Data Quality, Adjustments and Contract Rollover
Why data quality, adjusted prices and continuous contracts matter in Turtle-style backtesting and live review.
A trend-following system is only as reliable as the data behind it. Bad data can create false breakouts, incorrect ATR values and misleading backtests.
Data issues to check
- missing candles;
- abnormal spikes;
- exchange outages;
- duplicate bars;
- wrong timezone;
- split or adjustment errors;
- futures contract rollover gaps.
Continuous contracts
Futures research often uses continuous contracts. The method for stitching contracts can change historical highs, lows and volatility. That affects both entries and exits.
Documentation rule
Every backtest should record its data source, adjustment method and rollover logic. If the data method changes, the strategy version should be updated too.