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Having been trading stocks, I'm just now beginning to trade futures (and
back-test strategies), and so now have to deal with
contract expirations.
BMI Cable is my data vendor, and I am trading on 5- and 45-minute bars.
This must have been asked before: How do I create a "continuous
contract" for the purposes of back-testing a strategy?
Omega's web site is not very helpful. BMI supposedly broadcasts a
pseudo-symbol "SP-CONT" but it doesn't seem to be in
Omega's refresh data--and further it only captures the 24-hour S&P.
Any help appreciated!
Ian
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