Backtesting Mulitple Months, Multiple Contracts

[reynoldsn]

I want to backtest oil, CL, for an entire year - but with the Backtester I have to select a contract. CL changes every month. How would it be possible to backtest over an entire year?

[sledge]

Cl ##-## ?

[NinjaTrader_Brandon]

Hello reynoldsn,

Thanks for writing in.

Sledge is correct, if you data provider supports continuous contracts you may use ##-## for the contract month. However, NinjaTrader has a default merge policy under Tools> Options> Data of MergeBackAdjusted that you should alos just be able to use the current front month and past months data will be merged and adjusted to it.

[reynoldsn]

I've been using AMP with CQG data - do they support continuous contracts? Are you saying that despite that, I could set MergeBackAdjusted to run the year as well?
In any event, how will the Backtester pick which day to change contracts?

[NinjaTrader_Brandon]

Hello reynoldsn,

Thanks for your reply.

With NinjaTrader CQG supports historical data for continuous contracts but not realtime. Yes, you may use the current front month with the default merge policy.
NinjaTrader will over based on the settings under:
Tools> Instrument Manager
Select the instrument under Available Master Instruments and press Edit
Select the Misc tab
Scroll to the bottom and select Contract Months then press the '...' button
Now you will see when each contract is set to rollover