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    Rollover Commissions

    When running a strategy backtest on a continuous contract like "ES ##-##" does NinjaTrader simulate rollover trades?

    For example, if I have an open position of say five days duration and the rollover day happens to fall in the middle of that open position, does NinjaTrader completely ignore the fact that I would have had to do a rollover of my position costing commissions and spread?

    Is there any support for this in the system? OK if not, I understand this is generally (hopefully) a small effect, just wanting to validate my understanding of the behavior of NinjaTrader.

    Thanks

    #2
    Hello BarzTrading,

    Thank you for your note.

    No, no consideration is made because the ES continuous series already adjusts for these rolls.

    For the most accurate results you should run your tests on each contract, ES 12-18, ES 03-19, etc.
    This will require you to split your backtests up.

    Please let us know if you need further assistance.
    Alan P.NinjaTrader Customer Service

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