Abstract
The main task of this paper is to present research results of specifying and adjusting historical data of futures market. We review and discuss the following methods for making continuous futures data series: Back/forward-adjusted, Proportionally adjusted, Gann, Perpetual, and Nth Nearest contract. The paper presents a comparison of historical data adjustment methods. The contribution of this research is to analyze graphically the methods and to find the least distortive techniques for different time frames and different trading strategies. We implemented this research and gave examples using historical data of the North American Futures market. The research results presented in this paper can be applied upfront for making back-testing of trading strategies in futures market based on technical analysis.