Hi All,
I have read the article "back-testing systems for futures contracts" but I
still have a question.
My problem is the roll over management for futures contracts.
Whatever the roll method we use, there is a distortion in the price path.
One of the solution someone suggest me is to generate the trading signal on the
distorted serie and to compute all statistics in % instead of $.
Is there an easy way to get a backtesting report in % instead of $?
If you have other suggestion, don't hesitate.
Many thanks for your help.
MikAB.
