Why does a simply study on a futures contract produce incorrect answers?
Consider the following query SHOW CL: Close of CL avg: 3 day average of CL WHEN Date is from 2 days before 7/24/2001 to 7/24/2001 Date Day CL avg 07/20/2001 Fri 25.59 25.15 07/23/2001 Mon 26.12 25.70 07/24/2001 Tue 26.31 26.12 ** Avg 26.01 ** 25.66 Based on the closing prices, the 3 day average on 7/24/2001 should be 26.01, but “avg” on 7/24/2001 shows 26.12. The discrepancy in the results is based on XMIM’s automatic adjustment of the price gap that occurs between contracts on the rollover day. When studies are performed on a continuous-series futures contract, such as the default futures symbol, and the period of time covered in the calculation spans a rollover between an expiring contract and the next contract, then the price gap that occurs between contracts on the rollover day is arithmetically removed from the series so that the price discontinuity doesn’t interfere with the results. In order to use the non-adjusted prices, use the key word “front”. Going back to our example: SHO
Consider the following query SHOW CL: Close of CL avg: 3 day average of CL WHEN Date is from 2 days before 7/24/2001 to 7/24/2001 Date Day CL avg 07/20/2001 Fri 25.59 25.15 07/23/2001 Mon 26.12 25.70 07/24/2001 Tue 26.31 26.12 ** Avg 26.01 ** 25.66 Based on the closing prices, the 3 day average on 7/24/2001 should be 26.01, but avg on 7/24/2001 shows 26.12. The discrepancy in the results is based on XMIMs automatic adjustment of the price gap that occurs between contracts on the rollover day. When studies are performed on a continuous-series futures contract, such as the default futures symbol, and the period of time covered in the calculation spans a rollover between an expiring contract and the next contract, then the price gap that occurs between contracts on the rollover day is arithmetically removed from the series so that the price discontinuity doesn’t interfere with the results. In order to use the non-adjusted prices, use the key word front. Going back to our example: SHOW CL:
