Support Board
Date/Time: Wed, 15 Jan 2025 16:10:10 +0000
Proportional BackAdjusting||Accessing Individual Contracts That Make Up Rollover Contracts
View Count: 812
| [2017-08-14 16:44:59] |
| User13863 - Posts: 10 |
|
Dear Support, Lately I've been exporting Sierra Charts continuous contracts going back to 2011 to do backtesting. My method requires calculating the historical percentage returns of many commodity futures and comparing them to one another starting from specific dates. Such calculations require back-adjusting the continuous contract but the current difference method included in Sierra Chart produces incorrect results for relative percentage returns. Would you all consider adding a proportional adjustment?: "The Proportionality Adjustment approach is similar to the adjustment methodology of handling stock splits in equities. Rather than taking an absolute shift in the successive contracts, the ratio of the older settle (close) price to the newer open price is used to proportionally adjust the prices of historical contracts. This allows a continuous stream without an interruption of the calculation of percentage returns." Alternatively, is there a way I can access volume rollovers datetimes or access the actual contract that makes up each bar on the continuous contract programmatically or using spreadsheet studies? (I know I can see the rollovers on the chart but copying them manually is a rather tedious process.) Thanks! |
| [2017-08-14 17:59:09] |
| User13863 - Posts: 10 |
|
I now see that I can access the rollover datetimes using the "Detailed Continuous Futures Contract Chart Logging" setting. Thanks for building that in! From that I'll be able to make my own backadjustments. Please do still consider the proportionally backadjustment feature request at some point in the future.
|
To post a message in this thread, you need to log in with your Sierra Chart account: