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Carl,
>maybe s.o. can help me with the algorithm or the formular that creates
>ratio-adjusted continous contracts?
P = R*(current contract price) + (1-R)*(next contract price)
First you need a list of rollover dates for each contract. The list at
http://www.pinnacledata.com/clc.html is a good one to use.
On each bar, you calculate how far along the current date is between
the two nearest rollover dates on each side. This is the R value, it
will be zero on a rollover date and near 100% just before the next
rollover date, and 50% in between.
For example, if the previous rollover date was September 15, and
the next one is December 15, then at the end of September we're
something like 16% along the way between the two dates. The ratio
adjustment R is therefore 0.16 against the current contract.
In this example the ratio adjusted price
P = 0.16*Pcurrent + (1-0.16)*Pnext
where Pcurrent is the price of the current-month contract, and Pnext is
the price of the following contract.
For me, it was more trouble to do this myself than to pay Pinnacle for
this data outright. The price is reasonable.
--
,|___ Alex Matulich -- alex@xxxxxxxxxxxxxx
// +__> Director of Research and Development
// \
// __) Unicorn Research Corporation -- http://unicorn.us.com
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