![]() Once you did this, you should check,whether Ninjatrader has calculated the correct offsets. With NinjaTrader you can create a merged backadjusted futures contract by entering the correct rollover dates and by setting the merge policy to "MergeBackAdjusted" under Tools -> Options - > Data. So if you are an oil fund, you better invest your money in IPE traded Brent futures,Īnd also you may want to find a way to roll every tow months only to reduce the losses. The difference between the blue and the red curve is the sum of the rollover losses of a long only fund. The continuous contract follows real commodity prices, the merged backadjusted contract shows the value of the assets of a long only oil fund that has chosen to roll monthly. The chart below shows the difference between a continuous futures contract (red) and the merged backajdusted contract (blue). For example if you take crude oil and you create a backadjusted contract, you will see oil prices of 180 $/bbl for July 2008. This is particularly true for futures that are monthly rolled. Also the swing sizes are not distorted.Ĭons: You cannot use them over longer periods, say several years, as they will no more reflect absolute prices. Pros: They do not show any gap on rollover date, so you can use them for backtesting. Merged backadjusted contracts also have pros and cons: The other, more exotic method is backadjustment by using a ratio. There are two ways of backadjusting: One method is to add the gap to the old contract thus horizontally shifting all data prior to the last rollover date. My preferred way of displaying intraday data is to use MergeBackAdjusted Futures. All your charts will now automatically use data from several contracts by switching on rollover date. ![]() Second go to Tools -> Options -> Data and select Merge policy "MergeNonBackAdjusted". Also make sure that all your instruments are set to Merge Policy "UseGlobalSettings". For financial futures the rollover dates are already preset correctly, for commodities the rollover dates are mostly false. First select appropriate rollover dates, which can be done under instrument settings: Edit instrument -> Misc -> Contact months -> Click the right field with your mouse. NinjaTrader allows you to create merged contracts with a gap. This type of dataseries can not be used for backtesting either, as it will not correctly show profits and losses that result from positions that you hold during the rollover of the contracts. data will gap down, if the market is in backwardation data will gap up, if the market is contango The open on rollover date is the open of the new front month contract. The close prior to rollover data is the close of the old front month contract. ![]() When merging single contracts, you simply switch from the old month to a new month on rollover date. Cannot be used for Fibonacci analysis, as swings are distorted. Good for analyzing seasonality of commodities.Ĭons: Cannot be used for back testing, as the rollover losses (or sometimes gains) are not correctly taken into account. Pros: Suitable for investment purpose and price analysis over several years. Real continuous data has some pros and cons: You can try this with daily data loaded from Kinetick, as they have continuous data. If you want to load a genuine continuous contract, you will need to use the instrument symbol followed by #-#, for example ES #-#. The method is chosen by your data provider. A genuine continuous contract is obtained by splicing single contract months together.
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