Support Board
Date/Time: Sun, 11 Oct 2026 23:58:40 +0000
Post From: Add a new back adjustment for continuous futures contracts
| [2026-08-28 00:35:39] |
| User899259 - Posts: 6 |
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Currently if the roll happens and the expiring contract is at $98 and the new front month is at $100, $2 ($100-$98) is added to all the prices prior to the new front month. So on and so forth. For the ratio adjustment under the same scenario as above, all prices prior to the new front month would be multiplied instead of addition. For 3 contract months, assume the following: Roll 1 - Expiring (May)=$98, Front Month (June)=$100, Ratio=1.0204 (100/98), all prices prior to the front month (June) multiplied by Ratio (1.0204) Roll 2 - Expiring (June)=$100, Front Month (July)=$97, Ratio=0.97 (97/100), all price prior to the front month (July) multiplied by Ratio (0.97) Same idea as the current additive method but it's multiplicative, in order to preserve percentage changes, whereas the additive method preserves the absolute changes. Thanks for looking into this so quickly. Date Time Of Last Edit: 2026-08-28 00:45:46
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