Most quantitative investment strategies focus on the changing prices of a commodity or equity over time. Derivatives, however, make this more complicated. How can I apply quantitative strategies to something that is not a single product with a single price, but rather separate products for each month (each with their own price and volatility)?
For example, how should I know whether I should be buying an orange futures contract for July 2011 rather than July 2012? Additionally, how could I apply formulas such as a moving average to all of these different prices?
Thank you for bearing with me to answer such a fundamental question, I feel like most quantitative strategies I have read about are in an equity context.