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> In other words, *whatever* method one uses in live trading at
> rollover is the same method that should be coded into TS. So if you
> close out the day before rollover day, then your backtest code
> should reflect that.
For my style of trading anyway, the actual impact of rolling from one
contract to another is practically in the noise. It's zero or one
additional trade / slip / commission per quarter. Often it's only 0-
1 per year in my tests, since most of my systems are not always in
the market. Counting it or not counting it would have almost no
impact on the final results. I ignore it.
Having smooth data (no jumps at rollover) throughout the test,
however, is critical. If you ignore that, the results will be badly
skewed and won't bear much resemblance to realtime trading.
Gary
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