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On 9/12/97 futproemagick.net wrote:
> Does anyone know of any articles or books that explain how to build >
continuous >futures contracts?
The way I heard it, you should match the expiring contract's close with
the new contract's open. An example would be to take the August data and
match it to the format of the October data. When the August contract
expired, its last closing price might have been 6850. The October
contract may have opened the next day at 6950 for a gap of $1.00. You
would then need to adjust your August data up by 1.00 to make it match
the data of October contract. Can't say for certain if this is right.
Ken
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