Different results on ES##-## and ES 3-12

[sherazwaqar]

I have developed an automated strategy for ES contract. I have tested it over a period of 5 years on esignal data feed using a continuous contract.
I was about to deploy my strategy on live account today, and I decided to check the strategy for last 3 months on ES 3-12 and ES ##-##, and my results were very different. On continuous contract it is yielding a profit of $700 (using 2 contracts) and on ES 3-12 it is yielding a profit of $125 (using 2 contracts).
What should I do so that I have consistent results for both the contracts.

Thanks,

[NinjaTrader_Matthew]

Hello,

What do you have your mege policy set to under Tools--> Options--> Data tab?

Is this set to MergeBackAdjusted?

What data provider are you using for the continuous (##-##) contract?

[sherazwaqar]

I am using esignal. I think I had MergeBackAdjusted, but what it should be. Also What merge policy should I use in the instrument manager to have the same results for the continuous and the current contract.
Thanks for your quick reply.

[NinjaTrader_Matthew]

You would need to see if your data from eSignal is backadjusted or not.

Did you just run the test today? Do you know if the eSignal ##-## data is the 06-12 or 03-12?

For example Kinetick continuous data rolled over to ##-## today, so a backtest on the feeds for the 03-12 wouldn't yield the same results.