The continous contract CL ##-## is an artificially spliced contract. It will never give any exact results and is not suited for backtesting. The main reason to use continous contracts is to avoid that price moves too far away from the cash market, if you look back over several years.
If you want to test any setups, you should use mergebackadjusted contracts. These are built from single month contracts, and in order to display the correclty, you need to enter appropriate rollover dates and check the offsets first.
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To display MergeBackAdjusted contracts, you need to select this option under -> Tools -> Options -> Data -> Merge Policy.
Editing rollover dates and offsets:
First you will need to go to the instrument manager and edit your instrument.
Select the definition tab and make sure that your Merge Policy is set to "UseGlobalSettings".
Then select the tab Misc and scroll down. The last field in the popup is called "Contract months". Mouse-Click into the right side, where it reads "50 contract months defined". You will then be able to open another popup and enter the rollover dates for the contract months. For CL you could use volume crossover to determine the appropriate rollover dates.
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