Chart Strategy Performance with prior expiry

[IanS00]

Hi, when using the chart's Strategy Performance (historical) menu, does it only look at the selected expiry of the instrument? I'm trying to analyze data for CL, which has a monthly expiry, and the Control Center's "Strategy Analyzer" is virtually unworkable.

[NinjaTrader_BrandonH]

Hello IanS00,

Thanks for your post.

When generating a 'Strategy Performance (historical)' report by right-clicking on the strategy in the Strategies window and selecting Strategy Performance > Historical, the report will be generated for historical data only.

For example, if you enable the strategy on a chart that has 5 days of data loaded on the chart, then generate a historical Strategy Performance report the historical Strategy Performance report would be generated for the 5 days of historical data that is on the chart from the time the strategy was enabled.

If you are using the Strategy Analyzer window to backtest a strategy on historical data, the most current contract date could be used in the Strategy Analyzer. The Merge Policy in the platform merges previous contracts into the current contract.

Here is a forum thread detailing merge policy: https://forum.ninjatrader.com/forum/...627#post835627

See this help guide page for more information about Merge Policy: https://ninjatrader.com/support/help...rge_policy.htm

See this help guide page about backtesting strategies in the Strategy Analyzer: https://ninjatrader.com/support/help...a_strategy.htm

See this help guide page about generating Strategy Performance reports from the Strategies tab of the Control Center: https://ninjatrader.com/support/help...tegies_tab.htm

Please review the help guide document on the differences on real-time vs backtest (historical) i nthe Strategy Analyzer.

https://ninjatrader.com/support/helpGuides/nt8/discrepancies_real-time_vs_bac.htm

[IanS00]

Hello IanS00,


When generating a 'Strategy Performance (historical)' report by right-clicking on the strategy in the Strategies window and selecting Strategy Performance > Historical, the report will be generated for historical data only.

For example, if you enable the strategy on a chart that has 5 days of data loaded on the chart, then generate a historical Strategy Performance report the historical Strategy Performance report would be generated for the 5 days of historical data that is on the chart from the time the strategy was enabled.

OK I was wondering if this takes prior contracts into account. E.g. if I've got a chart loaded with 90 days' data, September's price-action for CL 12-23 could be different from CL 11-23.

The links don't seem clear on whether this "merge policy" applies just to the Control Panel's Strategy Analyzer, or also to the chart's Strategy Performance History report.

[NinjaTrader_BrandonH]

Hello IanS00,

Thanks for your notes.

Historical data loading is based on the merge policy you have set.

Charts and the Strategy Analyzer will only use the contract month selected, and will load historical data based on the merge policy.

With MergeBackAdjusted, this will join previous contract dates in the historical data by the rollover date and normalize the prices by the offset multiplier.

With MergeNonBackAdjusted the chart with be continuous (stitched together by expiry month from the rollover date of the expiry month to the rollover date of the previous expiry month) but will not be adjusted and there will be gaps in price from one contract to the next.

With DoNotMerge only the data from the selected contact is shown and previous contract months will not be loaded. Chart is not continuous.

Please see this forum thread for more information on this topic: https://forum.ninjatrader.com/forum/...t782986