CoachA continuous futures series follows the contract a position would hold under a roll rule: the nearby contract until a roll date some days before its last trading day, then the next contract. Back-adjustment adds, to every price before a roll, the gap between the new and the old contract on the roll date, so that the series has no jump at the roll and its latest prices are real. Ratio adjustment multiplies every earlier price by the ratio of the new contract’s price to the old one’s on the roll date instead.
