Choice of continuous futures data

Options & Futures
1

Course Name: Futures Trading: Concepts & Strategies, Section No: 14, Unit No: 6, Unit type: Notebook

While calculating the volatility of an asset, it is better to use proportional adjusted continuous data for capturing the percentage change in the price movement as stated in the previous chapter. Questions is

Should I use the proportional adjusted data for signal generation and unadjusted data for the Pnl calculation?

 

2

Hey Sean,



To analyse long term trends or to perform backtesting, proportional method or roll over methods can be used and backward adjustment method should be avoided.



For doing statistical analysis, rollover/ perpetual series method would be the best choice since it smoothens the time series.



To learn more you can also refer to this blog.



Thanks

Rushda