continuous contract gap problem

[Man Hi]

I have a historical continuous contract price data. This data will have price gaps on each contract day. If I load this data into the adaptive builder for training, the output report profit and loss will include these gaps, causing the actual profit and loss to be distorted. I would like to ask Adaptive Builder if there is any solution to the gap problem of contract exchange?

[MikeBryant]

The usual and preferred solution is to use back-adjusted contracts. Many data providers have separate symbols for back-adjusted continuous contracts. The back-adjustment eliminates the gap associated with the contract change. If you can't do that, you can try to modify your strategies to avoid trading across contracts, such as by exiting earlier.

Mike Bryant

Adaptrade Software