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ES Pivots: Continuous vs Back-adjusted


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ES Pivots: Continuous vs Back-adjusted

 
frostylane
Chicago, IL
 
Posts: 9 since Apr 2023
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For the e-mini S&P500, I track a rolling Pivot Moving Average composed of a 14-day, 30-day, and 50-day pivot as defined by Mark Fisher in The Logical Trader.

I am confused when the contract rolls over; whether I should leave the data as continuous or if I should back adjust the data?

*This link is an example of continuous data for the ES Pivot Moving Average.


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frostylane
Chicago, IL
 
Posts: 9 since Apr 2023
Thanks Given: 9
Thanks Received: 0

For comparison, this link is an example of the back-adjusted data (+44pts) for the ES Pivot Moving Average.


 



Last Updated on June 27, 2023


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