Support Board
Date/Time: Sun, 11 Oct 2026 23:13:29 +0000
Add a new back adjustment for continuous futures contracts
View Count: 377
| [2026-08-25 03:24:18] |
| User899259 - Posts: 6 |
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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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| [2026-08-25 14:25:28] |
| John - SC Support - Posts: 48169 |
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We have noted this as a Feature Request. We do not have time to take on additional work, even for a payment. For the most reliable, advanced, and zero cost futures order routing, use the Teton service: Sierra Chart Teton Futures Order Routing |
| [2026-08-25 19:08:38] |
| User899259 - Posts: 6 |
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Just to clarify, are you saying this has been noted and may be added at a future date when time permits or that this feature will never be added? Thanks
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| [2026-08-25 19:32:24] |
| John - SC Support - Posts: 48169 |
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We have noted it and it may be added at a future date when time permits.
For the most reliable, advanced, and zero cost futures order routing, use the Teton service: Sierra Chart Teton Futures Order Routing |
| [2026-08-27 21:36:15] |
| Sierra_Chart Engineering - Posts: 25136 |
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Might not be difficult to add, but the formula is not clear for us. 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
It is best to explain it as a series of calculations steps, involving three contract months. Sierra Chart Support - Engineering Level Your definitive source for support. Other responses are from users. Try to keep your questions brief and to the point. Be aware of support policy: https://www.sierrachart.com/index.php?l=PostingInformation.php#GeneralInformation For the most reliable, advanced, and zero cost futures order routing, use the Teton service: Sierra Chart Teton Futures Order Routing Date Time Of Last Edit: 2026-08-27 21:36:34
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| [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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| [2026-09-08 07:39:36] |
| User899259 - Posts: 6 |
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Just occurred to me there is an edge case that may come up. If there is a negative price on the roll, it will render the series meaningless. I did check, and no mainstream contract has ever turned negative before either a volume or a OI based roll (WTI turning negative was on the penultimate day of the contract when volume and OI had moved to the next month days ago). Negative prices do occur for the much less liquid contracts but I don't think SC even has the symbols for most of those. In cases where price does become negative, a work around could be an additive fallback for that specific roll, so instead of multiplying by the ratio, just use the current additive method for that specific roll. I am not asking for this to be included but just letting you know there is an edge case (highly unlikely) that could be problematic. |
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