I agree with Bob Fulks (Perpetual vs Continuous)

[Mark Johnson <janitor@xxxxxxxxxxxx>]

Like Scott Hoffmann, I test what I trade and I trade
what I test.  I use Bob Fulk's option number 4, both
in my back-testing and in my real-money trading.
These are what CSI Unfair Advantage calls
"Continuous Contracts, Backwards Adjusted".

In both testing and in trading, I roll over on fixed
calendar days.  To name one example, in Ten Year
Treasury Notes (symbol "TY"), I roll over on the
22nd calendar day of (the month prior to expiration
month):

Roll from Dec contract (TY98Z) to Mar contract (TY99H) on 22 Feb 99
Roll from Mar contract (TY99H) to Jun contract (TY99M) on 22 May 99
Roll from Jun contract (TY99M) to Sep contract (TY99U) on 22 Aug 99
Roll from Sep contract (TY99Y) to Dec contract (TY99Z) on 22 Nov 99

Here is the actual file that my software uses to perform
rollovers.  Both the trading software (written in PERL)
and the testing software (written in C) refer to this file
when they roll over:

BP  BritishPound   625.00  H M U Z       0308 0608 0908 1208
CD  CanadianDlr   1000.00  H M U Z       0308 0608 0908 1208
CL  Crude_Oil     1000.00  G J M Q V Z   0111 0311 0511 0711 0911 1111
CT  Cotton         500.00  H K N V Z     0215 0415 0615 0915 1115
DM  DeutscheMark  1250.00  H M U Z       0308 0608 0908 1208
DX  DollarIndex   1000.00  H M U Z       0308 0608 0908 1208
FV  5YearNotes    1000.00  H M U Z       0222 0522 0822 1122
HG  HG_Copper      250.00  H K N U Z     0222 0422 0622 0822 1122
HO  Heating_Oil    420.00  G J M Q V Z   0111 0311 0511 0711 0911 1111
HU  Unleaded_Gas   420.00  G J M Q V Z   0111 0311 0511 0711 0911 1111
JO  Orange_Juice   150.00  F H K N U X   1222 0222 0422 0622 0822 1022
JY  Japanese_Yen  1250.00  H M U Z       0308 0608 0908 1208
KC  Coffee         375.00  H K N U Z     0211 0411 0611 0811 1111
LB  Lumber          80.00  F H K N U X   0101 0301 0501 0701 0901 1101
MB  Muni_Bonds    1000.00  H M U Z       0222 0522 0822 1122
NG  Natural_Gas  10000.00  G J M Q V Z   0111 0311 0511 0711 0911 1111
SF  Swiss_Franc   1250.00  H M U Z       0308 0608 0908 1208
TU  2Yr_TNotes    2000.00  H M U Z       0222 0522 0822 1122
TY  10Yr_TNotes   1000.00  H M U Z       0222 0522 0822 1122
US  Bonds_30Yr    1000.00  H M U Z       0222 0522 0822 1122


--
   Mark Johnson     Silicon Valley, California     mark@xxxxxxxxxxxx

   "... The world will little note, nor long remember, what we
    say here..."   -Abraham Lincoln, "The Gettysburg Address"