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Back testing contracts with expiration dates

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    Back testing contracts with expiration dates

    I cannot find the answer to this in the documentation:

    If I run a back test using Strategy Analyzer for the ES 3-20 contract, is the test only valid for dates where there is actually good data for the ES 3-20 contract, or does the Analyzer merge the ES 12-19 and ES 3-10 data for back testing? I have noticed that results for back testing decrease the further back the test is run. I don't know if this is because the strategy is less effective over time, or because there are time limitations on the Analyzer for contracts which have an expiration date.

    Thanks

    #2
    Actually, I should add that I am back testing a 1-minute strategy. I don't know how accurate back-testing 1 minute bars for June 2019 using the ES 3-20 would be.

    Comment


      #3
      Hello Bionian,

      This depends on your merge policy, you can find information about that here: https://ninjatrader.com/support/help...rge_policy.htm

      Assuming you are using the default of merge back adjusted it would follow the rule of:
      Data from each individual expiry month across the time span of the historical data request is loaded
      One easy way to see what is actually happening is to open the backtest chart and observe what data was processed. Alternatively you can view the Tools -> Historical data manager to see what data was downloaded, this is more helpful just to know what limits of data you currently have.

      Going back further in time you will generally see less data available so what you described sounds similar to this. Some providers also have time constraints on when you can request historical data, you may try again after market hours to see if more data can be downloaded.


      I look forward to being of further assistance.

      JesseNinjaTrader Customer Service

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