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Marks says about my little example:
> i had to roll my trade and you
> had to roll your trade and so we both rolled and we both lost or gained the
> same amount of money (pretty close) but you didnt give my perp data a debit
> to its profit in your example? why? i have to roll when i trade just like
> you do.
Exactly my point. :-) If you use perpetual data as data 1 in a TS
system, the TS system report will give you my numbers. It won't include
any roll expenses because there are none in the data.
A spread adjusted contract builds the roll expenses into the data. So if
you did it like this you would get the right signals AND the right P/L
numbers on a long-term backtest....
spread adjusted contract as data 1
perpetual contract as data 2
do the calcs on data 2
trade data 1
Doing it that way, the prices you bought/sold at would look strange if
they happened a long time ago but all the P/L numbers and other system
stats would be identical (or pretty darn close) to trading the
individual contracts.
--
Dennis
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