Backtesting Across Multiple Contracts

[reynoldsn]

I just downloaded historical data for CL 12-16 for dates 11-18-2015 through 11-02-2016 (almost 1 year of data). This spans 12 contracts.
I set my Backtest panel to trade from 11-18-2015 through 11-02-2016 and then executed the strategy.
Trades were taken across all dates but the Instrument column on the Trades tab only shows CL 12-16 for all trades. How come it doesn't reflect the actual contract symbol the trade was taken in?
(my Merge policy is set to MergeBackAdjusted)
Please see screen-shot.

[NinjaTrader_JessicaP]

Hello reynoldsn,


As this was the behavior in NinjaTrader 7, I have submitted a feature request to the product management team for the following feature :


This customer would like to see futures symbol expiries match expiry dates when backtesting strategies over time periods spanning multiple expiries


I will follow up with more information as soon as it's available. If the feature requests already exists, a vote will be added to it.


Please let us know if there are any other ways we can help.

[NinjaTrader_JessicaP]

Hello reynoldsn,

This feature is being reviewed by the product management team and has been assigned the following unique tracking ID


SFT-1717

Please keep in mind that the other contract month's data is being merged into the front month, and that this is the reason the decision was made to display the front month only.



Please let us know if there is any other way we can help.

[reynoldsn]

Please keep in mind that the other contract month's data is being merged into the front month, and that this is the reason the decision was made to display the front month only.

Can you clarify? What do you mean that data is being merged into the front month? Can you provide an example?

[NinjaTrader_JessicaP]

The easiest way to show what is meant would be to load a CL 10-16 and CL 11-16 daily chart going back 365 days next to each other. You will see each goes back a year when it pulls data from your server, but the CL 10-16 chart only goes forward in time until the end of its expiry.

[reynoldsn]

I apologize - I am still not following.

[NinjaTrader_JessicaP]

No apologies necessary, we are always happy to help.

This video highlights the differences between the ES 09-16 and ES 12-16 data series.

http://screencast.com/t/uHZ1zrNa2X

As far as why the two data series are different, these two publicly available wikipedia links will go into more detail.

https://en.wikipedia.org/wiki/Delivery_month

https://en.wikipedia.org/wiki/Mark-to-market

Please let us know if there are any other ways we can help.

[reynoldsn]

Thanks very much for the screen-cast.

I would like to ask the question a different way. If I back test (or replay) CL 12-16, I want to use dates 10/18/2016 through 11/17/2016. And when testing CL 11-16, use dates 09/18/2016 through 10/17/2016. So then if I set the start and end date in back tester (or start and end date in the timer window for replay), to startDate=9/18/2016, endDate=11/17/2016, I would like the testing to switch contracts on 10/18/2016. How can I achieve this?

[NinjaTrader_JessicaP]

In this case, you will need to export data from the CL 11-16 and import it into the data with the CL 12-16.

You can export data via Tools -> Historical Data Manager -> Export -> Select your instrument -> Last -> Tick -> Set a date range on the right -> Export.

You can then rename the exported file so that it will import on the 12-16 frontmonth.

Finally you can import data via Tools -> Historical DataManager -> Import -> Format = NinjaTrader (timestamps in import file(s) represent end of bar time) -> Data tyhpe = Last -> Time zone of imported data = UTC -> Optionally check both boxes -> Start Import.

Remember to remain disconnected from your data feed provider, or your overwritten data will be lost.