I have a strategy that looks into previous daily high/low/close of last 3 days.
It works great when working on a single monthly futures contract (CL), however, what is the best precise method to test this strategy on 5 years of data and how to deal with contract rollover days? Should I use continuous contract and then should I merge back-adjusted, o merge non back-adjusted, or Do Not Merge? I am using subscription data from Kinetick and symbol @CL.
Or, is the only way to properly test it is to test each month individually (while taking a manual not of rollover days)?
Thanks
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