Continuation contracts

[albazzaztariq]

Hi guys,

I just started running a strategy live. I backtested using a continuation (ES ##-##). If I run the strategy live using this, will it simply trade the front month? Right now I have it just using March but I'm curious because if so, that would mean less upkeep and possibly more consistency with backtest results. I'm using Vision Financial Markets as my feed.

Thanks

[NinjaTrader_Lance]

With Vision you will want to use the font month. Some data providers allow you to trade to the continuous contract however most of them require the front month to be selected

Let me know if I can further assist.

[albazzaztariq]

do you think there'll be any great inconsistency from backtest results? I understand that real-time trading is going to be different than backtest results, but I am asking if you know of inconsistencies between the two specifically on continuation vs outright months

[NinjaTrader_Lance]

This will depend more on the type of trading system (is it a swing system, or intra day system) and also on the merge policy.

Which can be set by going to tools -> options -> data tab

It can be set to

DoNotMerge: historical data is not merged

MergeBackAdjusted: NinjaTrader automatically merges and back adjusts historical data

MergeNonBackAdjusted: NinjaTrader automatically merges, but does not back adjust, historical data



For more information on merge policies please see the "Understanding merge policies" section in this article.

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

[albazzaztariq]

I just read over the docs. I'm not quite sure I fully understand but from what I gather, I do not believe I should be affected greatly. It's an intraday strategy that will never hold overnight. When does the rollover occur? That's not stated explicitly in what I read. Is it 10 days before expiration?

[NinjaTrader_Lance]

Expiry for the ES happens every third Friday of every 3rd month. Typically most traders will switch over a week before on this instrument. There is not a set date and ultimately it's user preference when to roll-over. The pre-defined NinjaTrader date can be found on the Misc menu here: http://www.ninjatrader.com/support/h...nstruments.htm

For specific dates see: http://www.cmegroup.com/trading/equi...fications.html

If you need to rollover the expiration date of a futures contracts.:

From within the NinjaTrader Control Center window select the menu Tools > Instrument Manager
Highlight the contract you wish to rollover in the left side of the Instrument Manager window
Press the ">" button (the instrument will disappear from the list)
Press the "<" button and the instrument should re-appear with the front month expiration date

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

Let me know if I can further assist.

[Steve R]

Hi Lance.

Only slightly off topic but not enough to warrant a new thread as it is just one question.

I have created a continuous contract, rollover dates, offsets etc and have the merge policy set to MergedBackAdjusted and it works perfectly.

The question is, if i want to temporarily see it as say MergedNonBackAdjusted, will it clear my offsets and roll dates? OR will it keep them so when i want to see it again as MergedBackAdjusted, i still have the info there to do the job properly without re-entering it.

I suspect it will be fine but would rather just ask first.

Thanks

[NinjaTrader_Bertrand]

That would be fine Steve, the dates are saved with your master instrument and you can select 'on the fly' with which merge policy to use it.