Should one calculate ATR based on the back-adjusted series?
Posted: Thu Mar 01, 2012 9:23 am
One should calculate ATR based on the back-adjusted time series of futures prices, as opposed to the normal "stitched" time series, right?
It certainly seems that way, since using the "stitched" series would introduce artificial volatility into the ATR. It would be nice if someone could confirm this.
It certainly seems that way, since using the "stitched" series would introduce artificial volatility into the ATR. It would be nice if someone could confirm this.