Strategy Analyzer and Contract Rollover

[reynoldsn]

I've been having difficulty understanding how to do contract rollover in Strategy Analyzer. The instrument is CL which changes contract every month. Say, I want to test my strategy over the entire year of 2016. How is this done?

[NinjaTrader_JessicaP]

Helly reynoldsn, and thank you for your question.

To clarify the way contract front-months work, if you select for instance 03-17 as your front month expiry, and you iterate over 2 years, you will have data available for the entire 3 year range automatically. The historical data server you are pulling from has organized data in such a way that you can pull a continuous feed from a single front month going back as far as there is historical data for that instrument.

Therefore to test an entire year's worth of CL data, with an expiry front-month of 01-17, just select CL 01-17 as your instrument, and then a data range that covers a year.

Please let us know if there are any other ways we can help.

[wooofad]

Hello,

How does ninjatrader choose the current contract month when testing a large date range? Does it use contract roll dates rather than expiration dates? Is there a way to find out on what dates it chooses to use which contract? When viewing the chart or results, is it possible to determine which contract is being used for a particular trade? Thanks.

[NinjaTrader_PaulH]

Hello wooofad,

Thanks for your post.

The strategy analyzer and your chart, by default, will use the contract rollover dates for pulling historical data.

You can find all rollover dates on a per instrument basis by going to Tools>instrument then type or find an instrument, select it and select "edit" at the bottom right. In the "Instrument" window, scroll to the last row which will be the contract months, click in the row to then open the "Contract months" list. For reference, please see https://ninjatrader.com/support/help...nstruments.htm

"When viewing the chart or results, is it possible to determine which contract is being used for a particular trade?" No. What you can do is to export the "Trades" display of the analyzer to a spreadsheet and then filter it (though the spreadsheet functions) by dates related to the rollovers. On a chart, you could manually add vertical lines to visually define the contract dates.