Alright maybe I am terrible at merging data, but I can optimize on one set of merged data, and then run the previously optimized strategy on the previous contract month and get entirely different results. Down to per month. Does anyone else have this problem?

Hard to say just based on that, but there are lots of bugs. I reported a bug that happens if you span more than one calendar year to NT over a year ago... so if you are spanning a new year (ie: nov - march) that might be it.

Mike