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Old 09-17-2007, 10:42 PM
nickm001 nickm001 is offline
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Re: A Mechanical Strategy Journal

Keep in mind that TS continuous contract is "back adjusted" or spliced to the old contract. However, it should match to a tick the current contract. If you discovered any discrepancy, that is because of the rollover and local cache issue. Sometimes it is corrected on the next login, and sometimes you have to force it. The easiest is to load @Es.d in the chart and then press "CTRL - R" . It should reload the new copy of the data, which should match current contract.
Based on your posts, your continuous contract did NOT roll over and it is (still) matching the September contract prices.

For backtesting results, it is ok to use continuous contract. Most of the people complain that old contract, which is spliced into continuous contract is actually shifted in prices, so there is no gap between current and expired contract at rollover time.

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