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Strategies & Market Trends : Systems, Strategies and Resources for Trading Futures
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To: Brian Hornby who wrote (17155)3/2/1999 6:49:00 AM
From: Patrick Slevin  Read Replies (1) of 44573
 
But if the Continuous is really continuous they would have had to have already changed the data from last week. If you look at November (it looks like they rolled on the last day) it does not look as if the December contract was adjusted.

Try looking at your chart for December 1 and for March 1; you may have Gaps that should not be there. In your case, data won't affect the $ because you were Flat for the rolls. Perhaps not the case next time.

I don't bother with slippage at all, as I have experienced that slippage cuts both ways. In your case, you probably should use slippage as you are using the Large Contract prices which will be usually different from the actual contract under trade.

For example, you cannot trade the Small on a trade where the price is xxxx.60, yet your system uses xxxx.60 as an entry or exit price in one of your trades. So your entries and exits will line up in reality only very rarely.
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