emini rollover

[snotrag12]

I notice when I backtest or optimize say for 1 year back on es06-13, it uses the 6-13 expiration for the whole time period, How could I get it to use closest time period. In other words, when it is testing April 2012, I would like it to use the es 06-12.

Thanks for your help.

[snotrag12]

By the way, I have been using zen fire or IB for data, same results on both.

[NinjaTrader_JC]

Hello snotrag12,

You may use the "Merge Policy" to be able to accomplish this. If you go to Tools -> Options -> Data tab you can set NinjaTrader's Merge Policy to "MergeBackAdjusted"

MergeBackAdjusted will stitch together the current front month with the previous contract month based upon the rollover dates inside of the Instrument Manager. It will then adjust the historical data based upon the offset values.

MergeNonBackAdjusted will do the same as the MergeBackAdjusted but not use the offset values for adjusting.

The Offset will adjust the data so that historical chart data does not have any gaps.

[snotrag12]

Thanks for the quick response. I did have it set to merge back adjusted. When I click on executions, it says es06-13 for all dates. Also when I go to instrument manager, the drop down list only goes back to 2012 for the es. Is there any way I can add previous years?

[snotrag12]

I just did an optimization, and the executions did list the es09-12. Not sure what happened there, but if I could get previous years that would be great.

[NinjaTrader_JC]

Hello snotrag12,

Thanks for clarifying that.

With the merge policy set to that it will use the Price of the previous contract months but the primary (selected) contract month will still show up inside of the screen.

If you want the individual contract months you may add them to an instrument list and then run a basket test of the Instruments. Note that you may want to change your merge policy to "DoNotMerge" if you want the contracts to be separate otherwise the Historical data will be stitched together with the newer ones.

Here is a video demonstration on how to add an instrument to an instrument list that you may view.

http://www.youtube.com/watch?v=KVnjIhpL4Sk&list=PL82A14C398CA140D7&index=22

Here is a link to our Help Guide that goes over how to run a basket test that you may view.

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