Optimization spanning more than one futures contract

[AnotherTrader]

Can I run an optimization in Strategy Analyzer that spans a time period over which more than a single futures contract will have been the "current contract", and so that the optimization outputs performance results of the strategy combining whatever was front-month contract at each time (rather than performance results over each front-month contract individually)?

I hope that makes sense ...

[AnotherTrader]

Can I run an optimization in Strategy Analyzer that spans a time period over which more than a single futures contract will have been the "current contract", and so that the optimization outputs performance results of the strategy combining whatever was front-month contract at each time (rather than performance results over each front-month contract individually)?

I hope that makes sense ...

Is that what "Aggregated" is for?

[NinjaTrader_Matthew]

I guess I'm not sure I follow - can you give me an example of what you'd like to do?

[AnotherTrader]

I guess I'm not sure I follow - can you give me an example of what you'd like to do?

Sure, no problem.

I have an intraday custom strategy that trades on the ES and I want to do a 12-month optimization.

Over these last 12-months, the front month ES contracts were (at different times) ES 12-12, ES 09-12, ES 06-12, ES 03-12, and ES 12-11.

I have these contracts in a list in the Instrument Manager, and I can run the optimization over the list.

What I want as a result of the optimization is to find the best set of parameters over the whole 12-months ... not just for say ES 12-12 during the time that it was the front month contract ...

Is that what setting Aggregate = "true" will give me?

Or should I add "##-##" to the Instrument list?

Is that clearer?

[pmaglio]

Can I run an optimization in Strategy Analyzer that spans a time period over which more than a single futures contract will have been the "current contract", and so that the optimization outputs performance results of the strategy combining whatever was front-month contract at each time (rather than performance results over each front-month contract individually)?

I hope that makes sense ...

This is done by default ; you specify the current front month but ninja uses the corresponding contract to each date of the test. Assuming you have the defaults ( Merge policy = MergeBackAdjusted )

Regards,
Pablo