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Tagged with roll-adjustment backtesting
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Continuous futures data roll adjustment
When I construct continuous futures data (Wheat futures for example), I get different results than barchart or tradingview. Examples below. The 1st image is my adjusted continuous data and the 2nd ...
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Extracting continuous futures prices on different dates with the ratio adjustment
I extract continuous prices for a set of futures contracts using Bloomberg. I select the Ratio as adjustment with the Bloomberg default settings.
For instance, to extract the first/forward generic ...