Historical Back Adjusted data vs Non Back Adjusted data
Posted: Tue Oct 03, 2006 12:54 pm
I would like to hear other people comment about the following.
I have this question when I look at back adjusted price vs Non back adjusted price. As I do understand that the back adjusted is necessary to eliminated the price gab in between contract so that our trading simulation reflect more accurately the contract rollover.
I hovewer have the following questionning. WHen I look at the following chart.
all the following example are between back adjusted vs non back adjusted
Example 1. Weekly Chart of Rough Rice,
Example 2. Weekly COtton
Example 3. Weekly COrn
In all those case, A visual inspection give me a different opinion of the trend Up, down, sideway.
What are your tought on this, and which one should we really use to determine the trend?
BEcause in a lot of case this could mean the difference between taking a long or the short side of the market.
Denis
I have this question when I look at back adjusted price vs Non back adjusted price. As I do understand that the back adjusted is necessary to eliminated the price gab in between contract so that our trading simulation reflect more accurately the contract rollover.
I hovewer have the following questionning. WHen I look at the following chart.
all the following example are between back adjusted vs non back adjusted
Example 1. Weekly Chart of Rough Rice,
Example 2. Weekly COtton
Example 3. Weekly COrn
In all those case, A visual inspection give me a different opinion of the trend Up, down, sideway.
What are your tought on this, and which one should we really use to determine the trend?
BEcause in a lot of case this could mean the difference between taking a long or the short side of the market.
Denis