I want to backtest a strategy on future data. Can I use continuous contract data as proxy for real trading? Or am I backtesting on something that I can't trade anyway. My holding period is only one day (close to close).
It depends what you are doing. If you are referencing real price levels then you cannot. If you adjust positions based on rate of growth of equity then you should not. Backtesting is much more complicated than it appears. I believe 95% of those who do backtesting are unaware they do not know what they are doing or are unaware that their results do not correspond to what they think they are backtesting. This is the situation in experience: if you want a doctor you go to a professional. If you want a lawyer then you go a professional. If you want an electrician then you call a professional and so on. Yet, when most people are going to backtest they think they are professionals. They do not understand this is a highly complex area.
I consider only price changes between two closes (in %) so I should be good if I understand correctly?
What you're looking to do is called "backward adjusting" of historic future contract data. Here's a good introduction: http://www.automated-trading-system...ht-to-know-about-continous-futures-contracts/