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Futures contract rollover.
One way to adjust the data ro get a continuous contract is add or subtract the difference between the closes of the first and second futures contract at the time of rollover to a continuous contract. For example, if the July contract is trading 10 points below the June contract then subtract 10 points from all the data in a continuos contract. This in effect takes into account the effect of rolling from one contract to another. The continuos contract will not however have the actual market values of a particular day, but should in general give the same actual test results for most systems ( there can be some slight problems in cases where you are using % moves).
Optimization.
In your code use the contract numbers and % profit value as inputs. eg
Input: A(0), B(0),C(0), D(0), etc....
buy A contracts .......
sell B contracts at C profit
sell D contracts at D profit etc ...
Then optimize the values.
TOm.
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