I'm relatively new to RightEdge. I have searched the forum but i could not find exactly what i'm looking for. Sorry if i'm asking the obvious...
[Question 1] Backtesting for futures strategies like trend following (which typically work with average indicator like MA / EMA) is usually done on continuous future. As far as i understand, continuous futures time series have to be build outside of RightEdge or through a bespoke historical data retriever. Can someone confirm my understanding?
[Question 2] My second question is about backtesting strategies that require actual future contracts (e.g. typical case would be calendar spread). How would you go about implementing such a strategy in RightEdge? I can include all the actual future contracts as symbol when running my backtest but how do i determine which actual contract is the #1 or #2 contract depending on a given date and some predetermined roll-over rules, or more precisely how do i implement my strategy class since RightEdge work at the actual contract level rather at the meta level. One thing i like about RightEdge is that it is quite flexible/customizable; therefore, this can probably be done in a number of ways. Does anybody has experience with this? on pros/cons of various approaches?
Many thanks in advance.
Tuesday August 08 2017 by