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I use them. answers in red.
Rakesh Sahgal wrote:
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
setThe charts are constructed using the front
month. I use the first day of the expiration month to roll to the
next front month. If a contract expires in Dec. on Dec. 1 I
roll to the next month. i.e.
how do you tackle the overlap period between two contracts?
There is nothing to tackle if you are consistent with the process.
The spread usually stays about the same. Do the
non adjusted contracts offer a better perspective vis-a-vis adjusted
contracts? I like them because they tell
you what the most active contract was trading at and therefore the most
accurate price for that period of time. I also use adjusted contracts
for another purpose. If you are using Ensign the non adjusted contracts
are called continuation charts are kept automatically for you.
TIA for any info you can spare.
Rakesh
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