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.
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