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In case someone doesn't know what we are talking about, here is a brief explanation. From memory they (perpetual contracts) are defined as 30day, 60day, 90day, etc. I'll use a 30day in cotton for the example. It is suppose to represent a fictitious contract that's always 30days out in the future. So 30 days prior to Mar 1st the contract would exactly equal the NYH close on that day. Then 29 days prior, it would be calc as NYH*(29/30) + NYK*(1/30), 15 days prior it would be NYH*(15/30) + NYK*(15/30) and so forth.
BTW, CSI offers Gann, cash, continuous, actual and perpetual contracts. I think CSI has great data myself. I'm a user of their actual data and I roll it myself with a database program to create continuous contracts. The only reason that I do the calc myself is to be able to have spot-month continuous as well as a next month out continuous contract. This allows me to test and trade spreads. If you're only trading flat price then their continuous contract is perfect IMO and you call roll it any way that you can imagine.
Robin
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