Merge Policy

[reynoldsn]

I use NT with AMP as my broker. I want to back-test different strategies written in NinjaScript using symbol, CL. How should I set the Merge Policy option in the Data section?
I want to back-test the strategy, running it 24/7, say, over 6 months. Is this possible since I can only set the chart to one contract setting when CL changes every month?
Ideally, the contract changes (during the back-test) when volume shifts to the new contract.

[NinjaTrader_DaveI]

Hello,

The merge policy will actually not apply when you are backtesting using the Strategy Analyzer. The merge policy controls how data is merged and displayed on a live chart, but it does not actually alter the underlying historical data stored for each instrument. So when you backtest in the Strategy Analyzer, you will only be able to work with the data for the specific instrument and expiry that you have selected.

That being said, if you were to apply your strategy to a chart with a large number of days of data loaded, and then analyze the strategy performance and simulated historical trades from there, then it would work with whatever data is on your chart, including anything merged in by your merge policy.

[reynoldsn]

First, I don't use Strategy Analyzer - maybe I should. I always use market replay and my strategy says not to take Historical trades. So, I wait for market replay to play through my date range.

Does your second paragraph apply to what I do? I'm still not clear on the merge policy setting.

[NinjaTrader_DaveI]

That would actually be a little different than either scenario that I mentioned. Your merge policy should come into play when trading in real-time with Market Replay, but you have to keep in mind that you will only have the data available that you have specifically downloaded for Market Replay. This means you would need to either download six month's worth of Market Replay data, one day at a time, or possibly look into purchasing the data in bulk from a third party vendor.