Back-adjusting drawings for futures roll in continuous contracts

2023年12月8日

How to adjust existing drawings to account for the price adjustment (false gap) between futures contracts during the roll when one contract is expiring and trade volume is shifting into the new front-month contract. Drawings do not adjust by using the "back-adjust" feature, which can create an issue since all of your drawings will be displaced and incorrectly located. This shows how to adjust them to account for that displacement. This is especially an issue when the price difference is large between the expiring contract and the new front-month contract such as in this video example (e.g. +51 points between ESZ2023 (Dec 2023) and ESH2024 (March 2024))