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If you are doing system trading, there should be no problems taking
signals off the current prices since typically the adjusted price on the
continuous series is set so that the current price on your system is the
same as the front month contract (unless u r using a perpetual
contract).
As for back testing, it is over used, over hyped, and very dangerous,
but IMHO, it is useful if used properly. The way I test a system, I find
an idea that makes sense and then test it over several different markets
and with similar parameters. If a system only works in one or two
markets, I consider it to be suspect. If it works well in most, it is
probably okay.
Why do I do this when so many people talk about markets being different?
Because crowds are generally the same, so in the big picture, all
markets should act similarly, and if the system is looking at that kind
of activity, which is what my systems have done, the systems should work
across several markets.
I have gotten away from systems over the past couple of years, so I
cannot give you an example now. I use Elliott and more subjective
measures which I have found to work quite well for me as an analyst.
Steve
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