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My futures data comes from CSI and the CSI software automatically constructs
the data series. Continuous non-adjusted is simply a series of appended
contracts with no adjustment. The rollover date is generally a fixed date or
days relative to the end of the contract or the date on which the heaviest
open interest or volume activity shifts to the next contract.
System testers require a smoothed data series such that rollover gaps will
not disturb trading signals. Otherwise, the process of forward, back or
perpetual adjustment substitutes theoretical prices for real prices. I feel
that these theoretical prices hide naturally recurring real price levels
which form support and resistance levels and fib relationships. Thus I use
unadjusted.
Earl
----- Original Message -----
From: "Rakesh Sahgal" <rakeshsahgal@xxxxxxxxx>
To: "Real Traders" <realtraders@xxxxxxxxxxxxxxx>
Sent: Saturday, December 08, 2001 5:44 AM
Subject: [RT] Continuous Futures Charts
> RTs'
>
> Is anyone using non-adjusted continuous price charts for the futures
> contracts they trade ( If I am not wrong Earl had mentioned this one
> once)? Could you please elaborate on how you construct the data set i.e.
> how do you tackle the overlap period between two contracts? Do the
> non-adjusted contracts offer a better perspective vis-a-vis adjusted
contracts?
>
>
> TIA for any info you can spare.
>
>
>
> Rakesh
>
>
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