I have many doubts about Which roll date and price adjustment should I use. I need to backtest like 50 diferents futures. 6 index(mini sp500, Nikkei 225…), 10 Agriculture (soybean, Oat, Corn….),3 Meats (live Cattle, Lean Hog, Feeder Cattle), 8 Currencies (yen , Australian Dollar, Pound, Swiss Franc…), 5 Metals (Silver, Gold, Palladium…), Treasury Notes (10 years, 5 years…), Us Bond 30 year and some more…
My backtest is for 15 years from 2000 to 2015. I have choosen the backward Panama canal method, rolling with the open interest switch and with a depth #1 in all of then.
My question is…Is that correct? Or I should use differents kind of methods for the differents kinds of futures(agricultures, metals, currencies…)
Another question is that the SCF FUTURES of some futures have gaps in the graphics. There are severals with this gaps between 2009 until 2012 (the mayority of the currencies and the agricultures futures) . The example below is the yen future.
I don’t know why produce this gaps or undiscontinuous bars.
Thank you very much for your time .