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[User Discussion] - Contineous Futures Contract and backtesting/replay

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[2024-04-10 06:23:46] #1 [Go To First Post]
User61168 - Posts: 350
Hello SC Users, I am asking for recommendation from experienced/live traders who are trading index e-mini (futures ES/NQ/YM/RTY). 1) What specific setting are you using for continuous futures contract listed here >> Continuous Futures Contract Charts . 2) Did you use the same setting for backtesting via market replay? Did you observe any anomalies with backtesting or market replays that I should watch for? 3) Under Symbol settings, "Date Exclude" is the only field I customize to exclude holidays/partial trading days. I also exclude the entire rollover week from my charts as I prefer not to trade on rollover weeks. Will excluding the entire rollover week cause any issues with backtesting or live trading? I would appreciate some fresh perspective on this. Thanks

[2024-04-13 08:13:21] #2 [Go To First Post]
User61168 - Posts: 350
nudge. Any assistance from anyone?

[2024-04-13 14:23:34] #3 [Go To First Post]
Sawtooth - Posts: 3989
1) I don't use continuous contracts. I roll manually on the Monday after 'rollover Thursday'. Coincidentally, this usually matches with a volume rollover. And I don't trade during rollover week. 2) I don't use continuous contracts when backtesting. I backtest each contract separately. The backtest start date is the Monday after 'rollover Thursday', and the end date is the Friday before rollover week. 3) Excluding dates doesn't cause any issues that I'm aware of. To see when the volume of the new contract exceeds the old, use the attached chartbook during rollover week.


Volume at rollover.Cht - Attached On 2024-04-13 14:23:28 UTC - Size: 8.61 KB - 25 views

[2024-04-13 15:41:39] #4 [Go To First Post]
Tony - Posts: 459
When I started using Sierra Chart, I didn't use Continuous Contract, because I never found any relevance between front and back contracts. Then I had another issue, when the new contract started, there weren't enough bars to cover the whole chart window, and since bars are always printed from the far left, I got a wide empty space on the right side of the chart, that is not good for me, because all my custom studies stay on the right side of chart window. And unfortunately, there no settings to change that. Until I found this solution by using Continuous Contract, to push the candle bars of front contract rightward. I set the rollover date as 2nd Friday in "Symbol Settings", because volume of new contract starts to pick up on that day. I can not find "Date Exclude" settings you mentioned any where. See attached image of 1-hour chart of ES mini June Contract: Blue line circles the bars of front contract, and red line circles the back contract. The "gap" is not a real gap, only because the price differences of 2 different contract. (I use date rule rollover, no adjustment at all, so I see the price as is) My problem solved, and I took one step further, I set bar drawing type as "blank" and wrote my own subgraphs to replace the main graph, so on my chart, I don't see any bars in the red circle. Date Time Of Last Edit: 2024-04-13 15:42:35


CC.png / V - Attached On 2024-04-13 15:41:12 UTC - Size: 53.61 KB - 16 views

[2024-04-13 17:27:57] #5 [Go To First Post]
User61168 - Posts: 350
I can not find "Date Exclude" settings you mentioned any where. Thanks Tony for your response. Date Exclude is the most advantageous feature in Sierra Chart making it's monthly subscription worthwhile. It's the last field under Symbol properties. Select Custom radio button and paste all the dates you want to exclude from "ALL" charts. It's a global setting. There is also date exclude setting per chart under chart settings but unfortunately, it does not allow cut/paste. powerful Use cases: Exclude all past and future rollover weeks, pre-news days, news release days, holidays, partial trading session days etc. The most advantage I find is after backtesting is complete and you want to analyze all the losing days, you can quickly generate the date string in excel of all the winning days and then paste it to exclude them.... VERY POWERFUL. Here's my date list to get you started: Exclude 2023-2025 Rollover Weeks: 2023-3-12,2023-3-13,2023-3-14,2023-3-15,2023-3-16,2023-3-17,2023-6-12,2023-6-13,2023-6-14,2023-6-15,2023-6-16,2023-9-11,2023-9-12,2023-9-13,2023-9-14,2023-9-15,2023-12-11,2023-12-12,2023-12-13,2023-12-14,2023-12-15,2024-3-11,2024-3-12,2024-3-13,2024-3-14,2024-3-15,2024-6-17,2024-6-18,2024-6-19,2024-6-20,2024-6-21,2024-9-16,2024-9-17,2024-9-18,2024-9-19,2024-9-20,2024-12-16,2024-12-17,2024-12-18,2024-12-19,2024-12-20,2025-3-17,2025-3-18,2025-3-19,2025-3-20,2025-3-21,2025-6-16,2025-6-17,2025-6-18,2025-6-19,2025-6-20,2025-9-15,2025-9-16,2025-9-17,2025-9-18,2025-9-19,2025-12-15,2025-12-16,2025-12-17,2025-12-18,2025-12-19 Exclude 2024 Partial Trading Sessions: 1/15/2024,2024-02-19,2024-5-27,2024-06-19,2024-07-3,2024-07-04,2024-2024-09-02,2024-11-28,2024-11-29,2024-12-24

[2024-04-13 17:39:24] #6 [Go To First Post]
User61168 - Posts: 350
I don't use continuous contracts. Thanks for your validation Tom. I am also leaning towards not using continuous contract setting.

[2024-04-13 17:47:08] #7 [Go To First Post]
Tony - Posts: 459
@User61168 Thanks so much for your explanation, yeah I found it under Symbol Settings. Didn't know this feature, will dig into it.

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