backtesting

[abdullah]

I want to back test a strategy but I want to use the contract I would have traded for the month I'm testing... how do I set NT8 to change the contract over a 6 month rolling period.

[NinjaTrader_Jason]

Hello abdullah,

NinjaTrader is setup by default to load historical data for the expiry month that was the front month upon backtesting. I assume 'Global merge policy' is set to 'Merge back adjusted' at Control Center-->Tools-->Options-->Market data.

Historical data is loaded as per the rollover dates setup. You can find rollover dates in NinjaTrader 8 as follows.

Go to Control Center-->Tools-->Instruments.

Double click a futures instrument.

Scroll to the bottom in the new window that opens up.

Click the Contract months field and another window opens up.

The new window shows all expiry months and their rollover dates.


For example, the ES uses the following rollover dates:

12-17 - September 7th 2017
09-17 - June 8th 2017
06-17 - March 9th 2017
03-17 - December 8th 2016

This means that between September 7th and June 8th, historical data for the 09-17 expiry month is loaded. 06-17 historical data is loaded between June 8th and March 9th and so on.