Traders' Roundtable

I have been backtesting stocks for a while and would like to start looking at futures. I have been holding off on this because I worry that the testing may look OK but real life is going to be much different because of inaccuracies caused by continuous contract gymnastics, something I am obviously unfamiliar with coming from the stock world (though don't get me started about splits!). I am wondering how legitimate this concern is, or if am I just not sufficiently knowledgeable/experienced on this topic?

Continuous contracts are not inherently unreliable, however, you should take into account the costs of doing a contract roll if you do any backtesting using continuous contracts.

I wouldn't let this aspect of futures trading scare you away. A much more difficult problem for most people is the amount of capital required to trade many different futures contracts.

- Forum Mgmnt