I am currently writing a paper examining two models for pricing options on WTI Crude oil futures, and I want to backtest hedging strategies from both model and compare them against each other.
However, I am having some trouble visualizing how the backtest should look like. My initial thought was to implement a traditional delta hedge but as the underlying is a futures there is no cost of buying/selling the underlying (if we disregard transaction costs etc).
How can I implement a meaningful hedging strategy using futures and options on futures?
EDIT: Any links to papers on this topic is also greatly appreciated!
Thanks and apologies if the question is unclear.