BackTesting with Continuous Contract

[simple_goodoboy]

Hello,

I have more questions on back testing software as I am doing reading.

When Using the Strategy Analyzer back testing software what contract does the software use?

For instance, I trade the /CL crude future, and I want to back test from 1/16/2016 to 1/16/2017, does the back test software use the continuous contract (/CL) prices or the front contract (e.g, CLZ16, CLF17, CLG17, etc.) prices?


If the continuous contract (/CL) prices are used during back test and front contract (e.g., CLZ16, CLF17, CLG17, etc.) prices are used during strategy running real-time, will this effect real-time vs back test performance results?

Technically does using the continuous contract vs front month contract even matter cause its just prices the strategy is trading against? If that makes any sense.


I am asking this because my trading strategies are all based on trading calculated support and resistances which are previous day Pivot Points, High, Close, Low , Open prices. And I trying to think about if back testing this based on continuous contract prices will give me conflicting performance when I run that same strategy live. The back test can show profitability, but the real live testing I may never know until months later or even years back testing show different performance because the continuous contract issue.

Maybe I am thinking too much.
Thanks,

[NinjaTrader_ChelseaB]

Hello simple_goodoboy,

This will depend on the merge policy selected.

With MergeBackAdjusted (default setting) the chart with be continuous, stitched together by expiry month and adjusted by an offset to prevent gaps.

With MergeNonBackAdjusted the chart with be continuous but will not be adjusted.

With DoNotMerge only the data from the selected contact is shown. Chart is not continuous.

http://ninjatrader.com/support/helpGuides/nt8/en-us/merge_policy.htm

[simple_goodoboy]

Hello simple_goodoboy,

This will depend on the merge policy selected.

With MergeBackAdjusted (default setting) the chart with be continuous, stitched together by expiry month and adjusted by an offset to prevent gaps.

With MergeNonBackAdjusted the chart with be continuous but will not be adjusted.

With DoNotMerge only the data from the selected contact is shown. Chart is not continuous.

http://ninjatrader.com/support/helpG...rge_policy.htm

Thank you ChelseaB,

I need to study the guides, then I respond with questions if needed.