[Dogpile]

thx.

so if I were to run my strategy for each individual contract and sum the results, you are saying that would equal the ES.D for the same period without much error?

I was thinking of test-running this on a few contracts and seeing what the results were.

Part of writing this thread is to work out the kinks in executing a mechanical strategy and these technical execution issues of how to handle rollovers are part of this.