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I have had the same problem when first time rolling over CL - contract, but checked the problem out myself, I adjusted to ' Do not merge ' and anything was allright again.
I have left ' Do not merge ' there as standard / default since that time.
Regards
Klaus
Can you help answer these questions from other members on NexusFi?
This depends on the lookback period of your charts / data series. If you just need a few days that is fine. But the setting DoNotMerge has a number of disadvantages.
(a) The new front month is illiquid prior to rollover day. So you cannot do any serious volume analysis over the chart period.
(b) Also you will not find any realistic values, when backtesting over a longer period.
The setting DoNotMerge does not solve the problem, if you are not a scalper. Apppropriate settings for futures contract depend on trading style and indicators used. As a rule you may take
lookback period until a few days prior to rollover date -> do not merge
lookback period until two years max. -> mergebackadjusted
logner term lookback period -> continuous contracts (spliced)