|
PureBytes Links
Trading Reference Links
|
futpro@xxxxxxxxxx wrote:
>
> Does anyone know of any articles or books that explain how to build
> continuous futures contracts?
No, but the concept is very simple although it is laborious by hand.
The idea is this:
FOr back adjusted:
Start with the most current contract and go back.
On rollover day, instead of using the previous month's real price, you
take that day's net change and subtract from the last settle of the
current month to create your own price.
Continue back like that using net changes instead of actual prices to
come up with new prices that represent actual market action.
Some data services build them for you, like Tech Tools.
Hope this helps,
Eric
|