Continuous Futures Back-Adjustment Calculator
Align one old-contract roll observation to one entered new-contract roll price using backward difference or backward ratio arithmetic, compare both methods, and inspect five historical-price rows plus five roll-gap rows.
Enter one documented futures roll boundary
Use comparable old- and new-contract observations from the same timestamp and price field. The historical price is one earlier illustration, not a series upload.
Entered back-adjustment result
Continuous Futures Back Adjustment 2.0.0.
One-roll calculation audit
Trace the roll gap, selected coefficient, adjusted values and continuity identity.
On smaller screens, scroll each table horizontally; the page itself remains contained.
| Step | Arithmetic | Result |
|---|
Difference and ratio method comparison
Both methods align the old roll observation when ratio inputs are positive, but they transform earlier levels differently.
| Method | Coefficient | Adjusted historical price | Historical change | Adjusted old at roll | Continuity check | Row type |
|---|
Five historical-price scenario rows
Old and new roll prices stay fixed while the entered historical illustration moves.
| Scenario | Historical price | Difference adjusted | Difference change | Ratio factor | Ratio adjusted | Ratio change | Selected adjusted | Row type |
|---|
Five new-roll price scenario rows
Old-contract and historical prices stay fixed while the entered new-contract roll observation moves.
| Scenario | New roll price | Raw gap | Raw gap % | Difference adjusted | Ratio factor | Ratio adjusted | Selected adjusted | Continuity | Row type |
|---|
These rows are deterministic analytical-price illustrations, not market forecasts, complete continuous series, returns, trading P/L or executable contracts.
How the Continuous Futures Back-Adjustment Calculator works
Backward difference price = historical price + raw roll gap
Backward ratio factor = new-contract roll price ÷ old-contract roll price
Backward ratio price = historical price × backward ratio factor
Both formulas force the entered old-contract roll observation to equal the entered new-contract roll price after adjustment. That zero continuity difference proves only the one-roll arithmetic, not the chosen roll date, observations or complete-series construction.
Audited entered-data example
Choose backward difference and enter an old-contract roll price of 100, a new-contract roll price of 105, one earlier historical price of 80, a historical scenario step of 10 and a new-roll scenario step of 2.
The raw roll gap and difference coefficient are +5, so the selected historical illustration becomes +85 and the adjusted old roll observation becomes 105. The comparison row shows that backward ratio uses a 1.05× factor and changes the same historical illustration to +84. Both continuity checks are zero.
Difference and ratio preserve different relationships
| Method | Operation on prior history | Preserves within adjusted history | Can distort | Input boundary here |
|---|---|---|---|---|
| Backward difference | Add new minus old | Absolute price differences | Historical percentage changes | Any finite entered price |
| Backward ratio | Multiply by new divided by old | Percentage changes | Absolute price differences | Positive old, new and historical prices |
Method discipline: a vendor may use a specific roll rule and adjustment convention. Match that documented methodology before comparing a chart, study or backtest.
One boundary is not a continuous series
A production series can contain many contract switches. Backward adjustment commonly applies later roll coefficients cumulatively to earlier history. This page does not accept a chain or order multiple rolls, so its one-boundary result must not be extrapolated into a complete data set.
Changing a historical chart level is also different from rolling an actual position. Executed roll P/L depends on held contracts, quantities, fills, multipliers, costs and timing, none of which this page models.
Assumptions and limits
- Old and new roll observations must use comparable timestamps and price fields; the calculator cannot verify them.
- Difference mode accepts finite zero and negative levels and may produce a negative adjusted historical price.
- Ratio mode requires positive old, new and historical prices, including every generated sensitivity row.
- The five historical rows and five new-roll rows vary one entered level at a time; they are not forecasts or probability bands.
- No roll date, contract order, expiry, volume, open interest, OHLC field or vendor convention is inferred.
- Cumulative offsets, forward adjustment, return chaining, backtest recomputation and actual roll P/L are excluded.
A careful continuous-futures adjustment workflow
- Define the roll rule before selecting contract observations.
- Record the exact old and new contract codes.
- Capture both observations from the same timestamp and price field.
- Choose difference or ratio adjustment for the downstream analytical job.
- Reconcile the selected coefficient and zero continuity check.
- For a complete series, order every roll and apply coefficients cumulatively under a documented method.
- Keep adjusted chart levels separate from executable-contract returns and actual roll P/L.
Frequently asked questions
- It changes earlier contract history so an old-contract observation aligns with a new-contract price at a documented roll boundary. This page illustrates one boundary only.
- Add new-contract roll price minus old-contract roll price to the entered historical price and old roll observation.
- Multiply the entered historical price and old roll observation by new-contract price divided by old-contract price.
- A zero denominator is undefined, while zero or negative levels make the simple multiplicative interpretation unsafe for this bounded version.
- They hold both entered roll prices fixed while moving the historical illustration by minus two, minus one, zero, plus one and plus two entered scenario steps.
- They hold the old-contract and historical prices fixed while moving the new-contract roll observation across five entered scenario steps.
- No. Both can align the entered old roll observation to the new price, but difference preserves absolute changes while ratio preserves percentage changes within adjusted history.
- No. It illustrates one entered historical price across one roll boundary and does not retrieve or transform OHLC, volume or open-interest data.
- No. It is the entered new-contract price minus old-contract price. Executed roll P/L depends on actual positions, fills, costs and contract behavior.
- No. Expiry, volume, open-interest, fixed-date and vendor-specific roll rules must be selected and documented outside this page.
Sources and methodology
- TradingView — Continuous Futures Back Adjustment — documents an additive coefficient calculated from new- and old-contract closes near a switch.
- CME Group — Demystifying Time-Series Momentum Strategies — discusses backward ratio and difference adjustment and their different effects on historical returns.
- TradingView — Continuous Futures Contracts — describes continuous contracts as artificial linked series and identifies rollover and trading limitations.
- TradingView — Continuous Contract Switching Rules — demonstrates that a vendor’s switching date can be based on product-specific volume behavior rather than expiry alone.
The operational contract is Continuous Futures Back Adjustment version 2.0.0. Independent fixtures cover both methods, zero and negative difference-mode prices, positive-ratio boundaries, roll-gap and preservation identities, two five-row sensitivity tables, CSV structure and field-specific invalid inputs.
Continue the futures planning workflow
Compare broker products separately
The brokers below primarily offer leveraged forex or CFD products, not the continuous exchange-futures data construction on this page. Verify symbol, contract basis, expiry, financing, price source and execution terms independently.
Risk warning and affiliate disclosure: Futures and leveraged derivatives are high risk, and losses can exceed the initial funds deposited. Links above are affiliate links; we may earn a commission at no extra cost to you. This calculator is educational and does not provide personalized advice.