Long Term Futures Data
Author: akardar1
Creation Date: 10/5/2008 7:15 AM
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Hello All,

I am hoping for some direction.
As we all know, once of the major issues to consider when backtesting futures data is the "type of futures data" we use.

There is the common generic "front month data series".
The issue here is that when backtesting, we can arrive at misleading performance results due to the GAPS can that can occur
when contracts roll over from one month to another. The real advantage with this data series is that the prices used are
actual traded prices. However, it seems that this is not recommended that those testing strategies that have a longer term
focus; such as trenfollowing.

This leads me to the "CONTINOUS DATA SERIES". This seems to be that some individuals/magazines are referring me to.
The form of data series has no gaps and therefore provided a cleaner data input, however, these do not represent real traded price.
The form of data come in two forms:
- Forward adjusted: where the latest contract prices are adjusted to past contract prices to remove the gaps.
- Back adjusted : where past contract prices are adjusted to lastest contract prices to remove the gaps.

I am looking for advice or someone that has experience and can shed some light on the industry norms or the method which would be considered the most viable. Any thoughts/advice/opinions would be much appreciated.

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See this thread for some insights:
Continuous Futures Price Series
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In a deleted duplicate thread, GolfPlayer asked:

Hi, Eugene!
I've got the same question like was asked in this topic http://www.wealth-lab.com/Forum/Posts/Long-Term-Futures-Data-28430
but link in your answer lead nowhere. Please help.
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Sorry, this link is no longer available as it leads to an inaccessible part of the forum (WL4). To sweeten the pill, most of that discussion is obsolete.
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