How do I actually trade a mechanical system over real contracts ?

[". ." <kinnay1@xxxxxxxxxxx>]

Greetings,

This is a question to those that ACTUALLY TRADE MECHANICAL SYSTEMS IN REAL 
LIFE!

I have studied technical analysis, got software, got historical 
back-adjusted futures data, tested systems, thought about money management, 
etc. etc...

Now, how do I actually trade a mechanical trading system over real 
limited-life futures contracts ???

If I have various indicators that require certain number of daily bars to 
analyze, what do I do when a contract approaches expiration ?

Which contract data do I use to get a signal - the old or the new one ?

What happens at the cutover to the new contract ?

I have not found anything in literature that clearly explains this.

Any explanation or link to an explanation would be greatlely appreciated.


Thanks,

yc