Actual with rollovers 17,963 -21,663 111 40 1.80
Continuous type 38/13 18,450 -24,813 79 31 2.74
Continuous type 49/25 20,413 -22,137 77 31 2.89
Continuous type 55/25 20,350 -21,115 86 34 2.42
Continuous type 56/25 10,625 -27,800 91 31 2.43
Continuous type 60/25 39,862 -18,363 70 35 3.12
Notice also that the ratio of average winning to losing trades is the smallest (1.80) with actual data. This occurs because rolling over positions decreases the amount of profit in winning trades. During a long trend the continuous contract goes on without any rollovers. Hence, the duration of the trade is longer and therefore its profit figure is also greater with continuous contracts. Thus, continuous contracts may underestimate the number of trades and overestimate the win/loss ratio and the duration of trades.