When I backtest the CL 3-11 contract for more than 6 months, I would traditionally expect to see gibberish, since the CL 3-11 contract wasn't traded actively 6 months ago.
However, watching the main window status bar, the backtester seems to be loading all the different relevant contracts from up to 6 months back. This appears to be confirmed by the existence of previous CL contracts dating back to CL 9-10 suddenly appearing in my data cache. Apparently, the backtester automatically downloaded data from previous contracts during the backtest.
This appears to allow me to simply backtest a futures trading strategy for a period of 6 months simply by selecting the current month contract in the backtester. The backtester then appears to automatically draw previous contract data despite having clicked selected the current month in the backtester. Amazing!
While this is really amazing, I would like to know how Ninjatrader determines the front month in the strategy analyzer. Although 2 different contracts may be trading at the same time, liquidity and narrow spreads will only exist in the front month contract, and I like to be absolutely sure that the backtester selects the correct front month in backtesting.
Also, with this amazing looking feature, is there still a need to merge futures contracts for backtesting? Or am I completely misunderstanding how the backtester works?
Thanks!
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