Backtest and COT indicator

[mcjosejavier]

Good afternoon. I have two questions to solve.

1. To correctly backtest this year, I have to change the contract (ES 09-20, ES 06-20, ES 03-20) or using the current future contract ES 09-20 and selecting from 01/01 / 2020 to 07/31/2020 would it be correct?

2. The COT indicator is not enabled for micro futures contracts (M E S 09-20), right?

Thank you.

[NinjaTrader_Heath]

Hello McJoseJavier,

Thank you for your post.

By default the platform will use "mergebackadjusted" as a global merge policy.

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.

*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.

Please let us know if you need any additional assistance.

[mcjosejavier]

Thanks for the reply.

I have another question: would the results of the strategy in the backtesting be altered as a result of this adjustment compared to those that would be obtained if the test were performed directly on the specific futures contract already expired?

Regards.

[NinjaTrader_Heath]

Hello mcjosejavier,

Thank you for your reply.

Yes i would expect each of these settings to potentially display different results as they will alter how your historical data will load. If you want to load raws data only without adjustment you'll want to be sure and set your merge policy to MergeNonBackAdjusted.

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

Please feel free to write in if you need additional assistance.