how to back-adjust continous futures

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fringe
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how to back-adjust continous futures

Postby fringe » 21 Jan 2012

Hi,

by looking at previous threads on this forum, I found out how to merge multiple futures contracts in a single custom future that is both continuous and back-adjusted.

My situation, though, is the following: I have a .txt file containing a continuous (NOT back-adjusted) futures from 2000 to today.

In order to back-adjust the data contained in the file, what should I do in Quotes Manager? Do I still need to create n symbols (one for each contract from 2000 to today)? Or can I somehow create only one symbol (an Ascii-Mapping of my .txt file) and tell Quotes Manager to back-adjust the data in it?

I hope I was able to explain my reasoning... :-)

Thanks!

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TJ
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Re: how to back-adjust continous futures

Postby TJ » 21 Jan 2012

fringe wrote:Hi,

by looking at previous threads on this forum, I found out how to merge multiple futures contracts in a single custom future that is both continuous and back-adjusted.

My situation, though, is the following: I have a .txt file containing a continuous (NOT back-adjusted) futures from 2000 to today.

In order to back-adjust the data contained in the file, what should I do in Quotes Manager? Do I still need to create n symbols (one for each contract from 2000 to today)? Or can I somehow create only one symbol (an Ascii-Mapping of my .txt file) and tell Quotes Manager to back-adjust the data in it?

I hope I was able to explain my reasoning... :-)

Thanks!

My suggestion:

it might be easier to start with excel;
you can use it to filter and massage the file, do whatever adjustments you want on the spreadsheet,
then import the file as an adjusted data.

fringe
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Re: how to back-adjust continous futures

Postby fringe » 21 Jan 2012

Hi TJ,

thank you for the very fast reply!

Do you perhaps have a template excel file I can use for this purpose?

Thank you!

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TJ
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Re: how to back-adjust continous futures

Postby TJ » 21 Jan 2012

fringe wrote:Hi TJ,

thank you for the very fast reply!

Do you perhaps have a template excel file I can use for this purpose?

Thank you!

no, this is not a push-button thing,
you have to go through the data (either by sight, or by filter),
separate the sections by date,
then apply the adjustments you want.

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Henry MultiСharts
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Re: how to back-adjust continous futures

Postby Henry MultiСharts » 23 Jan 2012

Hello Fringe,

That is not possible to back-adjust the data contained in one txt-file with the help of Quote Manager.
Back-adjustment can be performed for individual symbols while creating a Custom Futures symbol.


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