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Future instrument selection in Strategy Analyzer

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    Future instrument selection in Strategy Analyzer

    Hi,
    when analyzing a strategy with a future instrument, over a longer period of time than a future-contract (FDAX 06-20 ; FDAX 09-20; etc.)may goes, I recognized I'd need to span all the future-contracts of that angepeilte period ...

    Is there a way to merge multiple future-contracts into one future-instrument for this cause ?


    Click image for larger version  Name:	Image_2021-05-09_10-37-58_1620549478.jpg Views:	0 Size:	48.0 KB ID:	1155287

    Regards,
    Frank

    Last edited by Frank1000; 05-09-2021, 03:41 AM.

    #2
    Hi Frank1000,
    Which merge policy do you use?
    Control -> Options -> Market Data -> Global Merge Policy ...?
    Most use "merge back adjusted". If you do, the price points for earlier futures are backadjusted to eliminate rollover gaps/effects. If you backtest period is long, it can includes multiple roll adjustments, always starting from the most current going backwards.
    NT-Roland

    Comment


      #3
      Hi Roland,
      thanks for info. Ok i c, I now wanted to select the current FDAX 03-21 future for my backtesting & optimizing, but it is not cmg up in the dropdown of the Strat-Analyzer. Do I have to pre-loead it in a way ? I remember slighly there was such a thing, but can't figure it out rt now.

      Comment


        #4
        Hi Frank1000,
        The current FDAX is 06-21. The FDAX 03-21 stopped trading. Which data provider do you use?
        You should be able to open a chart for FDAX 06-21, then put your cursor right before 06-21 and change it to 03-21, 12-20 or whatever. If your data subscription includes historic data, the respective future should load. If you then go to your strategy in strategy analyzer, you should be able to pick the respective expired future. However, if you do that and then run a backtest, the backtest will stop at the last day this instrument really traded (even if you say, please run the backtest until today). Thus, each future can only go backwards, not forwards.
        NT-Roland

        Comment


          #5
          Hello Frank1000,

          Please see this post on the merge policy.
          https://ninjatrader.com/support/foru...986#post782986

          You can manually type a different contract month. You can also just leave the current contract month and set the dates to the proper from and to dates, and NinjaTrader will automatically load the data from the correct contract month based on the rollover dates.

          NT-Roland thank you for your assistance and information.
          Chelsea B.NinjaTrader Customer Service

          Comment


            #6
            ok cool, getting the data now )
            I'm still running on My Continuum, works well with my strategy testing here.

            Thank you

            Comment

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