FIGURE 03: OPERATION OF BACKWARD ADJUSTMENT METHOD.
In this adjustment method, rollover gaps (left chart) are eliminated by the retroactive adjustment of historical prices. The right graph shows the original contract in black, the adjusted contract in red.
CREATE ADJUSTED PERPETUAL CONTRACTS IN 5 STEPS.
BACKWARD ADJUSTMENT IN PRACTICE.
Tradesignal offers a wizard both a convenient and flexible solution for creating adjusted perpetual contracts. You will see below, step by step, how easy it is with Tradesignal to create them. The backward adjustment method (next page) presented before serves as an example here.
STEP 1: Click on the field “symbol list” and select “new symbol”.
STEP 2: Then click on “user-defined continuation“.
STEP 3: In the first column type in the corresponding icon of your data provider for the desired future; e.g. CL for the Thomson Reuters RIC for Crude Oil Light. Then mark all individual contracts you want to use.
STEP 4: Now select the desired rollover method. There are two methods for determining the rollover date:
- a. The rollover is done at a specific time, e.g. X days before the expiration date of the contract.
- b. The rollover is done based on the volume or open interest, e.g. when the volume of the next contract exceeds the current contract.
In the following example the old contract is rolled one day before the expiration date in the new contract.
STEP 5: Select the “Backward Adjustment” method, and then click “Next” and “Finish”.
STEP 6: Click “Done” and enter a name for the adjusted contract.
The created adjusted contract then stands in the securities folder defined by you and can be used immediately for back tests.
PROPER ROLLOVERS WITH TRADESIGNAL.
MODIFICATION OF ADJUSTED CONTINOUS CONTRACTS.
Adjusted contracts can be created quickly and safely with Tradesignal. This ensures a correct analysis of your charts and back tests. Indicators are also displayed correctly (no Gaps in RSI, MACD or Moving Averages).
BY THE WAY: The precise definition of an adjusted contract can be always checked and adjusted if necessary. For this purpose just click on the ticker symbol with the right mouse button and select “edit future definiton”.