Futures backadjustment calculation

dom993

dom993

Hi there,

Is there an industry-standard to compute the backadjustment value between 2 adjacent contracts?

Let's assume that there is an industry-standard for the rollover-date as a starting point (there is obviously no such thing, however in practice 90% of the rollover is done on a 24h period, any suggestion re. using the start / middle or end of that 24h period also appreciated).

Thanks in advance
 
Quote from dom993:

Hi there,

Is there an industry-standard to compute the backadjustment value between 2 adjacent contracts?

Let's assume that there is an industry-standard for the rollover-date as a starting point (there is obviously no such thing, however in practice 90% of the rollover is done on a 24h period, any suggestion re. using the start / middle or end of that 24h period also appreciated).

Thanks in advance
More...

On TN, you can get that info on commodities that are designated with special symbol suffixes. All long term (multi rollover) calculations require this back adjustment.

For example, to use ES you go to the symbol list and find just ES section. ES dash 0XX means it does what you want. Specifically there are 055 etc through 092, a selection of ten choices. Each is souped up for different tastes.

To get the day-to-day back adjustment you add additional files. Open the download box and go to bottom where you see space filled with word "upgrade". erase "upgrade" and type in "PVFILES". after it completes click "start" on upper left of display.

So far, however, TN has not done this for bar-by-bar intraday (less than daily data).
 
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