Indeed, these notes are of HUGE value! One technical question: what are you using for TU1? The Bloomberg one shows a current price of ~104, which is clearly not what appears in your chart. Thanks!
Its modified to be continuous. When you use the raw contracts it jumps at each roll because of the steep curve so it distorts the chart. This is sort of like a cumulative total return reflected in price form which is why the price is different.
This is what you would experience if you rolled each contract and continued to hold it. It's the true representation of the performance, similar to how you would look at a stock chart.
Thank you very much! Yes, I’ve been experimenting with the futures roll options. What I’m using now is also a back-adjusted continuous series. However, Bloomberg adjusts only the history by default, while the current price always reflects the front contract. Perhaps your method is slightly different; however, the shape of the charts looks the same, and that’s what matters.
Indeed, these notes are of HUGE value! One technical question: what are you using for TU1? The Bloomberg one shows a current price of ~104, which is clearly not what appears in your chart. Thanks!
Its modified to be continuous. When you use the raw contracts it jumps at each roll because of the steep curve so it distorts the chart. This is sort of like a cumulative total return reflected in price form which is why the price is different.
This is what you would experience if you rolled each contract and continued to hold it. It's the true representation of the performance, similar to how you would look at a stock chart.
Thank you very much! Yes, I’ve been experimenting with the futures roll options. What I’m using now is also a back-adjusted continuous series. However, Bloomberg adjusts only the history by default, while the current price always reflects the front contract. Perhaps your method is slightly different; however, the shape of the charts looks the same, and that’s what matters.
Yes you can do it backwards from the current price and the outcome will be the same. I think that's what bloomy does.
Trading view also has the "B-ADJ" button to do the same thing.
I'm more interested in the shape than the price so I built mine this way just because it's easier
That all makes sense!
I store mine in a database so it saves me recalculating it every day. If someone paid me $30k per year to do it the other way I would lol
Superb note Peter