Market replay, change instrument for a strategy

[nailz420]

Hi,

I use Market Replay a lot and I test multiple strategy with different parameters. Sometimes I want to test the same strat with a different instrument, but it appears not to be possible in the strategy edit menu. Example: strategy set for "CL 06-11" but I want to replay it now with the SAME parameter values through "CL 03-11".

Would it be hard to make this possible?

Thanks,
Tim

[NinjaTrader_Matthew]

Hello nailz420,

Thank you for your feedback. Unfortunately it is not possible to continuously test these strategies on another front month. You would need to stop the strategy and change the front month.

However, if you were recording the data from a continuous contract source, it would be possible. Continuous contracts are only offered from providers such as Kinetick, Iqfeed or eSignal. The expiry used in this case would be CL ##-##.

[anachronist]

Continuous contracts are only offered from providers such as Kinetick, Iqfeed or eSignal. The expiry used in this case would be CL ##-##.

Really? I thought NT7 merges different contracts into one continuous contract if you ask for enough historical data. For example, I'm using Zen-fire, looking at a CL 12-11 60 minute chart for the last 180 days. I'm pretty sure that it isn't showing me the 12-11 contract for prices that occurred six months ago.

Is the problem that one can't back-test over such data? I admit I haven't tried that.

-A

[NinjaTrader_Matthew]

Hello anachronist,

You are correct that NinjaTrader 7 does Merge data which can be backadjusted or non backadjusted to offer continuous contacts, however these are not native continuous contracts from the provider.

When backtesting using the Strategy Analyzer, the merge policy will work seamlessly, however market replay will not work in the same manner.