Hey a quick introduction of me. I started as a stocktrader and then switched to day trading of forex and CFDs (in Europe).
Now with a couple of years of experience and new programming skills I want to expand my strategies. Besides day trading I want to include a long-term trend following strategy of futures. Here I struggle which data I should use?
Let's pretend I use a arbitrarily 20 day channel breakout system, with an initial stop that becomes a trailing stop. And I am always in the market long or short. In addition let's say I choose to watch the 20 most liquid future markets. My question is now which data should I use for my signal generation: continuous contracts, the current month, most active month?
I hope the question is clear and some experienced future trader can help me.
Thanks!

Three excellent Trend Following Books

Systematic Trading: A unique new method for designing trading and investing systems Hardcover – September 14, 2015 by Robert Carver

Following the Trend: Diversified Managed Futures Trading Hardcover – January 14, 2013 by Andreas Clenow

Trend Following, 5th Edition: How to Make a Fortune in Bull, Bear and Black Swan Markets (Wiley Trading) Hardcover – April 24, 2017 by Michael W. Covel

Thank you. Appreciate it. Will dig into those books