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Trouble with futures algo
context.security_list = symbols('CLG11','CLH11','CLJ11','CLK11','CLM11','CLN11','CLQ11','CLU11', 'CLV11')  

This line of code is raising the following build error:
Error Symbol 'CLG11' was not found. Did you check set_symbol_lookup_date() to confirm the asset traded at this time?

The backtest is being run from the 1st of January 2011, and according to:
the futures contract should be available. What am I missing?

2 responses

Hi Martin,

To reference a particular contract in the backtester, you'll need to use the [future_symbol][1] function. Sorry for the confusion.

That being said, have you looked into using a continuous future instead of hard coding consecutive contracts? Continuous futures allow you to dynamically reference a particular future chain in research or backtesting.


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Hi Jaime thanks for that it got rid of the error. I have tried to get continuous futures to work but it didn't quite work,
although I'm thinking that I'm going to have to use it instead anyway.