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Backtest ES Futures Strategies to Understand Market Behavior

Backtesting an automated futures trading strategy enables you to see how a trade would have performed in historical market conditions. NinjaTrader’s award winning software equips traders with a robust backtesting environment through its Strategy Analyzer feature.

Preconfigured in the Strategy Analyzer is a Simple Moving Average (SMA) crossover that is available for backtesting. Using this strategy, both long and short positions are executed if either the short period SMA crosses over the long period SMA (Buy) or vice versa (Sell).

To backtest the Simple Moving Average crossover strategy on the S&P 500 futures contract (ES), follow the steps below:

  1. From within the Control Center window, click “New” and select ‘Strategy Analyzer’Select ‘Chart’ from the ‘Display’ drop-down menu located at the top left of the Strategy Analyzer window
  2. Select ‘Simple MA crossover’ from the ‘Strategy’ drop-down menu under the ‘General’ portion of the Settings menu on the right of the ‘Strategy Analyzer’ window
  3. Select ‘Day’ from the ‘Type’ drop-down menu under ‘Data Series’
  4. Click ‘Run’ button at the bottom right of the ‘Strategy Analyzer’ window

The NinjaTrader Strategy Analyzer supports a number of user defined backtesting properties to optimize test results. Learn more in the NinjaTrader Help Guide.

Below is a screenshot of the strategy analyzer window showing the S&P 500 futures contract (ES) with a Simple Moving Average crossover strategy applied:

Backtest E-Mini Futures

Watch the video below for an introduction on how use Strategy Analyzer on the NinjaTrader 8 online trading platform.

As always, remember past performance is not indicative of future results and you should always trade within your risk tolerance levels.

As an award-wining futures broker NinjaTrader provides deep discount commissions and unmatched support. Download NinjaTrader free today and start using the Strategy Analyzer to backtest your strategies!