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Date/Time: Tue, 07 May 2024 08:38:23 +0000

Post From: How long is the period for volume based back adjusted continuous contracts?

[2018-04-04 16:25:42] Link To Thread - Link To Post [Go To First Post]
Programming_autotrading_phonesup - Posts: 59
How long is the transition period for volume based back adjusted continuous contracts? Is it by default just 1 day, the day the volume of the new contract is higher than the old contract? Or is it smoothed out, back adjusted over several days, or a longer period? ... to have the transition more smooth? I read this help page, but was not sure by default the period is just 1 day for volume based back adjusted option: Continuous Futures Contract Charts Further I'd like to note that it looks like that when backtesting with continuous contracts the losing trades are losing less, and the winning trades are winning less than expected if the trade is closed out on roll-over days. I assume it has to do with smoothed (trade exit) pricing. Is this possibly correct? Date Time Of Last Edit: 2018-04-04 16:26:19