Chinese Futures Continuous Contracts: Adjustment and Long-Horizon Backtests

Summary

This brief forum exchange discusses how a Chinese futures platform constructs its dominant-contract continuous series and whether it offers a smoothed, adjusted series comparable to another vendor’s data. A respondent says the platform currently lacks that kind of smoothed continuous series and recommends a different vendor’s continuous contract for long-horizon backtests. Another participant notes that an adjustment method can be specified when retrieving local data through the platform’s data feed.

The exchange highlights that continuous-contract construction and adjustment choices matter when stitching contracts across expiries, especially over long periods. It does not define the adjustment methods, explain roll handling, or compare vendors empirically. It therefore offers practical guidance but not enough detail to determine which series is appropriate for a particular strategy; researchers should verify the data series’ construction and adjustment behavior for their use case.

Key ideas

• The exchange says the platform does not offer a smoothed continuous series comparable to the referenced alternative.
• A participant recommends another vendor’s continuous contract for long-horizon backtests.
• The data retrieval interface reportedly allows an adjustment method to be specified.
• The thread gives no details about roll rules or an empirical comparison of data vendors.

Tags

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.