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Backtesting futures, contract duration?
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Backtesting futures, contract duration?
There is generally limited duration of data for futures contracts. For example the Crude oil january contract did not start trading significant volume untill the Dec. stopped trading. So, it is hard to test more than couple of months. Is there any way one can test longer durations or a test period segment in the past say 6/1/07 to 9/30/07 today?Tags: None
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Yes, you would have to merge two or more contracts together at their expiration boundaries. For example, download historical data for the current contract, download data for the prior expired contract, merge the expired into the current and then backtest the current with the extended data range of data.
More information - http://www.ninjatrader-support.com/H...eV6/Merge.htmlRayNinjaTrader Customer Service
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