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Date/Time: Tue, 07 May 2024 06:51:41 +0000

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

[2018-11-13 13:38:40] Link To Thread - Link To Post [Go To First Post]
Programming_autotrading_phonesup - Posts: 59
I agree. What happened was that the 'no' answer above given in april this year was misunderstood by me. Often overseen in backtesting, the roll-over can greatly affect the performance results of any trading system. On the help page I read the following explanation: 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. Can you include a sample calculation using tables in the related documentation so it becomes less of a 'black box' and is easier for me to fully understand what happens under the hood? Thanks again for your kind clarification. Date Time Of Last Edit: 2018-11-13 13:47:31