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BackTesting Choosing Contract Month

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    BackTesting Choosing Contract Month

    Hello,

    I would like to back test from 2011 to Present with futures CL, NQ, YM, ES, and TF in NT7

    Should I pick the "UseGlobal Setting" or "MergeBackAdjusted"?

    Also, does it matter which contract month and year is selected when historical back testing for many years. See attachment in purple box.

    Thanks,
    Attached Files

    #2
    Hello simple_goodoboy,

    With MergeBackAdjusted (default setting) the chart will be continuous, stitched together by expiry month from the rollover date of the expiry month to the rollover date of the previous expiry month, and adjusted by an offset to prevent gaps between contract months (which trade at different prices) for a smooth chart.

    With MergeNonBackAdjusted the chart with be continuous (stitched together by expiry month from the rollover date of the expiry month to the rollover date of the previous expiry month) but will not be adjusted and there will be gaps in price from one contract to the next.

    With DoNotMerge only the data from the selected contact is shown and previous contract months will not be loaded. Chart is not continuous.
    http://ninjatrader.com/support/forum...57&postcount=2

    See the help guide on Historical Data in the section 'Understanding merge policies'.
    http://ninjatrader.com/support/helpG...rical_data.htm

    When MergeBack or MergeNonBack Adjust is selected, the contract month selected should be the contract month of the last day of data in the test. (or today's contract month)

    When DoNoMerge is selected, the contract month should be the contract month of the data being tested.

    For an individual instrument's setting the 'Merge policy' will apply to that one instrument. If set to UseGlobalSetting, this will use the setting in Tools -> Options... -> Data -> Merge policy.
    http://ninjatrader.com/support/helpG...nstruments.htm
    http://ninjatrader.com/support/helpG...7/data_tab.htm

    This also applies to NinjaTrader 8.
    https://ninjatrader.com/support/help...rge_policy.htm
    https://ninjatrader.com/support/help...marketdata.htm
    https://ninjatrader.com/support/help...GeneralSection


    *Critical* After making any changes to the Merge policy, you must right-click a chart for that instrument / data type and select Reload All Historical Data.
    Last edited by NinjaTrader_ChelseaB; 08-13-2019, 10:25 AM.
    Chelsea B.NinjaTrader Customer Service

    Comment


      #3
      Originally posted by NinjaTrader_ChelseaB View Post
      Hello simple_goodoboy,

      With MergeBackAdjusted (default setting) the chart with be continuous, stitched together by expiry month and adjusted by an offset to prevent gaps.

      With MergeNonBackAdjusted the chart with be continuous but will not be adjusted.

      With DoNotMerge only the data from the selected contact is shown. Chart is not continuous.
      http://ninjatrader.com/support/forum...57&postcount=2

      See the help guide on Historical Data in the section 'Understanding merge policies'.
      http://ninjatrader.com/support/helpG...rical_data.htm

      When MergeBack or MergeNonBack Adjust is selected, the contract month selected should be the contract month of the last day of data in the test. (or today's contract month)

      When DoNoMerge is selected, the contract month should be the contract month of the data being tested.

      For individual instruments setting the merge policy will apply to that one instrument or if set to UseGlobalSetting will use the setting in Tools -> Options... -> Data -> Merge policy.
      http://ninjatrader.com/support/helpG...nstruments.htm
      http://ninjatrader.com/support/helpG...7/data_tab.htm
      Thank you so much ChelseaB,

      I understand now.

      Thanks

      Comment

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