Strategy Analyzer with futures multiple expiry

[Boonfly8]

When backtest multiple months that span across multiple expirations, I am using the Merge back adjusted option under options for global merge policy.

How does this affect trades? None of my trades are carrying over to the next day so the merge should not affect me at all?

[NinjaTrader_PaulH]

Hello Boonfly8,

Thanks for your post.

The merge back-adjusted policy is the standard setting that provides for a seamless view of the historical data. From the helpguide (linked below):

MergeBackAdjusted

• Data from each individual expiry month across the time span of the historical data request is loaded
• Offset values will be used to back adjust the historical price data to match the next front month


Reference: https://ninjatrader.com/support/help...rge_policy.htm

This means that the prices from one contract to the next have been adjusted by some offset value allowing your strategy to run without large gaps that may exist from one contract to the next.

When running a strategy on live data you would not run from one contract to another but would stop the strategy on the expiring contract and restart the strategy on the new contract. The MergeBackAdjust policy allows you the convenience of running your strategy over a long period of time without having to stop/start.