Support Board
Date/Time: Wed, 27 Nov 2024 08:26:17 +0000
Post From: Contract Rollover Data not 100% Correct?
| [2022-03-13 22:15:11] |
| 1+1=10 - Posts: 270 |
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Back adjusting is from the perspective of the new contract. By definition it will change the prices of the previous contracts from the actual value. See quote below from docs here: Continuous Futures Contract Charts: Continuous Futures Contract - Date Rule Rollover, Back Adjusted When there is a rollover from one futures contract to the next, on the day of the rollover, the difference between the newer futures contract open price on that day and the prior futures contract open price on that same day is calculated. This is the back adjustment amount between those two contracts. At the very first rollover in the chart, the back adjustment amount is calculated for that rollover and all of the subsequent rollovers. At each rollover, the back adjustment amount for that particular rollover and all of the rollovers forward from that rollover, are added together. This total amount is the amount by which the prior contract is adjusted by. This process continues itself going forward through the contract months. The futures contract open prices for the rollover day are determined from the historical Daily chart data for the symbol. Check to see what the All-Time High (ATH) is without the back-adjustment turned on. |