I tried trading on the ##-## version of the contract, then ran the backtest on the active contract and got 2 different results for the same period which is why I ask this question..
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Data question around rollover
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Data question around rollover
My strategy trades intraday but relies on several days/weeks of data to make its trading decisions. I have a question about what happens during a contract rollover. Lets say I am trading a future contract and it just rolled to this new month a few days ago. When my strategy turns on and backfills the needed data it will pull down several weeks of data on this particular contract correct? If that is the case then my strategy is looking at weeks of data on a contract that barely had volume and wild spreads.... It needs to be looking at the active contract for the data it was pulling. What is the way this currently works? Do i have to worry about it using data from the wrong contract?
I tried trading on the ##-## version of the contract, then ran the backtest on the active contract and got 2 different results for the same period which is why I ask this question..Tags: None
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frostengine, depending on how you have the merge policy set up, the strategy could backfill weeks of the lower volume contract, or it could use the merged data which is basically equivalent to a continuous contract.
The ##-## version is the continous contract, while the dated contracts represent that specific instrument IF the merge policy (Tools -> Options -> Data Tab -> MergePolicy) is set to DoNotMerge. If it is set to MergeBackAdjusted, then the contracts will be merged together, much like a continuous contract.
In the attachments below, the one with the decreasing volume as the time goes back is the non-merged dated contract, while the other is the merged dated contract.AustinNinjaTrader Customer Service
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