best way to test 3 days pivots and data merge/backadjusted...

[music_p13]

Hello,

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

[NinjaTrader_AlanP]

Hello music_p13,

Thank you for your note.

If you were to use a continuous series with merge back adjusted, the previous 3 days highs/lows would be adjusted so that the difference between today and 3 days ago during a period of roll should be an amount about the same as today minus 3 days ago using the same contract.

We would not be able to provide advice on which approach which is best.

Please let us know if you need further assistance.