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Let \\(f_t\\) \\((t\\in T)\\) be a family of real-valued functions on \\(\\Omega\\), and let \\(Q_t:=\\{f^{-1}_t(a): a\\in f_t(\\Omega)\\}\\) denote the partition of \\(\\Omega\\), generated by \\(f_t\\). For elements \\(t_1<\\cdots< t_k\\) of \\(T\\) let \\(Q_{t_1,\\dots,t_k}\\) denote the partition generated by \\(Q_{t_1,\\dots,t_k}\\) and let \\(f_{t_k}\\equiv: f_{t_k}(q)\\) on \\(q\\in Q_{t_1,\\dots,t_k}\\). The family \\((f_t)\\) is called a measure free martingale if for any subset \\(t_1<\\dots< t_{k+1}\\) of \\(T\\) and any \\(q\\in Q_{t_1,\\dots,t_k}\\), the value \\(f_{t_k}(q)\\) belongs to the convex hull of the values assumed by \\(f_{t_{k+1}}\\) on \\(q\\). The main result of the present paper is the following  Theorem. Let \\((f_t)\\) \\((t\\in T)\\) be a measure-free martingale on \\(\\Omega\\) such that \\(T\\) is countable, each \\(f_t\\) is bounded, and \\((f_t)\\) separates the points of \\(\\Omega\\). Then there exists a compact metric space \\(\\Omega'\\) in which \\(\\Omega\\) is densely embedded, and there exist continuous functions \\(f'_t\\) \\((t\\in T)\\) on \\(\\Omega'\\) such that (i) for all \\(t\\in T\\), \\(f_t'\\) extends \\(f_t\\); (ii) \\((f'_r)\\) is a measure free martingale, and (iii) there exists a probability measure \\(\\mu\\) on the Borel subsets of \\(\\Omega'\\) with respect to which \\((f'_t)\\) is a martingale, i.e., for any \\(t_1<\\cdots< t_k\\) \\(_\\mu[f_{t_k}'\\mid f_{t_1}',\\dots,f_{t_{k-1}}]=f_{t_{k-1}}\\) a. e.   It is easy to see (using regular conditional probabilities) that when \\(T\\) is countable and \\((f_t)\\) \\((t\\in T)\\) is a martingale defined on a probability space \\((X,{\\mathcal B}, \\mu)\\), then there exists a \\(\\mu\\)-null set \\(N\\) such that \\((f_t)\\) is a measure free martingale on \\(X\\setminus N\\). The authors prove a sort of converse of this 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