Regarding continuous futures

[wavesurfin]

Hello

Even after reading the relevant articles (1412, 2258) in the KB and also some posts in the forum, I am still not sure what can be done regarding continuous futures contracts.

I would like to get price-adjusted continuous futures data for backtesting purposes. As far as I understand the #F-contracts (e.g. QM #F) are not back-adjusted. Nevertheless, you can check the "Enable Back Adjustment" box in the "Configure Continuous Contracts-menu" for the root ticker (e.g. QM). But that does not seem to change the data for QM #F when I export it into Excel and compare with the non-adjusted data.

Are the #F-contracts already back-adjusted ? If not how can I do that or generate myself new contracts with the relevant tickers which are back-adjusted (e.g. QM).

Thank you for the help

Kind Regards

[ACM]

Re: Regarding continuous futures

wavesurfin

As far as I understand the #F-contracts (e.g. QM #F) are not back-adjusted.

That is correct

Nevertheless, you can check the "Enable Back Adjustment" box in the "Configure Continuous Contracts-menu" for the root ticker (e.g. QM). But that does not seem to change the data for QM #F when I export it into Excel and compare with the non-adjusted data.

That option is applicable only to the User Configured Continuous Contracts which are created at the client level and use a different symbology and not to the #F contracts which are created at the server level. For the instructions on how to create user configured continuous contracts see this article in the eSignal KnowledgeBase

Are the #F-contracts already back-adjusted ? If not how can I do that or generate myself new contracts with the relevant tickers which are back-adjusted (e.g. QM).

No the #F contracts are not back adjusted. See my reply to the previous point for the instructions on how to create back adjusted contracts
Alex

Originally posted by wavesurfin
Hello

Even after reading the relevant articles (1412, 2258) in the KB and also some posts in the forum, I am still not sure what can be done regarding continuous futures contracts.

I would like to get price-adjusted continuous futures data for backtesting purposes. As far as I understand the #F-contracts (e.g. QM #F) are not back-adjusted. Nevertheless, you can check the "Enable Back Adjustment" box in the "Configure Continuous Contracts-menu" for the root ticker (e.g. QM). But that does not seem to change the data for QM #F when I export it into Excel and compare with the non-adjusted data.

Are the #F-contracts already back-adjusted ? If not how can I do that or generate myself new contracts with the relevant tickers which are back-adjusted (e.g. QM).

Thank you for the help

Kind Regards

[wavesurfin]

Hi Alexis

thanks for the quick answer.

Sorry, but I do not get it really. I have tried to create a new contract (for QM). When I enter the contract root, it says: "contract does already exist". Therefore, I try "QM 1!", but then I got a totally strange chart with 10 bars, with every bar being from another month.

Therefore, could you give me the concrete actions to either create a continuous futures contract for QM(or CL) or tell me what ticker I have to use to get such a contract.

Thanks a lot

[ACM]

wavesurfin
The symbols are QM 1! And CL 1! as indicated in the article I linked.
At my end these appear to be working as expected as you can see in the enclosed screenshot that shows the back adjusted charts for CL 1! and QM 1!
If this is not what you are seeing at your end you may want to contact eSignal's support directly or using LiveRep as they will be better able to determine what the problem may be
Alex

Originally posted by wavesurfin
Hi Alexis

thanks for the quick answer.

Sorry, but I do not get it really. I have tried to create a new contract (for QM). When I enter the contract root, it says: "contract does already exist". Therefore, I try "QM 1!", but then I got a totally strange chart with 10 bars, with every bar being from another month.

Therefore, could you give me the concrete actions to either create a continuous futures contract for QM(or CL) or tell me what ticker I have to use to get such a contract.

Thanks a lot

[wavesurfin]

My QM 1!-chart looks like this:

[ACM]

wavesurfin
Based on that image my guess would be that the Roll template for that contract is set up incorrectly.
Check if the Roll date is set to the Previous Month and not the Current Month
If that is not the case then I would reiterate my suggestion to contact eSignal's support [directly or via LiveRep] as they can best determine what the issue may be
Alex

Originally posted by wavesurfin
My QM 1!-chart looks like this:

[wavesurfin]

Hello Alexis

thanks again for the quick response.
My setup is the following. Maybe you could check the differences with yours. If this not helps, I will do as you suggested.

Kind Regards

[ACM]

wavesurfin
You need to check the settings in the Roll template as I suggested in my previous reply.
For the instructions on how to use the Continuous Contracts Settings tool see the link I posted earlier in this thread
Alex

Originally posted by wavesurfin
Hello Alexis

thanks again for the quick response.
My setup is the following. Maybe you could check the differences with yours. If this not helps, I will do as you suggested.

Kind Regards

[wavesurfin]

Alex

Thanks again. I changed the settings as ther article suggests and it finally worked for the QM. Unfortunately, when I applied the template to the CL-contract, eSignal sends a data request but nothing happens (see pictures). What could be the problem, please ?

By the way, wouldn't it make sense that the relevant contracts have already the correct template settings, so the user only has to choose if he wants backward adjustment or not ?

Thank you

[wavesurfin]

Can I attach more than picture in one post ?

[wavesurfin]

Please consider this and the next two posts...

[ACM]

wavesurfin

Unfortunately, when I applied the template to the CL-contract, eSignal sends a data request but nothing happens (see pictures). What could be the problem, please ?

I would not know and I would suggest contacting eSignal's support directly
Alex

Originally posted by wavesurfin
Alex

Thanks again. I changed the settings as ther article suggests and it finally worked for the QM. Unfortunately, when I applied the template to the CL-contract, eSignal sends a data request but nothing happens (see pictures). What could be the problem, please ?

By the way, wouldn't it make sense that the relevant contracts have already the correct template settings, so the user only has to choose if he wants backward adjustment or not ?

Thank you