backtesting futures - adjustment

[uday12]

I saw a Youtube video on advanced strategy development which showed a few options back adjustment, no adjustment etc for futures trading.

Suppose I want to do an adjustment while backtesting futures data, is there a place where I can specify my own adjustment rules, e.g. suppose I want to rollover say N days before maturity/ expiry for a particular market?

[NinjaTrader_DrewO]

Hello,

Thanks for your post.

This would not be something that would be available to change in the Strategy Analyzer. If you'd like to adjust the rollover dates for any contracts, the only option would be to add your own rollover dates in the Instrument Manager or to use time checks in your logic for specific dates.

[uday12]

Hello,

Thanks for your post.

This would not be something that would be available to change in the Strategy Analyzer. If you'd like to adjust the rollover dates for any contracts, the only option would be to add your own rollover dates in the Instrument Manager or to use time checks in your logic for specific dates.

Hi Drew, thanks for the answer. Would you have any information or link about what is the default rollover date assumptions used for contract adjustments particularly for some of the major contracts like ES, CL, GC, etc?

[NinjaTrader_DrewO]

Hello,

Thanks for your note.

NinjaTrader comes set up with expiratiosn based on the typical rollover date of years past.

You can view an instruments default rollover configuratrion in the Instrument Manager. This can be found under Tools -> Instrument Manager -> Search for the instrument by name or description -> Select the instrument once found -> Edit. Inside the Edit window, click the "Misc" tab and scroll to the very bottom. Select "Contract months" and then press the "..." button that appears.

[uday12]

Hello,

Thanks for your note.

NinjaTrader comes set up with expiratiosn based on the typical rollover date of years past.

You can view an instruments default rollover configuratrion in the Instrument Manager. This can be found under Tools -> Instrument Manager -> Search for the instrument by name or description -> Select the instrument once found -> Edit. Inside the Edit window, click the "Misc" tab and scroll to the very bottom. Select "Contract months" and then press the "..." button that appears.

Thanks Drew. One more question, when I click on the "..." and looked at the rollover dates, some of the them have an "Offset" value. What does the "Offset" value stand for?

[NinjaTrader_DrewO]

Hello,

The offset is the value that NinjaTrader uses to merge the past historical data to ensure a smooth flow of data. The offset value refers to the difference between the last price of the previous contract, and the open price of the next contract on the specified day for rollover.