How should backtesting be handled with futures tick data? The question does not apply to TradeStation but a custom platform that I'm building. I suppose I could take in futures rollover dates and notify the strategy when it's time to roll to the next contract. What about charting, though, as well as calculating indicators for X ticks back? There could well be a case when the indicator spans the rollover date and the ticks past that need to be adjusted, at least to calculate the indicator. Last but not least, since the trading is very short-term, should the rollover _time_ be specified as well? Thanks, Joel -- http://wagerlabs.com/uptick
You just need to set a rollover date, then back-adjust by difference the tick series. Data vendors (like Tick Data) typically provide a software that will generate continuous futures files++
Just choose a date and time, for example 10 am 10 days before rollover. Code you strategy to close all positions in the current contract at that time and open new positions in the forward contract. Runningbear