In Advances in Financial Machine Learning, Marcos Lopez de Prado talk about what he call the ETF Trick. I understand it is about building a time series from another time serie, with the aim to reflect the value invested. It is built taking different costs into accounts, around discontinuities of the first time serie. As I understand it, it is like going out of the position before the discontinuities and looking what you can get after the discontinuities.
An associated exercice is to use the ETF trick on a E-mini S&P 500 futures tick data to 'deal with the roll'.
However : (1) the only data sources I can find for E-mini S&P 500 futures appears to be quoted in dollars. And (2) I am not sure to understand how this would work for a given time serie.
So how would that work here ?