Recognizing rollover dates in backtest

[orenshkol]

Hi,
So when running backtest with MergeNonBackAdjusted the Strategy Analyzer switches between Maturities according to the Rollover Dates specified for the Instrument. I wish that the strategy will recognize these dates and don't trade on them.

For example: The ES roll over from 'ES 12-15' to 'ES 03-16' on the 12/10/2015, I wish that the strategy will recognize that the 12/10/2015 is rollover date and will not trade on that day.

How can this be accomplished?

One solution I can think of is to test what is the current running maturity (12-15 or 03-16) and to check if it has changed, but I can't find where I can access the current maturity.
Another is to directly access the Rollover Dates from the strategy itself, but I don't how that can be done.

[NinjaTrader_ChelseaB]

Hello orenshkol,

In NinjaTrader 7, you would need to create a list of rollover dates. I am not aware of a way to query these from the NinjaTrader database, which means you would need to create this list.

Then in the code, if the current bar's date is equal to a date in your list, use a return to prevent the script from processing.

In NinjaTrader 8, support has been added to provide a collection of the rollover dates.
http://ninjatrader.com/support/helpG...collection.htm