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Futures price data inquiry raises important issues about analysis and back-testing
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AT-May 2007-1
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I’m new to futures trading and I’ve heard about different kinds of futures price data — continuous, back adjusted, and contract. What exactly are the differences and which should I be using?
— Name withheld
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Detailed Description
It might sound a little complicated at first, but the price-data issue you’re talking about is really fairly simple. The two major types of futures price data are individual contract prices and "continuous futures." The term "back-adjusted" refers to a specific type of continuous price data.
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