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Direct MessagesDate/Time: Mon, 29 Apr 2024 17:26:02 +0000
[User Discussion] - chart anomaly?
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| [2020-04-20 16:20:20] |
| User500078 - Posts: 2 |
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I am a student of a course teaching a futures trading strategy. Course materials include screenshots of Sierra Chart charts. The chart in question is of oats (ZO) and the screenshot was taken on 2018-02-13 and showed various support/resistance levels drawn on it. The last bar (on the far right) gave the following values for that day, 2018-02-13: open 279.25; close 278.00--the values are, of course, approximate--within a point--since I am reading them off a screenshot. So far, so good. The anomaly arises when I generate a continuous oats contract chart TODAY and draw historical support/resistance levels, expecting that these levels would be about the same, if not identical, to those drawn on the course's February 2018 chart. They were not, they were, in fact, off about 14-15 points. Surprised I looked deeper, to wit: the value of the 2018-02-13 bar on MY chart which now--in April 2020--says: open 299.50, close 298.25. So, for the SAME DAY there is nearly a 20 POINT DIFFERENCE between the two charts drawn more than two years apart?!?! which BTW are both set to "continuous futures contract, date rule rollover, back adjusted". The expectation is that on the 13th of February 2018 the oats contract did trade with certain OHLC prices and that these prices do not change as time passes. Right? I do not know what to make of this. It raises questions of data accuracy and reliability. The strategy I am learning is anchored in accurately drawn support/resistance levels. Can you explain these differences? And what's going on? Sierra Charts has been recommended. People say it is top of the line. And in the week or so I've been working with your charts on a trial basis, I am happy with Sierra Chart... except for that nagging anomaly. Thank you, Chazz B P.S. The language and communications everywhere on your website are refreshingly candid. Thank you! |
| [2020-04-20 19:06:28] |
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When you are doing back adjustments, as time goes by, the prices will change for a particular date and contract month. So you do not want to do any back adjustments of the data. For example, the current Oat contract will have unadjusted prices but 10 years from now, if using back adjustments, it will have a very different price with all of the back adjustments applied cumulatively. We will make sure this is explained in the documentation. 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, *change* to the Teton service: Sierra Chart Teton Futures Order Routing Date Time Of Last Edit: 2020-04-20 19:06:56
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| [2020-04-22 21:03:21] |
| User500078 - Posts: 2 |
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Thank you for pointing me to the documentation for "Continuous Futures Contract - Date Rule Rollover, Back Adjusted." However, that documentation is unclear to me. Perhaps you can clear up some of the terminology used? In the third paragraph I assume "At the very first rollover in the chart..." means the oldest rollover, the one on the far left of the chart--for example, if I downloaded a daily historical chart for Oats (ZOK20) beginning with 1 Feb 2018 to the present time, the first rollover would be on the date the March 2018 contract transitions to the May 2018 contract. Is this correct? Then, the documentation states: "This total amount is the amount by which the prior contract is adjusted by." I have two questions. The first question is: which "prior contract" is being referred to? Keeping with the chart example above I infer it is the March 2018 contract. Is this correct (i.e., for that example)? My second question is about the term "adjusted by" and assuming my inferences above are correct: does the back adjustment made mean that all of the daily prices recorded for the trading days during the March 2018 contract are BUMPED UP OR DOWN by the total of the cumulative differences between opening prices for every rollover that occurred from March 2018 to the present? And given the same logic, would the back adjustment to the May 2018 contract daily prices be the same as that for the March contract, excepting the opening price difference between the March and May contracts on the day of that rollover? Thank you, Chazz B |
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