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The technique I use when backtesting with non-adjusted contract data is to
create a boolean variable to close and then later reopen those positions
when the contract Rollover date has been hit.
The below assumes DAILY data bars.
This eliminates the false profits accrued from the premium difference of the
new contract month.
{are we in a position at the date of rollover ?}
Rollover_hit = date=rollover_date and marketposition<>0;
If Rollover_hit then Begin
oldposit = marketposition; {remember the position}
exitlong("XrollL") at close; {get out}
exitshort("XrollS") at close;
End;
delay = 2; {wait x # of days}
if Rollover_hit[delay] then Begin
if oldposit=1 then Buy("ERollL") at close; {get back in}
if oldposit=-1 then Sell("ERollS") At close;
Rollover_hit=false; {reset the boolean}
End;
> -----Original Message-----
> From: Rakesh Sahgal [mailto:rakeshsahgal@xxxxxxxxx]
> Sent: Saturday, December 08, 2001 7:45 AM
> To: Real Traders
> Subject: [RT] Continuous Futures Charts
>
>
> RTs'
>
> Is anyone using non-adjusted continuous price charts for the futures
> contracts they trade ( If I am not wrong Earl had mentioned this one
> once)? Could you please elaborate on how you construct the data set i.e.
> how do you tackle the overlap period between two contracts? Do the
> non-adjusted contracts offer a better perspective vis-a-vis
> adjusted contracts?
>
>
> TIA for any info you can spare.
>
>
>
> Rakesh
>
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