Balsam.Backadjuster 1.1.2

Balsam Backadjuster

The Balsam.Backadjuster library works in conjunction with the Balsam.Backtester to link successive futures BarSeries into one continuous contract. Backadjusted contracts are commonly used to simplify testing on futures contracts while preserving the correct P&L as it rolls from one delivery to another.

Usage

The example below builds a continuous contract from 1-minute data files of individual contracts, rolling when daily volume in the next month exceeds the front month.

AsciiBarServer server = new AsciiBarServer(@"c:\data\intraday\minutebarfiles");
var symbols = server.GetSymbols("S "); //get all soybean symbols e.g. 'S N15' 'S X15'
var data = server.LoadSymbols(symbols);
Console.WriteLine($"{data.Count} individual contracts loaded.");

var rs = new RollSettings
{
    RollTrigger = RollTrigger.Volume,
    RollTime = new TimeSpan(13, 15, 0), //roll at 1:15PM CT
};

var ba = new BackAdjuster();
var continuous = ba.Build(data, rs);

Console.WriteLine($"{continuous.Count:N0} bars in {continuous.Symbol} from {continuous.FirstDate} to {continuous.LastDate}.");
continuous.Tail(10).Print();

Output

The continuous format is Date, Open, High, Low, Close, Volume, Open Interest, Unadjusted Close, and Delivery Date.

91 individual contracts loaded.
3,754,968 bars in @S from 1/3/2007 12:05:00 AM to 1/7/2025 1:20:00 PM.
@S @S Count: 10
1/7/2025 1:11:00 PM to 1/7/2025 1:20:00 PM
   0    1/7/2025 1:11:00 PM 997.25 997.50 997.00 997.25  602 0 997.25 Mar-25
   1    1/7/2025 1:12:00 PM 997.50 997.50 997.00 997.00  187 0 997.00 Mar-25
   2    1/7/2025 1:13:00 PM 997.00 997.00 996.00 996.75  588 0 996.75 Mar-25
   3    1/7/2025 1:14:00 PM 996.75 997.25 996.75 997.25  363 0 997.25 Mar-25
   4    1/7/2025 1:15:00 PM 997.25 997.50 997.00 997.50 1874 0 997.50 Mar-25
   5    1/7/2025 1:16:00 PM 997.50 997.75 997.00 997.75  663 0 997.75 Mar-25
   6    1/7/2025 1:17:00 PM 997.75 997.75 997.25 997.50  280 0 997.50 Mar-25
   7    1/7/2025 1:18:00 PM 997.75 997.75 997.25 997.25  220 0 997.25 Mar-25
   8    1/7/2025 1:19:00 PM 997.25 997.25 996.75 997.25  156 0 997.25 Mar-25
   9    1/7/2025 1:20:00 PM 997.00 997.50 997.00 997.25  280 0 997.25 Mar-25

//requires Balsam.AdvancedCharting library
var cvm = new ChartViewModel();
cvm.Plot(new PlotInstruction { Series = continuous }, new PlotInstruction { Series = continuous.UnadjustedClose, Color = Color.Blue });
new ChartWindow(cvm).ShowDialog();

In the chart below, note how the backadjusted series in green dips briefly into negative territory in its early history. The unadjusted close in blue shows the price that actually existed at that point in time, free from the effects of the cumulative roll adjustments. When working with backadjusted contracts, having the unadjusted close is critical for correct percentage calculations.

About

The Balsam.Backtester is a suite of tools designed for rapid prototyping and testing of systematic trading strategies. It can run simple event studies to quantify market "edges" all the way to full blown multi-currency, multi-timeframe, multi-strategy portfolio simulations. Check out the documentation here.

Balsam Research, LLC

Balsam Research is an independent consulting firm offering custom solutions for systematic investors. We have extensive experience automating investment processes and running real-time systematic investment programs including fully automated futures trading systems. Contact us to learn more.