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>I have wondered about the spot prices and if there was any
>advantage to using them for any edge.
Some strategies may work better if signals are generated off the
spot prices and the trades are made in the futures market. Your
mileage may vary.
Spot prices are also useful for backtesting signals that rely on
price ratios, percent changes in price, annualized returns, etc.
Any time you have to compare two prices in history by calculating a
percentage difference or a ratio, you cannot use rollover-adjusted
contracts because the calculation would be invalid, especially if
the back-adjustment made some prices go negative.
Some rollover adjustments are not susceptible to this problem, such
as CSI's perpetual contract adjustment.
-Alex
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