How can you create a continuous contract for long term futures contract backtesting

[Thorserb2]

I am trying to backtest and optimize over longer periods than just the current contract. Is there a way to create a continuous contract or is there way where I can use a set day as a rollover date for a contract and optimize / analyze over a longer term period?

[NinjaTrader_Kyle]

Hi Thorserb2,

Thank you for your post.

For this you would want to merge previous contracts into the current contract using the procedure outlined at the following link: http://www.ninjatrader-support.com/H...eV6/Merge.html

[waverider]

Merging Contracts

Hi Team,

Is there a limit to how far back I can go merging historic ES contracts to the present contract?

Can I then merge this 'continuous contract' into the next ES contract that will come, and continue to maintain this 'continuous contract' ?

Does the merge include all TICK data? Only minute data? Only data recorded historically on my machine?

Many thanks for the answers, much appreciated, keep up the good work!

[NinjaTrader_Kyle]

Hello waverider,

Thank you for your post.

1.) "Is there a limit to how far back I can go merging historic ES contracts to the present contract?"

There is no limit. You may merge as many contracts as you would like.

2.) "Can I then merge this 'continuous contract' into the next ES contract that will come, and continue to maintain this 'continuous contract' ?"

Yes, that is correct. For example, if you had merged several prior contracts in to the 06-10 contract you would only need to merge the 06-10 in to the 09-10 when the next contract is available.

3.) "Does the merge include all TICK data? Only minute data? Only data recorded historically on my machine?"

Interval is selectable in the merge. Historical data will need to exist in your database in order to merge.

[waverider]

Merging Contracts

Fantastic, thanks Kyle,

So on point 3) regarding the data that is available to merge:

I'm not yet very familiar with stored data in Ninja -

1. Is stored data seperate to Market Replay data that I might store?
2. Where / How does Ninja store data?
3. If I wanted to import data into Ninja to over-ride (or merge with?) my stored data, is that easy enough to do? No risk of duplicating data, etc?
4. I take it that if I do import such data, this is not able to be made available for Market Replay?
5. For automated backtesting, do I have to use Market Replay data?

Sorry for the newbie questions, much appreciated!!

wave

[NinjaTrader_Jason]

Hello wave,

1. Yes, Market Replay data is saved separate from historical data; this is not the same data.

2. Historical data is saved in the database. (My) Documents-->NinjaTrader 6.5-->db-->NinjaTrader(mdb)

3. Yes, you can import historical data as per the instructions at the following link.

http://www.ninjatrader-support.com/HelpGuideV6/Import.html

4. Correct.

5. No, the Strategy Analyzer which is used to backtest cannot make use of Market Replay data; it uses historical data only. More information can be found at the link below.

http://www.ninjatrader-support.com/HelpGuideV6/BacktestAStrategy.html

[waverider]

Continuous Contract

Thanks again!

If I am using IQ Feed as a data provider, and they offer a continuous contract for the ES, is there any reason why that can't be used in Ninja if I create a new instrument (ES #F) specifically for that feed?

thanks

[NinjaTrader_Kyle]

Hi waverider,

Thank you for your reply.

You can access continuous contracts by selecting the '##-##' expiry for your futures instrument. No additional configuration would be required.

[waverider]

Continuous Contract

thanks for that,

I've managed to set up a continuous contract for the ES. Problem is, it only works for daily. When I drop to minute data I get the error "Ninja Trader data server does not support this instrument, no data available"...

If it works for daily, shouldn't I be able to produce it for minute?

Thanks again,

[NinjaTrader_Kyle]

Hi waverider,

Thank you for your reply.

Are you connected to other providers as well, or just IQ?

If you are connected to multiple providers, please let me know in what order you connect.

[waverider]

Continuous Contract

I connect to zen fire first, followed by IQ

[NinjaTrader_Kyle]

Hi waverider,

Thank you for your post.

With that connection order, the behavior you are seeing would be expected.

Continuous minute and tick charts will be available when connected to IQ first or when only connected to IQ.