Backtesting for Futures.

Discussion in 'Strategy Building' started by Craig66, Jan 27, 2008.

  1. Using the cash can be hazardous as well. There is a very well known CTA who went thru an 80% drawdown due to (this was their explanation) using the cash index for backtesting (easier to do as there is no continuous contract to build) but trading the futures. (And this CTA was an MFA 'Superstar' back in 2002 !)

    Obviously with the cash you lose the Backwardization/Contango of the futures.

    My .02

    David
     
    #11     Jan 28, 2008