Support Board
Date/Time: Tue, 25 Aug 2026 06:51:36 +0000
Post From: Add a new back adjustment for continuous futures contracts
| [2026-08-25 03:24:18] |
| User899259 - Posts: 3 |
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For the continuous futures contracts, the current back adjustment is additive (Panama method). For the Sierra studies that rely on log returns or percentage changes, it distorts the studies the further back you go in the price history. Would it be possible to add one more back adjustment option that is multiplicative (Ratio Back-Adjustment)? Where Ratio = P_{new, roll}/{P_{old, roll} and P_{adjusted} = P_{old}*Ratio In my mind, at least, it won't be very much work to add since you can take the existing function for the additive adjustment and just replace the existing calculation with the ratio and multiplication steps and everything else can remain the same. It would make all Sierra studies that rely on log returns or percentage changes completely accurate, whereas now they start to diverge the further back one goes. I read the documentation and I understand new features are added at your discretion but I would be willing to pay to have this added so I don't have to create my own ACSIL workaround. Thanks Date Time Of Last Edit: 2026-08-25 03:27:32
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