Continuous Contract for Backtesting

[dancorcal]

I am doing backtesting on the E-Mini contracts. Is there a way to test the continuous contract like /ES or /YM instead of just the quarterly contracts separately like the ES09-09,ES06-09, etc...?

[Baruch]

Hi,
You need to merge contracts! "Tools>Historical Data> Merge.
The merge steps here it goes:
1. Add contracts in "Tools>Instrument manager". Lets add for ES. So add ES 09-08, ES 12-08, ES 03-09, ES 06-09. (The 09-09 you have already)
2. Connect to Zen-Fire and add a minute chart for "ES 09-08". In "From date" put 06-12-08 (first date of that contract) and in "To date" put 09-12-08 (last date for that contract). After Zen-Fire populates the data do the same for other contracts.
12-08 -> 09-12-08 - 12-12-08
03-09-> 12-12-08 - 03-12-09
06-09 -> 03-12-09 - 06-12-09
3. Now DISCONNECT from Zen-Fire!!!
4. Go to merge screen and start merging in sequence:
a. Contract ES 09-08 from 06-12-08 to 09-12-08 into ES 12-08.
b. Contract ES 12-08 from 06-12-08 to 12-12-08 into ES 03-09.
c. Contract ES 03-09 from 06-12-08 to 03-12-09 into ES 06-09.
d. Contract ES 06-09 from 06-12-08 to 06-12-09 into ES 09-09.
5. Now you can remove previous contracts and current one will hold minute data from 06-12-08 up to date.

Baruch

[dancorcal]

Will it only work for minute charts, or will this method also work for Tick data?

[NinjaTrader_Kyle]

Hello dancoral,

Thank you for your post.

The merge function will work on tick, minute and daily data.

[ScalperCol]

I have wanted to do the same, but it seems to not work using range data. Am I doing anything wrong, or is it not possible?

[NinjaTrader_Bertrand]

This should still work ScalperCol, as Range bars are build from tick data.

[dancorcal]

I have merged the ES from the 09-08 contract to the present. How can I get more data? 1 year is not that great for backtesting.

[NinjaTrader_Bertrand]

dancorcal, you can for example check with eSignal / IQFeed how long their continuous contracts go back and use those then.

[dancorcal]

So if I were to sign up with Esignal over zenfire for my provider, in the instrument manager I would be able to add a continuous contract to test on?

[NinjaTrader_Bertrand]

Sure just use the ES ##-## expiry then to access the continuous contracts offered by eSignal.

[dancorcal]

Will that not work for zenfire?

[NinjaTrader_Bertrand]

No unfortunately not.

With NinjaTrader 7 we'll offer continuous contracts then - http://www.ninjatrader.com/webnew/NT7/NinjaTrader7.html

New Continuous/Merged Futures Contracts
The concept of continuous contracts are implemented in a manner that allows you to continue to work with the front month for trading (ES 09-09 is the current front month as of this writing) and define a rollover date, June 11, 2009 is the contract boundary between June and September contracts. Rollover dates for the most popular futures contracts will be managed by NinjaTrader server and automatically uploaded to you. You can of course overwrite this. You then set up a "Merge policy" globally which can be overridden at the instrument level. As you request a historical chart, if the days to load crossed over the rollover boundary, NinjaTrader will transparently request the prior month(s) historical data and merge it into one Data Series based on the selected merge policy. This entire process is of course transparent to the user and ensure that a complete chart is received and that you know which contract you are actually executing trades against.