What is Continuous Futures Data and Back-Adjustment
Back-Adjusted Continuous Futures
Our products are "Continuous Futures Data", and there are 2 variants:
- Not back-adjusted
- Back-adjusted (bk)
What is continuous future data?
Each future contract has an expiration date, so to create a future historical series is needed to concatenate contracts. There are different ways to concatenate futures contracts:
- at expiration
- when the next contract become more traded than the expiring one
We use the 2°method, so for example when CrudeOil-Aug24 will have a higher volume than CrudeOil-Jul24, the rollover will be made.
What is the difference between "Back-adjusted" and "Not Back-adjusted" continuous futures?
- Not backadjusted: it is a simple concatenation of future contract's prices. It has price gaps due to rollovers, since future contracts with different expirations usually have a bit different prices.
- Backadjusted (bk): in this variant the rollovers don't cause gaps in the series. To get this result, when we do a rollover:
- we compute a ratio between the price of the expiring contract and the price of the new contract
- we multiply the historical series by that ratio
- we append to the series the prices of the new contract