Ninja 6.5 showing different data than 7
|March 25th, 2011, 11:48 AM||#11 (permalink)|
Futures Experience: Advanced
Platform: NinjaTrader, MultiCharts
Broker/Data: Interactive Brokers
Favorite Futures: Keyboard
Posts: 9,525 since Mar 2010
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Sorry, if I was not clear.
You will get the same data displayed with NinjaTrader 6.5 and NinjaTrader 7.0 if you use single month contracts. For NT 6.5, single month contracts will always be displayed, unless you manually merge prior months into your current contract. For NT 7.0 you need to select "DoNotMerge" under Options -> Data and make sure that Global Merge Policy is selected under instrument settings.
Continuous contracts and merge backadjusted contracts are not the same!
1st step: You determine the rollover date. 2nd step: You compare the settlement prices on the day prior to rollover for the new and old front month contract and calculate the offset, which is offset = settlement new - settlement old. 3rd step: You add the offset to all prices of your old front month contract until the end of the session prior to rollover day. 4th step: You substitute all data of the new contract month prior to the end of this session with the artificial data series.
NinjaTrader will do this automatically, if you enter the rollover date and make sure that your daily data contains the settlement prices.
It is important to know that you now have an artificial data series until rollover date and the real data afterwards.
The MergeBackAdjusted contract should be used for backtesting intraday strategies, as it takes correctly into account the rollover cost. It also should be used for establishing Fibonacci ratios.
Continuous Contracts are not built in the same way. Typically the contracts are built by adding two or more weighted data series. This preserves absolute price levels, but will distort relative swing sizes and not take into acount rolling cost. In NinjaTrader you can load continuous contracts via ##-## (for example ES ##-##), if supported by your data provider. A continuous contract has no contract months, and there are hundreds of different ways to calculate it. The actual formula is chosen by your data provider. You cannot build a continuous contract with NinjaTrader.
-> You cannot backtest on a continuous contract, as it distorts rollover cost.
-> If you go back 10 years, the continuous contract will still display price more or less correctly.
-> If you go back 10 years, the mergebackadjusted contract may well have moved into negative territory.
So continuous contracts should only be used by investors or long term positions traders, who know about that rollover cost problem.
You cannot have both with futures, prices that are near-correct on an absolute scale, and swings that are non-distorted. Each type of contract has its applications.