Is it possible to create one continuous futures contract by merging two other continuous contracts?
I would like to back test a strategy on the e-Mini Russell 2000 futures contract, but it's provider and name changed in 2008. Prior to the change it was ER2 provided by CME, then it changed to TF provided by ICE. Can I merge these into one continous contract? If so, how?
Regards
Tony
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