[R-SIG-Finance] Generating a front month only Time Series for Futures Prices

[BBands]

Beware, this is a mine field! For example, one problem you will need
to deal with is that different commodities roll on different dates.
Then there is the nightmare quagmire of back adjusting, which is best
skipped altogether in my opinion. In short, there are many ways to get
hurt here. There is a large literature on the topic, starting with W.
D. Gann 80+ years ago. The writings of Bob Pelletier of CSI are a good
trail-head.

    John

On Thu, May 3, 2012 at 11:44 AM, gussinsky <sduve at hotmail.com> wrote:
> Hello All,
>
> I am struggeling to find a method which would enable me to generate a
> historical time series which only contains a commodities front month price,
> and after expiry automatically rolls over to the next month.
>
> I suspect one has to code the roll over rule from the respective exchange
> into a function, and supply the function with the respective expired
> historical data.
>
> My aim is to backtest those data for delta 1 strategies, but also for
> cointegration. One example would be heating oil futures vs. gasoil futures.