Rollover and automatic strategy

[daying35]

I’m a beginner and I have created a strategy with strategy builder, the strategy works with daily bars in the ES instrument, my question is:

If the automatic strategy enters with a Long market order in the ES 06-23 contract, could the strategy continue with the open position at the end of the ES 06-23 contract and continue with the same open position in the next contract ES 09-23?

Thank you.

[QuantKey_Bruce]

No, not in "real life" - you have to roll your positions over manually. In back-testing, yes, unless you have your merge policy set to Do not merge - it would think it is trading the current contract the entire time.

The cost of rolling over the positions is often underestimated for long-term or even swing trading. It's not just commissions and slippage but also the difference in prices between the two contracts that is at issue and this is often not taken into account by efforts to back-test these kinds of strategies.

[NinjaTrader_ChrisL]

Hello, thanks for writing in. This would require a strategy that uses the Adopt Account Position startup behavior. This is not going to be available to Strategy builder strategies because it requires some extra code to activate the option. Please see here for the documentation:

https://ninjatrader.com/support/helpGuides/nt8/index.html?syncing_account_positions.htm#AdoptAccountPosition

[daying35]

No, not in "real life" - you have to roll your positions over manually. In back-testing, yes, unless you have your merge policy set to Do not merge - it would think it is trading the current contract the entire time.

The cost of rolling over the positions is often underestimated for long-term or even swing trading. It's not just commissions and slippage but also the difference in prices between the two contracts that is at issue and this is often not taken into account by efforts to back-test these kinds of strategies.

Where could I see the cost of rolling over long-term positions? Or is that directly with my broker or with Ninjatrader?

Thank you!

[QuantKey_Bruce]

It varies. You would have to basically sell the old contract and buy the new contract. You can try using limit orders but ultimately, you'll have to do it whether you get the limit price or not if you wait until the last day. You'll need to pay commissions, slippage if market orders, and of course because the one you're buying is always higher priced than the one you're selling (for a long position) there is an inherent cost to the transaction.