Support Board
Date/Time: Mon, 16 Jun 2025 01:12:38 +0000
Wildly Different Historical NQ Prices when Back Adjusted
View Count: 254
| [2025-05-17 11:43:14] |
| gtaranti - Posts: 95 |
|
I'm baffled from this one. I've created a new Historical Chart of NQ, setting as symbol the current one (NQM25-CME) and the date range back to 2011. Also, I've set in symbol settings the Continuous Contract to "Continuous Futures Contract - Volume based Rollover, Back Adjusted". Then, I've noticed some significant differences of open-close prices when compared to prices where there is no "adjustment". For example for date 2011-01-03 Back Adjusted: Open: 4452.75, Close: 4483.25, Volume: 276753 No adjustment: Open: 2220.00, Close: 2250.50, Volume: 276753 If I select as symbol NQH11-CME, then the prices are the same (2220.00 - 2250.50) for said date, whether I chose 'None' or 'Continuous Futures Contract - Volume based Rollover, Back Adjusted' setting. 1. Is it expected as normal behavior to have such a wide difference? 2. In my backtests, should I always use the earliest symbol in the symbol settings? |
| [2025-05-19 14:41:35] |
| John - SC Support - Posts: 40422 |
|
1. Yes, this is what is occurring with a Back-Adjusted Continuous Contract. Each contract is adjusted up or down to match the more recent contract. Over time, the cumulative effect can be large. Refer to the following: Continuous Futures Contract Charts: Understanding Back Adjusted Price Data and Comparisons 2. You need to determine what you want to see from your backtesting. Just be aware that the data you see when you are not using the current front contract month for the symbol will not be what you want. Refer to the following: Continuous Futures Contract Charts: Current Day Always Uses Contract Month of Symbol of Chart Continuous Futures Contract Charts: Issues When Symbol of Chart is not Current Contract and Expires Later For the most reliable, advanced, and zero cost futures order routing, use the Teton service: Sierra Chart Teton Futures Order Routing |
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