Days are Skipped

[reynoldsn]

I just downloaded one month of data for CL for 9/19/2016 through 10/17/2016. Back-tester skips most days in September. I do not have this problem using market-replay. Why is back-tester doing this?
I use NT7.
What additional information do you need?
Thank you

[NinjaTrader_AlanP]

Hello Reynoldsn,

Thank you for writing in.

What crude expiration are you attempting to run the back test on? For example, CL 12-16?

Under Control Center>Tools>Data Tab, what is your merge policy set to? For example, DoNotMerge.

Who is your data provider / who do you connect to?

When you go to the Historical Data Manager under Tools on the Control Center, either under the Export or Edit tab, and expand the CL expiry for which you are running the backtest on, is the data listed? See attached screen shot.

I look forward to your reply.

[reynoldsn]

Hello,
The symbol is CL 11-16.
The merge policy is DoNotMerge. (is that ok?)
Data provider is CQG.

But I think you found the problem. When I expand Edit tab under Historical manager, the data is not listed. However, you can see from my Windows Explorer that the data is there. Please advise.

[NinjaTrader_AlanP]

Hello Reynoldsn,

Backtests run using historical data whereas replay uses replay data, the two are not the same. The folders you have highlighted show you have replay data for those days. You should download historical data for the days you are missing to have it included in the backtest.

I have provided a link to instructions on downloading historical data below,

http://ninjatrader.com/support/helpGuides/nt7/?download.htm

Please let us know if you need further assistance.

[reynoldsn]

Yes! That's it. I didn't realize there was a separate task for backtest data.

Related above is how to set the Merge policy. I have never understood this setting even after reading the online help. How am I supposed to set it?

[NinjaTrader_AlanP]

Hello Reynoldsn,

How you set the merge policy depends on your needs. If you want to only use data for a specific contract month you would use DoNotMerge, if you wanted a continuous contract, you would use MergeBackAdjusted-(Many users call this a continuous chart) or MergeNonBackAdjusted.

See understanding Merge policies section of our helpguide:

http://ninjatrader.com/support/helpGuides/nt7/?historical_data.htm

Please let us know if you need further assistance.

[reynoldsn]

Suppose I am running 2 months of replay data spanning 2 contracts for CL. So then I would use MergeBackAdjusted, right? which contract would I set the chart too? How does NT know which contract to use on which dates? For oil, volume usually switches around the 18th of the month. How would NT know to do this during replay?

[NinjaTrader_AlanP]

Hello Reynoldsn,

If you wanted to run replay covering two contracts as one, rather than independently, you could use MergeBackAdjusted yes. You could set your contract to any crude expiration further out, say CL 12-16 and it’ll string them together.

To check when the contracts roll you could go to Control Center>Tools>Instrument Manager, search the contract, highlight it, then click edit. Go to the Misc tab, scroll to the bottom and click Contract Months Defined. Inside each expiry will be the date it rolls.

Please let us know if you need further assistance.

[reynoldsn]

I am setting up a simple test trading CL from 09-14-2014 through 09-19-2014. This represents a change on contract from CL 10-14 to CL 11-14. Volume most likely changed to the new contract on 09-18-2014.

To check when the contracts roll you could go to Control Center>Tools>Instrument Manager, search the contract, highlight it, then click edit. Go to the Misc tab, scroll to the bottom and click Contract Months Defined. Inside each expiry will be the date it rolls.

I am following your directions but I don't see how to identify contract rollover. I have opened Instrument Manager and selected CL 10-14 (screen-shot #1). When I click Contract Months defined, I see screen-shot #2. What am I looking here to see when the contract will switch from CL 10-14 to CL 11-14?

[reynoldsn]

Just to clarify my last comment, for now I am testing in Market Replay. I will tackle historical data soon.

Thank you

[NinjaTrader_AlanP]

Hello Reynoldsn,

To see when crude rolled to the November contract you’d want to click on the 11-14 contract and then look at the roll over date. Please see the attached screen shot. In your screen shot you are selecting the 12-17 contract.

Please let us know if you need further assistance.

[reynoldsn]

CL 11-14 is not in my list. for some reason all I have are the quarterly contracts (3,6,9,12). I don't know how they were populated.
I clicked 'New' and it added CL 11-16 despite my having selected CL 11-14 the screen before. Please see the screen-shot. Please advise.

Also, what is the Offset field used for?

[NinjaTrader_AlanP]

Hello Reynoldsn,

I would suggest resetting your instruments which will provide you with 11-14 contract as well as other contracts outside of 3/6/9/12.

Offset is the difference between the new front month and the previous front month. For example if oct crude rolled on x date to Nov, on x date the difference between the Oct contract and Nov contract was 50 ticks, then the offset would be 50. Its used to adjust historical data so you can view a continuous chart over many rolls.

Please let us know if you need further assistance.