I am trying to merge historical data so I can view and backtest from 01/01/2007 to the present contract of ES. Do I have to merge each contract starting with merging 03-07 with 06-07 and then 06-07 with 09-07 and then 09-07 with 12-07... and so on? or is there a way to say "merge all ES contracts from 01/01/2007 to the present contract" which happens to be 06-10? Each time I try merging data, it seems that my charts get all chopy and can't seem to backtest accurately.
Also, another issue I am having is, when I run a strategy live it doesn't work, but when I backtest the strategy it shows historical trades. what might cause this? I have already double and tripple checked the backtest strategy parameters and the live strategy parameters to make sure all is exactly the same. This is a concern because from backtesting the strategy it was showing I should have made more money than what actually happened live.
Thanks for your help,
Mike
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