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Historical data - continuous vs contract

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    Historical data - continuous vs contract

    Hello, maybe stupid question, but if I decide to buy historical 1m data (from Kibot) which I can use primary in Strategy analyzer (backtest, optimizer, Walking forward), what is a difference between buying continuous or contract data? I understand the difference between them, but which data should I buy to make sure that values and optimizations are valuable for real trading? ( I mean - should I buy lets say 10 years of continuous YM data or 10 years of YM contract data?). Does it matter which type of them or which type would you advice due to my plans with optimizer, backtest, walking forward ?

    #2
    Hello Tomass,
    Thanks for your post.

    I suggest going the contract data route. This allows you to be much more flexible with how you use your historical data and will be compatible with NT8 if you ever decide to migrate.

    As far as the differences between backtesting the continuous data and the contract data it would depend on the offset values used by the data provider. If the values the data providers uses for offset between contracts is different from NinjaTrader than you will see differences in results.

    I believe this would all hold true no matter if you are backtesting, optimizing, or doing walk forward optimization.
    Last edited by NinjaTrader_JoshG; 10-08-2018, 08:59 AM.
    Josh G.NinjaTrader Customer Service

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      #3
      Thank you for your answer - does it mean - if I order contracts data (which means- there will be specifif significant gaps between contracts months) does it mean - if I want to use optimizer, backtester and walking forward in ninjatrader - that ninja will make a continuous data from those contract data himself?...Lets say it this way - If I order continuous data- I can not be sure how they split and join data together and there can be some differrent results...But if I order contract month data - it means - I have real data from real contract months (no changes) but for using it for optimizer, Backtest and Walking forward - Ninja will make it continuous contracts by its is own right way?? Just to make it sure - I do not mind which data to buy - until if I use them in optimizer- they give the realistic results and they fit the real data conditions... I just need a data for lets say last 10 years to find strategies thanks to strategy analyzer.... And looking for a right data to fit reality most...Thank you for your answer and time. Obviously - continuous data gives me a nice "flow" of data with no different "contract gaps". But contracts data are "raw" reality data ( in my hopes). Does it mean -that if I order contracts data - ninjatrader himself will make it to continous data??? (lets say that I use optimizing in strategy analyzer from 2010 to 2018 - many contract months together - does it mean ninja will automatically chain those different contract months into one data feed to provide most realistic results?), Thank you for your answer...Basically optimizing, backtesting and walking forward analyzing are most important part of my strategies and I just want to make sure I am using right resource of data to say that result from those analysis are valuable...

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        #4
        Contract data will be the most common way to look at specific set of futures data. NinjaTrader has merge policy settings for the reason you describe. Setting the merge policy to "Merge back-adjusted" will create synthetic continuous contracts(from your contract data) for you that you can test your strategy against.

        Help Guide - Merge Policy
        Josh G.NinjaTrader Customer Service

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          #5
          Hello, thank you for your answer. I decided to compare one minute contract data from my broker (IB) and from provider with historical data (KIBOT). They are same, so it is ok...HOWEVER - I am from Europe and KIBOT data are set for Eastern Time Zone (ET)... So data from Kibot are same - however "lagging" 6 hours due to fact that my time in Europe is + 6 hours (if historical data from Kibot says 12:00 - it means that these values are at 18:00 on my graphs)..Can you please give me any advice how to setup these timestamps on imported historical data, to make sure that they show same values at the same time?

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            #6
            Glad to hear everything worked out for you.

            The only thing you can really do there is change the timezone on your PC to match the historical data.

            The following link has more information on importing historical data into NinjaTrader 7

            https://ninjatrader.com/support/help...?importing.htm
            Josh G.NinjaTrader Customer Service

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