The instrument is self created.
It contains historical daily data of a continuous futures contract successfully imported from a txt-File.
The symbol is used for backtesting only.
Here are the settings that I made in the instrument manager:
Exchange: CBOE, also tried default, both didn't work
instrument name: TBP_DAILY
When referencing the future instrument within a script according to NT support the date must be included .
In my case this would be TBP_Daily ##-##.
@ bukkan: What's the proper instrument configuration in my case?
Which role does the exchange selection play?
-> it automatically compensates for gains and losses on rolling positions (just need to add transaction cost and slippage once per month)
-> profits and losses encountered are exactly those that you would have experienced when trading the front month
Backtesting on a continuous futures contract distorts all (!) profits and losses and also does not account for rollover gains or losses.
The following user says Thank You to Fat Tails for this post:
I just did it like that. But I called it in the script as weekly data since it's multi time frame.
I am able to call the instrument when viewing the imported data within charts. So, data are successfully imported into the instrument.
However, when I try to add those instruments within Initialize() the script compiles, but gives an error message
when executing it. NT Support told me this is due to a current limitation that has to do with the name of the custom instrument. However, their suggestions didn't work eighter till now. May be there is still another error I'm not aware of at the moment-what about the exchange, what would be a "wrong" setting? May be it's the symbol map settings. May be it's the setting as continious contract. I don't know.
@ Fat Tails
In this case it is a backadjusted-merged continious contract.
I will also test with nonadjusted merged contracts. For doing so, I will exit on day before rollover and entry again
after rollover. Those imported data within custom instruments are for backtesting huge data histories.
Adding transactions costs once a month only makes sence if rollover takes place once a month, right?
There are quite a few futures that are traded with 4 front months only.