Is there any way to correct such equity curve behavior in strategies on continuous futures where the price goes into negative territory? In this case, it is a strategy on the continuous futures &CL_CCB from Norgate Data.
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I'm sure there's a way, but it will take some thought and development time. For now is there a way to use a different type of continuous contract that does not go negative?
I don't know of any other sources of continuous futures that don't have a negative price. And it's not the equity curve that goes to zero, but the benchmark that looks weird on a log scale. The maximum drawdown of this strategy is 33% in 2020.
I know that ratio adjusted continuous contacts won’t go below zero. Does Norgate offer that option?
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