
contracts, however in there books are charts from the best think tank around
Ned Davis Research http://www.ndr.com and all they use are perpetual
contracts.
:I'm backtesting systems on CSI's 46 Series Perpetual Data and finding
:inconsistencies when I compare the results to actual futures contracts.
For
:example, a breakout stop using the low of 5 bars ago was hit on December
and
:March Swiss Franc contracts but not on the Perpetual Series. Obviously
this
:throws 10 years of backtesting into question.
:
:What types of historical data are best for longer-term trading? Is there a
:more reliable method of backtesting that anyone out there is using?
:
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