meanreversion
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I'm looking to expand my trading set from FX and gold to include other commodities, for which there is no escaping the futures market.
My system is medium term in nature, with successful positions lasting 2-4 months. Backtesting FX is simple enough, but what is the "correct" approach with futures, where the main contract jumps around and/or expires?
At the moment I'm looking at continuous data as supplied by Reuters, but this is a simple splicing approach. What I'm looking to find is a data provider who can supply back adjusted futures data ... and also how does this translate into identifying entry and exit points - e.g. if I buy when 10 day MA crosses over 50 day MA, what happens to these MAs when the contract changes?
My system is medium term in nature, with successful positions lasting 2-4 months. Backtesting FX is simple enough, but what is the "correct" approach with futures, where the main contract jumps around and/or expires?
At the moment I'm looking at continuous data as supplied by Reuters, but this is a simple splicing approach. What I'm looking to find is a data provider who can supply back adjusted futures data ... and also how does this translate into identifying entry and exit points - e.g. if I buy when 10 day MA crosses over 50 day MA, what happens to these MAs when the contract changes?
