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Open Feature request MC-2641

Support for Perpetual Series Back Adjustment Method
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Description

There is some research that suggests that building continuous contract data using the Perpetual Series method produces a more accurate time series for system research.

The following links describe this method in more detail.

Continuous futures data series for back testing and technical analysis

Continuous Futures Contracts for Backtesting Purposes

Comments (1)
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#1
user-offline.png NickW (NickW)
Aug 04, 2022 - 15:05

We really need ratio or perpetual backadjusted contracts as well.

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