I need some guidance on calculating ATR on futures. I am backtesting some longer term strategies and am using adjusted futures prices. I assume we roll on the day after open interest change and adjust the futures prices to reflect the roll.
For a contract like Crude oil which tends to be in contango this means that the further back you go, the higher the price adjustment you need to make. This starts to skew metrics like ATR (if for example we are looking at a 100 day ATR).
Anyone have any ideas on how to adjust the ATR to reflect this?
ATR on futures
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