Backtesting a contract beyond its start date?

ldvinvestments

Junior Member

Join Date: Jan 2012

Posts: 16
#1

Backtesting a contract beyond its start date?

03-12-2012, 08:18 AM

Dear Support,

I'm backtesting a trade on the NQ for 1 year. I don't understand how this works properly when a contract only has a 3 month life. Can you provide some illumination on this one?

Thanks,
John
Tags: None
NinjaTrader_RyanM1

NinjaTrader Customer Service

Join Date: Sep 2009

Posts: 8128
#2

03-12-2012, 08:24 AM

Hi John,
For backtesting a years worth of data, you should consider working with continuous contracts. These are singular instruments that combine multiple contract months.

NinjaTrader has continuous contracts built-in through the available merge policy. Merged contracts are turned on by default and will automatically merges prior contracts into the front month. You can learn more about NT's merge policy here (Understanding merge policies):

Historical & Real-time Data

http://www.ninjatrader.com/support/helpGuides/nt7/historical_data.htm

Some data providers also supply continuous contracts through the ##-## expiration.

Ryan M.NinjaTrader Customer Service
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