Glossary · B
What is Back-adjustment?
A method of building a continuous futures chart by shifting past prices by the gap at each roll, so the series has no artificial jumps. It changes historical price levels and does not correct volume or delta.
In context
Some platforms fix this with back-adjustment: shifting all older prices by the gap so the joins are smooth. That fixes the price line, but old prices are then no longer the prices that actually traded, and back-adjustment does not fix volume or delta: each day's volume belonged to whichever contract was active that day.
Learn it in depth
- Chapter 1: The Gold Futures Contract and the Trading Day
- Chapter 12: Honest Research: Testing Ideas Without Fooling Yourself
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