Backtesting Natural Gas (NG) Futures:
What if your backtest on Natural Gas futures showed a 20% return, only to fail catastrophically when you tried it in live trading? The difference often ...
What if your backtest on Natural Gas futures showed a 20% return, only to fail catastrophically when you tried it in live trading? The difference often lies in how well your strategy handles the extreme volatility unique to the NG market. Key fact: The Henry Hub Natural Gas futures contract is the third largest physical commodity futures contract in the world by volume, with 400,000 contracts traded daily and 1.7 million in open interest. Natural Gas futures are notorious for their wild price swings, driven by weather forecasts, storage reports, and geopolitical shocks. When you run a backtesting session in NinjaTrader 8, standard settings often fail to capture the true cost of these moves. You might see a strategy that looks profitable on paper, but it crumbles when you account for the slippage that occurs during a 5% intraday move. This article explores how to configure your Market Replay and historical backtests to handle these conditions realistically. We will look at contract specifications, volatility detection methods, and the specific settings you need in NinjaScript to avoid the "perfect world" illusion.