Back Testing on more than one contract?

[GKonheiser]

Good morning,

I have Bund data from 2000 to 2011, all contracts and would like to run tests through the whole series, specifying when to switch contracts, is this possible?

Thanks

[NinjaTrader_Jason]

Hello GKonheiser,

Yes, you can run such tests in the Strategy Analyzer.

If 'Merge policy' is enabled for the Bund and you request historical data that spans across multiple expiries, it will automatically merge data. It will be merged as per the rollover dates that are setup.

You can check the rollover date as follows. Please go to Control Center-->Tools-->Instrument Manager. Highlight an instrument in the 'Available master instruments' section and click Edit.

Subsequently select the Misc-tab and scroll to the bottom. Select the 'Contract months' row and click the '...' button that appears. Select an expiry month and you will see a rollover date listed. You can change the rollover dates if you like to merge the data at different dates.

The 'Merge policy' setting can be found in the Definition-tab.

[GKonheiser]

Hi Jason

Thanks for the help. Under the Contract months it is only showing me from 03-05 to today not form 03-00 to 03-05?

[NinjaTrader_Jason]

You can add rollover dates manually for the expiries that are not listed. Click the New button and enter the rollover date and offset you like.

[GKonheiser]

OK great. 2 questions,

1) How will it treat positions over a contract roll, ie how can i specify that it could close a position if a contract is rolling over.

2) Merge policy , I take it I should use MergeNonBackAdj ? How does it treat indicators over the roll?

[NinjaTrader_Jason]

1. The position will remain during contract rollover. Unfortunately you cannot specify to close the position during rollover in the Strategy Analyzer.

2. You can use what setting you like. If you not want historical data from previous expiries to be back adjusted, please select MergeNonBackAdjusted. You will see gaps during contract rollover. If you select MergeBackAdjusted, you will not see these gaps.

The indicators will be calculated on the historical data that is loaded. You could create a chart for the same amount of historical data and apply the indicators you like to see how indicators are threated.

[GKonheiser]

It is still only running on one expiry.

I just tried to run the optimizer after adjusting the merge policy and adding the extra expires but it is still only running on one expiry.

This is what I'm doing. Opening a new Strat. Analyzer, selecting FGBL 03-01 ( the first expiry) , changing the time frame to 08.12.01 to 01.12.09, changing the parameters I want to optimism and running the optimizer but it only shows me fills for FGBL 03-01?

What am I doing wrong, what data series should I select?

[NinjaTrader_Jason]

Please select the FGBL 06-12 instead and perform the optimization once more.

[GKonheiser]

Thanks Jason think that's working now.