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If you backtest strategies in commodity futures, do you use back-adjusted data or do you perform the backtesting for every single contract (for example instead of back-adjusting all the crude oil futures contracts for 2021, test the strategy separately on clf21, clg21, clh21 etc.)?
I use the latter method which I find OK for short term price swings which do not require rolling over (but also I know that I am working with real data).
Can you help answer these questions from other members on NexusFi?
I am not knowledgeable in how commodities contracts are organized.
Would the difference between backtesting the contracts in separate dates be the mechanism that they are exercised and the dates roll over or is there more complexity here?
