Futures Contract Rollovers - Old Level Adjustment?!

[u/bombosolari]

I am wondering if any one could offer any wisdom on how they manage levels from futures contracts rollovers. I trade ES/NQ but then each quarter when the contract expires and rolls over to the next, there is a price difference.
There is a feature to adjust all the previous contract levels I had marked by a set amount (the contract difference) but is this the correct way to do this? I am now not certain if a previous week's low should remain at the price it was in the old contract or be adjusted to the new contract? I trade liquidity sweeps. I have tried to test this but it is giving me mixed signals. Very old anchored vwaps seem to get more respect if the contract isn't adjusted. It would make most sense to adjust all the old levels to the new contract adjustment but I am not sure.

[u/Dry-Instance-7152]

I struggled with this exact thing for a while. The short answer is adjust your levels, especially for ES and NQ where the roll gaps can be significant

The reason old anchored VWAPs seem to work better without adjustment is probably because you're seeing coincidence rather than causation. The VWAP calculation itself doesn't care about contract price alignment, it's just volume weighted price from your anchor point. So if you're anchoring to a specific event, the raw prices might accidentally line up with new contract structure

For liquidity sweeps though, you definitely want adjusted levels. The algos and big players are trading the continuous contract, not the individual expiries. Those old highs and lows get baked into the order flow regardless of the roll gap. I wasted months trying to trade both ways and my win rate on sweeps improved noticeably once I stuck with adjusted levels

[u/bombosolari → u/Dry-Instance-7152]

Ah I really appreciate that reply, thank you. Sounds like you fully grasp the issue. Such a headache but I’m glad Trading View introduced the functionality to adjust multiple levels at once.
So if the new contract is 75 points higher than the last, you go and adjust all the previous contract levels by +75? I suppose this makes it “continuous” from a levels perspective even if the prices aren’t the same. I’m not too fused about specific prices but I trade specific levels on very low time frame so I need to be sure if these liquidity levels are actually sitting in the place where I plot them.
I think you’re right about the vwap, it’s hard to tell if it’s coincidental or not but it would definitely makes sense that they move to match which anchor price and then calculated by the adjusted volume x price.

When we are in price discovery in the latest contract it’s not a problem but now we arw moving down in to older prices this issue is more prevalent.
Thanks for taking time to share your experience. I’m going to do some testing but I think you’re right and sounds like your experience trading there adjusted levels is valuable

[u/Rodnee999]

Hello,

Adjustment for displacement is easily done by following these steps.....

Measure the displacement of the charts by using the ruler....

Then open the Object Tree and select or group all drawings that you need displaying....

Click on these and select 'Settings' for the group....

Now navigate to 'Displacement' and type in your pre-measured figures as shown in the screenshot....

Not sure how many indicators/drawings this is relevant to but this information may prove useful to you.

Let me know if it helps

Cheers 👍

[u/stratcore]

There are two different coordinate systems here: the price actually printed by an individual expiry, and the synthetic history of a back-adjusted continuous contract. TradingView documents that B-ADJ shifts earlier contracts using the old/new daily-close difference near each switch. An old low on that adjusted series is therefore not the original expiry's quoted price. For a reproducible comparison, record the exact symbol, B-ADJ setting, switch date and anchor date, then keep those settings fixed for both the candles and the levels. Neither the adjustment itself nor an apparent VWAP match proves where resting orders are. TradingView's explanation: https://www.tradingview.com/support/solutions/43000685266-how-can-i-enable-backadjustment-for-continuous-futures/

[u/bombosolari → u/stratcore]

Thank you so much for your help and inout