Creating continuous contract from individual contracts
Author: Kefirich
Creation Date: 2/1/2015 3:38 AM
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Kefirich

#1
Hello,

I have a bulk of three-month futures and want to see a single price history file. As far as I'm concerned there are two options:
- to glue all the consequence contracts together. In this case I will have a gap every three months. It might be not very convenient for backtesting.
- adjusted continious contract. It merges front expiration price data into a continuous price history. It mathematically removes all of the price roll gaps, however. Contracts can be adjusted, keeping the most recent data unchanged and adjusting all preceding data up or down an amount equal to the roll gaps.

I have looked through the site but haven't yet found any solutions. Is there anything ready-to-use or some guides how to do it?
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Eugene

#2
Hi Anton,

Unfortunately, I can't remember any canned solution or a walkthrough. You might want to try out from different adjustment methods to see which one suits:

Seykota on Continuous Contracts