Separate Adjusted Futures Signals from Real Contract Execution

Summary

The document explains a futures workflow that separates continuous, adjusted data used to generate signals from actual contract prices used for trading. Adjusted front-month continuous prices can make historical trends and indicators more consistent across rollovers. When a signal fires, the strategy should place orders and manage stops using prices from the active contract, rather than treating the adjusted series as executable prices.

It also applies this distinction to backtesting: generate signals from adjusted data, but simulate fills using the corresponding unadjusted prices of the contract traded at that time. The document argues this better represents achievable performance, but provides no test results or detailed handling of rolls, slippage, commissions, or contract changes. It raises a question about whether VeighNa fills orders at adjusted prices; the supplied text does not establish the platform’s actual behavior, so that must be checked in the data and backtest setup.

Key ideas

• Adjusted continuous futures data can support indicators and signals across contract rollovers.
• Orders should be priced from the actual active contract when a signal fires.
• Stops and targets should use prices from the traded contract.
• A backtest should distinguish the data used for signals from the prices used to simulate fills.
• The text raises, but does not resolve, how VeighNa handles adjusted prices in its backtester.

Tags

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