Back-adjust Data

Discussion in 'Data Sets and Feeds' started by lately, Jun 26, 2008.

  1. lately


    I have data for the ES market but it's split up by seasons. Does anyone know the proper method for back adjusting this so it can be used for backtesting?
  2. You are trying to convert the data into a continuous contract?

    Best method I have found is volume adjusted. Compute volume for the front and first back-month contracts and roll to the
    next contract when the volume of the back-month contract exceeds the volume of the current front month contract.
  3. lately


    Thanks, and yes, continuous contracts. How do I account for the price differences?