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My "continuous-contract" file is simply an ASCII file which strings together
the front contracts without adjustment of any kind. Then I maintain a
secondary file called "rollover.txt" which contains an entry for each past
rollover date (the last trading day for the then-current front contract).
Each entry consists of the date and the difference in price shortly before
the close between the current front contract and the next one (the contract
which will become the front the next day). In any simulation, if position
is not flat on the rollover date, I simulate a rollover transaction.
Regards.
Carroll
----- Original Message -----
From: "Abhijit Dey" <omegalist@xxxxxxxxxx>
To: <omega-list@xxxxxxxxxx>
Sent: Sunday, May 16, 2004 8:22 PM
Subject: Roll your own continuous contract?
> Would you all collecting data by yourself & making continuous contracts
mind
> sharing how you are doing it? What methodology to follow? I am not too
picky
> about the perticular method. Just want to pick up one and stick to it
> consistently.. so your comments would be most helpful, along with what
> specific adjustments to make to old data & if the commonly accepted
rollover
> date is the one to use.
>
> TIA,
>
> Abhijit
>
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