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

[G See]

I'm not sure if this link will work; if not, I'm trying to point you
to page 75 of "Market Risk Analysis: Pricing, Hedging and Trading
Financial Instruments"

http://books.google.com/books?id=3Xg4pO1PEpUC&pg=PR13&lpg=PR13&dq=carol+alexander+constant+maturity+future&source=bl&ots=ArlAbn7XPW&sig=1WGn8vNIVRy-FEYFhNyncd_WVU0&hl=en&sa=X&ei=O92iT46KEYPO9QTry7jeCA&ved=0CDkQ6AEwBA#v=onepage&q=constant%20maturity&f=false

Garrett

On Thu, May 3, 2012 at 2:28 PM, G See <gsee000 at gmail.com> wrote:
> Gussinsky,
>
> Since you are looking to test for cointegration, and you say you're
> looking at energy products (which have liquidity in more than just the
> front contract), I'd suggest creating a constant maturity future (CMF)
> that is the interpolated price between the 2 lead contracts (see Carol
> Alexander's stuff for more info).  CMFs don't require any back
> adjusting, they just require that you partially roll your position
> every day.
>
> HTH,
> Garrett
>
> On Thu, May 3, 2012 at 2:02 PM, BBands <bbands at gmail.com> wrote:
>> 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.
>>
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