Question about backgtesting with tick data and rollover dates and merges

[markdshark]

I've downloaded tick data data for CL and MCL from The Intentional Trader and I am hoping someone can help me gain a deeper understanding of NinjaTrader's merge policy for tick data or point me to some documentation.

Does the merge policy simply merge contracts on each rollover date or is there more to it? I'm more curious about overlapping contract data than the difference between merge back-adjusted vs non-back-adjusted (although I don't mind hearing about that too as I'm sure I will learn something new).

What prompts my question is that The Intentional Trader has some contracts with 3-4 months of overlapping data instead of just the 30 days of the active contract and I was curious about how one might use that if at all. How would Ninjatrader use (or ignore) that extra data when merging? Should I be extra careful and mind rollover dates when downloading?

Also sometimes I found I was getting different results in backtesting if I specified the current contract and relied on the merge policy vs if I specified the particular contract for the dates I was testing... Say by using CL & MCL 02-23 for testing Jan 01-Jan 20, 2023 instead of using the current contract 09-23.

Thanks in advance!
Mark

[NinjaTrader_Emily]

Hello markdshark,

Thank you for your post.

Overlapping data will not affect how data is merged. The different merge policy options are explained in the help guide here:

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

If you select MergeBackAdjusted, what you would see is on the date of the rollover (configured in the instrument settings) between two contract months, the data will appear to be seamlessly merged because an offset value is applied to connect the last price point of the previous contract with the first price point of the next contract. If you select MergeNonBackAdjusted, there could be gaps in data on the rollover dates because it will simply go from the last price point of the previous contract to the first price point of the next contract with no offset applied. You can see the difference in the two screenshots on the help guide page, or you could test this yourself by loading data both with back adjusted data and without back adjusted data. Finally, if you select DoNotMerge, only data from the selected expiry will be shown. If you wanted to see all data from a contract, this is how you could see it including overlapping data. You could toggle between one contract, the contract before it, and the contract after it, and you would likely see price points for several of the same dates between those contracts considering there is overlapping data. For example, you could review the Crude Oil Futures (CL) calendar on the publicly available CME website here:

https://www.cmegroup.com/markets/energy/crude-oil/light-sweet-crude.calendar.html

Notice how there is a lot of overlap between the First Trade and Last Trade dates across the different contract months.

Backtests in the Strategy Analyzer will follow the merge policy set up at Control Center > Tools > Options > Market Data > Merge Policy. Results could differ based on what front month you select in your backtest settings as well as which merge policy you have selected.

Please let us know if we may be of further assistance.