Hi
what are people using for long term analysis of futures markets?
continuous contract or back adjusted?
The issue of gaps at rollover vs incorrect levels on back adjusted contracts just occurred to me.
obviously not a problem with stocks....
how to approach the futures market with this issue?

I use Rithmic as data/execution provider and they have continuous contracts on popular symbols. If you do not have continuous contracts, perhaps your broker/platform allows you to setup custom symbols.

As for accuracy, I guess I have not looked at it that closely. Others can comment on their opinion/experience.

FuManChou 

I use Rithmic as data/execution provider and they have continuous contracts on popular symbols. If you do not have continuous contracts, perhaps your broker/platform allows you to setup custom symbols. As for accuracy, I guess I have not looked at it that closely. Others can comment on their opinion/experience.

If you are backtesting, the choice of what type of continuous contract to use is HUGE.

2 examples:

If you use unadjusted continuous contracts, gaps during rollovers will lead to inaccurate, meaningless results. many people think they can profit from rollover gaps, and that is not true.

If you use backadjusted continuous contracts (what I use), the historical price levels change every rollover, so percentage calculations (like close/previous close) can cause the backtest results to change over time.


The key is to understand what your continuous contract can and cannot do.

kevinkdog 

If you are backtesting, the choice of what type of continuous contract to use is HUGE. 2 examples: If you use unadjusted continuous contracts, gaps during rollovers will lead to inaccurate, meaningless results. many people think they can profit from rollover gaps, and that is not true. If you use backadjusted continuous contracts (what I use), the historical price levels change every rollover, so percentage calculations (like close/previous close) can cause the backtest results to change over time. The key is to understand what your continuous contract can and cannot do.

I know that we might be getting off topic here.

Is there a way I can determine which type of continuous contracts I am using? Is it safe to assume that I am using the unadjusted version? How do I setup and use back adjusted continuous contract?

FuManChou 

I know that we might be getting off topic here. Is there a way I can determine which type of continuous contracts I am using? Is it safe to assume that I am using the unadjusted version? How do I setup and use back adjusted continuous contract?

I would ask the data provider.