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

[gussinsky]

Hey Garrett,

I think the ContinousSeriesCreator, is probably exactly what I am looking
for. Thanks, and how did you find this function?? I will have to find out
what the impact is on the location spreads, caused by different roll dates.
But I think Gasoil and Heating Oil are expiring similarly.

The Trade Blox adjusted series, are problaby very useful for long/short
Backtesting, so thanks for this as well. 

I was trying to find cointegrated pairs of future contracts, but therefore I
need to make these series comparable. Especially in Energy, there are
various relationships around, which are worth investigating.

HO vs. Gasoil, so location spread
Power vs. Gas, Spark Spread
Power vs. Coal, Dark Spread
Gas on one location, vs Gas on another location
WTI Crude vs. Brent
etc.

Although I must admit, many of these spreads are very commercially driven,
so its usually the smart money moving these spreads.

That's what I am trying to investigate a bit further.

Thanks Garrett!


Best


Sven



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