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

[G See]

repost for the archives:

I agree that when possible, you should avoid building continuous
series.  Nonetheless, that's what the OP asked for.

Sometimes, there is value in analyzing a long history of data (for
example when analyzing risk) and in such cases, a constant maturity
future makes sense.

Also, if your time-frame is short and you're careful about how you
adjust and how you use the adjusted data, I think it can be useful.

The OP wanted to combine and not adjust, which, IMO is more dangerous
than combining and adjusting.  If you're going to combine the price
series of 2 different expiration months, then you have to adjust for
the roll.  Otherwise, you may see a trend or mean-reversion where
there isn't one, or worse, the opposite is actually occurring.

Your point about this being a difficult thing to generalize (e.g.
different grades for different expirations, or first notice day being
different than expiration, etc.) is valid.

Regards,
Garrett