When a continuous-contract rolls, the vendor adds or subtracts the price difference between the old and new month across all prior history. Percentage changes and gap-free patterns are preserved; absolute historical prices are not.
The cost is that old prices become fictional. A long contango history back-adjusts downward, sometimes below zero, which breaks percentage-based indicators and any strategy that refers to a fixed price level.
Example: rolling from CLZ at $78 into CLF at $80 means every bar before the roll is raised by $2. After many years of rolls, a back-adjusted crude chart can show 2009 prices as negative even though oil never traded there.
Related: continuous-contract, roll-date, roll-yield, contango, backtesting