Simulating next contract

[boaza]

How do I back-test on the next expiry contract? Will the continuous-contract logic work as expected (i.e. each turn-over time it will replace the current contract with the one with the next expiry)?

For example, I want to back-test a strategy on the 'GE 06-12' Eurodollar contract. Today, (22-Feb-2012), this is not the near-expiry contract (which is the GE 03-12), but the next-expiry one.

Thanks,
Boaz

[NinjaTrader_Bertrand]

Hi Boaz, this would not work with the default continuous contract logic running - as it would know the 06-12 is not the fronth month until March 19...if you would like to use 06-12 data you could set the merge policy for the GE temporarily to DoNotMerge in your Instrument Manager so it would only access this contract then.

[boaza]

Thanks Bertrand.

You mentioned the 'default' continuous contract logic. Is there any way to override it - my final goal is to back test the next-expiry contract for 3 years or so.

[NinjaTrader_AdamP]

boaza,

There is no way to override this logic. You can however create your own data for a merged contract using whatever criteria you want in a csv file and import it using the historical data manager.

The continuous contract is the recommended way of backtesting a contract over contract roll-overs.

Please let me know if I may assist further.