Backtesting a Basket of Contract?

[richa61416]

Here is my problem.

When I develop a strategy, and backtest it against the last 4 contracts of the SP500 (0906 1206 0307 0607). I get inflated results, as it would report on periods in which the contract was not active. E.g. 0307 would have results from Nov 06 and Oct 06.

I spend quite some time trying to get the bottom and determine what are the correct months for which I should record the results.

In a webinar, it was mentioned I should merge the contract. I tried to take an empty contract, and copy data into it, but that didnot work, since the reported that no data was in the empty contract.

Is there anyway, that I can only include the period for which the contract would have been active during the back testing? Or this is in the next release? Or you can explain how to build a super contract, that would be accurate in terms of Volume, price ,etc.

[NinjaTrader_Ray]

If you have ES 09-06 and ES 06-06 both with data, you could merge ES 06-06 into the 09-06 contract.

Under Tools > Historical Data > Merge you would set the to date to the contract boundary, such as 06/08 which was the rollover day for this contract.