Walk Forward Analysis over contract roll

[GKonheiser]

Morning,

What is the best way to preform a WFA over several year of 3 month contracts? How can i prevent the strategy holding a position over a contract roll?

[NinjaTrader_Bertrand]

GKonheiser, would your script hold overnight? NT7 would automatically roll for you with the merging enabled (which would per default). It has rollover dates stored and transparently merges then past historical data into your current contrat's data request. An alternative would be using the ##-## contracts where the rollovers are defined server side by the provider and so one continuous contract is offered.

[GKonheiser]

Hi Bertrand,

Yes my strategy has overnights. So when would it roll by default, the last day? How does it handle the stops then if there is a big difference in the price?

Thanks

[NinjaTrader_Bertrand]

Thanks GKonheiser - it would not automatically roll your position / execute on another frontmonth as the you will work from the current expiry but just get historical data merged in when you data request goes over the limits provided by the contract. The rolldates set per default can all be reviewed under Tools > Instrument Manager > in the Edit > Misc section for each master instrument. For equity futures those will coincide with the CME published ones.

[GKonheiser]

Bertrand what happens if I have merge policy set to do not merge and I do a WFA over several contracts with say 100 days in sample and 30 days out of sample, how will it be handled. What will the analyser do with positions that are open at the end of a contract?

[NinjaTrader_Bertrand]

With the merge option set to do not merge > you do not have the ability to walk forward over the individual contract boundaries, the open position at the end of the data set then would be closed as the backtesting is finished. Same as you would see for regular testing in the Strategy Analyzer.