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CSIs "Advanced Backadjuster" and rollover thoughts

Posted: Thu Jul 19, 2012 9:55 am
by rdh2f
As I understand it, CSIs "Advanced Backadjuster" actually creates a Forward adjusted contract. While that may be accurate on how one would roll in real time, it seems too dependent on when your data starts, as well as creates a current contract price that is not the actual current contract price to trade.

I'm prone to think the more traditional back-adjustment method is the way to go if one wants to generate orders in real time using Blox and incorporate continuous contract CSI data into spreadsheets for indicators etc...

If anyone has thoughts or insights, I'd appreciate...

Another aside:
The way I currently roll is to set specific dates for financial futures to roll prior to expiry (rates, equities, fx) while rolling "storage" futures using OI rollover (grains, metals, meats, energy and softs)

thoughts appreciated!