Market replay over a change of book

[WynneIndustries]

I tried to search the forum and came up empty, probably because I don't know how to ask what I'm trying to ask... so please forgive me for that!

I'm trying to run some replay tests on a strategy, but it seems to only work on the "selected" book. I have the December book and a bunch of days downloaded there and as well as the March book with the days up to current (on ES). Is there a way to run a cumulative test over the rollover instead of having to run each side separate?

Thank you in advance!

[NinjaTrader_ChelseaB]

Hello WynneIndustries,

Just as when trading live, the chart (and strategy) have to be set to the traded contract month. Unfortunately, NinjaTrader Brokerage does not allow for trading continuous contracts.
(With a data provider continuous contracts can be charted, but cannot be traded)

This means you will need to set the chart to the expiry contract month and roll the chart once the new contract date starts.

There is a rollover indications indicator that adds a button and optional date to make rolling a chart easier.

https://ninjatraderecosystem.com/user-app-share-download/rolloverindications-2/

[WynneIndustries]

That is exactly what I expected. It makes sense, I was just hoping there was a way to cross that rollover so I didn't have to do the math on separate runs, hah! I do have a question about that, though. Is there a way to look backward and see exactly when I changed books? As you know, both are active for a while and it is up to me (or accepting the auto change) on when it updates. I didn't write down the dates for the last couple and would like to test against "exactly" what I was doing.

Thank you for your time!

[NinjaTrader_ChelseaB]

Hello WynneIndustries,

The log would note when a strategy is disabled and re-enabled but does not note when the chart instrument is changed.

You could choose to use a custom indicator to write to a text file the date and time if the instrument changes.