Transitioning from one contract to another

[Mark Baze <mark_baze@xxxxxxxxx>]

Hi everyone,

While backtesting, I realized that I'm not very clear
on what the best way is to handle data at rollover
time for futures (s&p500) contracts in order to have a
smooth transition from one contract to another so that
system signals will be properly generated by TS.  That
is, most systems need to have some number of lead-in
bars prior to generating a signal in order to give a
correct signal (or to give a signal at all).  How do
people handle this?

Do you use a few days (in the case, e.g., of a system
that trades off 60 min bars) worth of the pre-rollover
price data (the light volume stuff) that occurs for
the new contract prior to the actual rollover date,
e.g., use the SPU1 starting at, say, 6/4/01, instead
of 6/7/01, which is the typical rollover date?  {Using
overnight data isn't an option for me since it has a
negative effect on my system and it doesn't provide a
long enough pre-period of time anyway.)

Alternatively, to be most consistent in using a system
that was optimized using continuous back-adjusted
contracts, it would almost seem that one should do a
similar sort of continous back-adjustment at rollover
in realtime.  This raises the issue, is it possible to
somehow "trick" TradeStation (2000i) into adding data
for one contract, e.g., SPU1, onto previously
collected .omz or .xpo data of another, e.g., SPM1, in
realtime or otherwise?  Can one make a continuous .omz
or .xpo contract similar to what can easily be done
with text files? 

Thanks for any suggestions,
Mark