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Using the cash can be hazardous as well. There is a very well known CTA who went thru an 80% drawdown due to (this was their explanation) using the cash index for backtesting (easier to do as there is no continuous contract to build) but trading the futures. (And this CTA was an MFA 'Superstar'...

Craig66, Watch out!. Even though for long term trading you have to use some form of continuous contracts, there are lots of potential pitfalls and gotchas using them. For example, 1. you can't take a ratio (i.e. price[t]/price[t-100]) using absolute adjusted contracts. 2.Depending...