Running backtest with continuous Futures.

[rocketman7]

Hi team,

I found the backtesting results differ depending on what instrument expire I put when testing time periods are quite long enough.
Let's say if I run a backtest from Jan 2023 to Mar 2024, I would like the Strategy Analyzer to apply the recent expiry Futures respectively.

How can I make the analyzer to do so?

Thanks,

[NinjaTrader_ChelseaB]

Hello rocketman7,

This is done automatically when using the MergeBackAdjusted merge policy.

This forum thread details how this works.

https://ninjatrader.com/support/forum/forum/ninjatrader-7/strategy-development-aa/96311-backtesting-choosing-contract-month?p=782986#post782986

[MiroslavH]

Hi, I have a issue with creating continuous contract for 6E. I have tick data for 5 years back and using Kinetick data. For some strange reason I have only data from 23.9.2024 till today and I am not able to get more data on the charts or into strategy analyzer. I am using mergebackadjusted as instructed in the post below. Any clue and tip how to add more data into continuous contract?

Thank you

BR

Miroslav

[NinjaTrader_ChelseaB]

Hello BR,

Instead of using a continuous contract, us the current contract month and use the MergeBackAdjusted merge policy.

For 6E use 6E 06-25 as the instrument. NinjaTrader will automatically load previous contracts.

A continuous contract ##-## will not use the merge policy and cannot pull data from actual contract months data. It can only pull from the continuous contract data.

[MiroslavH]

Hello BR,

Instead of using a continuous contract, us the current contract month and use the MergeBackAdjusted merge policy.

For 6E use 6E 06-25 as the instrument. NinjaTrader will automatically load previous contracts.

A continuous contract ##-## will not use the merge policy and cannot pull data from actual contract months data. It can only pull from the continuous contract data.

Great it is working. So why there is continous contract than?

Thank you

BR

Miroslav

[NinjaTrader_ChelseaB]

Hello BR,

Antiquated data that might be used by other platforms.

NinjaTrader data does not have continuous contracts data.