Fixing rollover gaps

[felipro]

Hi,

I am creating a simple trend-following strategy wich enters long positions when the current close price is greater than the last 50 highs:

(Close[0] > MAX(High, 50)[1]

The problem occurs when this period contains a rollover gap, dirting the trend information, once the gap is incorporated into the data series.

How can I deal with this behaviour?

I found the following link explaining how to fix this problem manually, for each roll over. Is there a programming way to bypass this problem?

https://www.youtube.com/watch?v=0OcGV5WP8_E

thank you so much.

[NinjaTrader_Jesse]

Hello,

Thank you for the question.

For Rollover gaps, you would want to ensure that you have Merge Back Adjusted set in the options menu or:
Tools -> Options -> Data -> MergeBackAdjusted

This will help with the rollover gaps, as far as price gaps for weekends, the best solution would actually be the video you have presented as there is not a way to automate adding the offset currently.

I look forward to being of further assistance.

[felipro]

Hi,

Thank you for your reply!

I indeed followed your instruction for setting NT's merging police to "MergeBackAdjusted", but I perceived some Instruments were not completly back adjusted, hence their chart viewing showed the gaps that should be closed. Is this flaw due to ploblems on data import routines?

Addittionaly, I'm not sure about the difference between the 2 back adjusted merging policies' options. Is the option "MergeNotBackAdjusted" only valid for real time calculations?

Thank you again, Felipe.

[Harry]

When you switch to a new contract, you can adjust for the gap or leave the data as it is.

MergeBackAdjusted: new contract shows exchange data, all prior contracts are backadjusted to eliminate the rollover gaps
MergeNonAdjusted: the chart shows original contract data for all contracts

In case that the rollover gap is not eliminated with setting MergeBackAdjusted, please check rollover date and offset under instrument settings. In some cases a regular gap may occur on the same day as the rollover gap.

[NinjaTrader_PatrickH]

Hello felipro,

Thank you for your response.

You can find information on Merge Policies at the following link: http://www.ninjatrader.com/support/h...rical_data.htm

For a video on adjusting rollover settings please visit the following link: https://www.youtube.com/watch?v=zzXBE2Jheog