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Most of the academic papers I have seen use simulated data rather than backtesting on historical data because historical data only gives you one price path and the true underlying dynamics can not be known for certain. I think you are looking for a paper like: Which Free Lunch Would You Like Today, Sir? Delta Hedging, Volatility Arbitrage and Optimal ...


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Adding on to @noob2's answer, there is both a implied probability of a margin call and changing liquidity requirements when trading oil futures. Backtesting a strategy that involves hedging using futures should take these into account


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