The added chart shows what i mean; in dec 2006 you see the quotes of the old and the new contract simultaneously. The quotes are different. How can you do reliable calculations on these data? Dependeing on the pint from where you import the data, you will get different data and as a result different calculations.
i have used this method to allow for a longer data set for backtesting strats. it's a poor mans way i suppose.. it's not a continuous contract, just a continuous data set. i have edited the data to adjust gaps at contract change-over. (under edit symbol in gs). this can be tedious as well. currently, at end of contract.. i would just change the names of my symbols to new contract and proceed. i do prefer to have a long-continuous data stream for ATS development. if i was simply day-trading, i wouldn't bother.. good luck, bb
You can take the roll-over period to collect data in both contracts. This means that you should have about 1 week of data at the best before you must roll-over tho the new contract. That should be enough historical data for a daytrader. Daytraders normally don't need more historical data and even if they would, the data they would use (not corrected) is wrong to make correct calculations. How can you draw trendlines? How can you calculate any indicator correctly if you use data from two different contracts? You can't. I daytrade since 1990 and i never use data older than a few days.