Support Board
Date/Time: Mon, 06 Jan 2025 14:27:59 +0000
Post From: SC will not backtest/replay continuous contracts, when starting before last rollover
| [2016-05-29 08:56:51] |
| phaedonk - Posts: 352 |
|
Please follow the steps below exactly, to reproduce this. 1. Restart Sierra (important) 2. Open a CAC40 chart (it has monthly rollovers, last one was May 20, now we are in the 201606 contract) 3. Chart Settings: days to load 33, Continuous (date rule, back-adjusted), Disable Automatic rollover (important) 4. Symbol settings: rollover: method3, 0, 3 5. Go to date: May 18, any time 6. Replay: enable Skip empty periods, pick as high speed as you want. It will not move, ever. It will not even Jump forward. 7. Go to Chart settings. Pick the 201605 contract (automatic rollover disabled, so it won't load the current contract) 8. Press OK. Problem is solved. Now the chart will replay normally. Press Stop. 9. Do NOT click to Rollover. 10. Restart Sierra. It starts with the 201605 contract. 11. Go to May 18 and Replay it. It will replay normally. 12. Now enable Automatic rollover in Chart settings. It will keep replaying normally, entering into the 201606 contract on May 20 and continuing. 13. Restart Sierra. It starts with the 201606 contract, as we enabled auto rollovers. 14. Go to May 18 and Replay it. It will NOT replay. My conclusion: Sierra will replay continuous charts, as long as the date selected to start from was previously loaded in Sierra as an independent non-continuous contract (9A above) or if the start date already belongs to the last contract in the series. In essence, when I loaded 201605 by itself, Sierra had no problem to later use it in a continuous replay. When I restarted Sierra with Auto-rollovers enabled, it started with 201606 and it had loaded 201605 only as part of the continuous chart and not by itself (also, it was not the last contract in the series). Thus it would not Replay. Please run the test as above, I believe you will get the same results. |