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For historical analysis of NQ, etc.. which month contracts to focus on
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For historical analysis of NQ, etc.. which month contracts to focus on

  #1 (permalink)
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For historical analysis of NQ, etc.. which month contracts to focus on

Dear Ninjatrader Platform Users,

If I want to analyse historical data for NQ and similar futures, let us say 3-4 months back in time.
How do I know which instrument to analyze, NQ 06-17, NQ 09-17, etc...
I will be using Ninjatrader for that purpose and need to know exactly how to do it, in order to get as accurate statistical analysis as possible. Please share your comments!

Thanks!

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  #2 (permalink)
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Omer עומר / Israel י
 
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warcious View Post
Dear Ninjatrader Platform Users,

If I want to analyse historical data for NQ and similar futures, let us say 3-4 months back in time.
How do I know which instrument to analyze, NQ 06-17, NQ 09-17, etc...
I will be using Ninjatrader for that purpose and need to know exactly how to do it, in order to get as accurate statistical analysis as possible. Please share your comments!

Thanks!

You want to look at the front month, the front month is the contract that trades the highest volume
currently this is NQ-09 17, the moment you go from one contract to another, this is called a 'roll-over'
price will then make a jump, as there is more 'time value'

There is no exact science around this, in reality you can not buy NQ 06-17 and hold it until august
you will have to sell it at some point in time and buy the september contract

There is also what is called 'continuous' contract, this is artificial corrected data, to create a historical
series of prices that don't have the jump

i think the best thing to do is just back test the individual contracts 3months at a time

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  #3 (permalink)
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Pick the front month with the most volume, currently 09-17 for the equities and use a continuous contract. In Ninja make sure the "Merge Back Adjusted" box is ticked then the contracts are adjusted to line up when the contracts are 'stitched' together when they rollover.
If you look at a continuous contract of a high or low last year say against the individual contract then there will likely be a few points difference between the exact high and low values, but the relationships of highs and lows from then to now should be about the same. It isn't perfect but for futures that expire every few months this is as close as you will get to a continuous historical history, especially if you are trying to test strategies that have longer term trades.

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  #4 (permalink)
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Broker/Data: CQG, NinjaTrader Brokerage
Favorite Futures: NQ, FDAX
 
Posts: 94 since Oct 2016
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rleplae View Post
You want to look at the front month, the front month is the contract that trades the highest volume
currently this is NQ-09 17, the moment you go from one contract to another, this is called a 'roll-over'
price will then make a jump, as there is more 'time value'

There is no exact science around this, in reality you can not buy NQ 06-17 and hold it until august
you will have to sell it at some point in time and buy the september contract

There is also what is called 'continuous' contract, this is artificial corrected data, to create a historical
series of prices that don't have the jump

i think the best thing to do is just back test the individual contracts 3months at a time

Yes, I am trying to do that now for FDXM and FDAX. Will look up their roll-over dates so I backtest the correct contract. I am using Market Replay Data for all my analysis.

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