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Direct MessagesDate/Time: Sun, 08 Sep 2024 00:41:45 +0000
How to replay correctly previous contracts after the roll over?
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| [2024-06-21 13:46:43] |
| User719216 - Posts: 1 |
|
Hello, I back test my trading systems on the ES mini. The chartbook consists of several charts of the same contract of ES mini both intraday and historical. The strategy on the intraday chart uses overlay of daily EMA20 from the historical chart. I run replay of all linked charts. Link by symbol and days to load. When I run a back test of any period I use date range limiting method with one month ahead of the beginning of the test period in order my EMA20 to display correct data. The chart setting "Automatically Rollover Future Symbol" was "YES", Continuous Contract-Volume Based, Back Adjusted. The issue: This week, after the contract made a roll over to ESU24_FUT_CME the back test of May on ESM24_FUT_CME started to show different results from those before the symbol was rolled over. In spite of identical inputs. I changed the setting of Automatically Rollover to "NO" on all the linked charts and changed the symbol to ESM24_FUT_CME. This fixed the problem. My question: which settings shall I use to backtest the boarder period of the start of ESM24_FUT_CME (from March18) ? My concern is to load data one month before the start to get 20 day average price, but the active contract in february is ESH24. Shall I change the symbol on the daily chart to ESH24 and remove the link by symbol? Is there more robust solution? Thanks. |
| [2024-06-21 14:12:16] |
| John - SC Support - Posts: 34254 |
|
It all depends on what you want. What you are seeing from the replay makes perfect sense for your settings. If you use a "back-adjusted" continuous contract, then the previous data is going to adjusted up or down to match to the current data. Not using a back adjustment will give a gap where the rollover occurred. So you need to understand this and choose your continuous contract option appropriately. For the most reliable, advanced, and zero cost futures order routing, use the Teton service: Sierra Chart Teton Futures Order Routing |
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