I am wondering what is the best method to import price series (20 years +) for future instruments for backtesting on a daily basis.
In addition, I would like to understand how and if contracts are adjusted (or not) when using the Strategy Analyzer:
I think two options are viable, here are my thoughts:
1) Create one import file and import it as a continuous future contract (e.g. CL ##-##)
- In case rollover adjustment is desired, these has to be implemented upfront. NT is not able to adjust continuous contracts with the rollover rules that are defined for each instrument.
2) Import each contract individually
- in this scenario each contract will be imported on its own (e.g. CL 10-04, CL 12-04)
- Rollover rules that are not implemented by NT have to be implemented along with the desired offset (or is any option available to import rollover dates for the past?)
Is it correct, that the Strategy Analyzer will use the Global merge policy that is defined under Options => Market data? But only for option 2?
Thank you and best regards,
Lukas
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