David-Michael Linckeless info
|visits||member for||2 years, 4 months|
|seen||Oct 12 '11 at 18:04|
Is there a standard method for getting a continuous time series from futures data?
If the intention is to assess or construct actual trading strategies a rollover on the day of expiry is not advisable. With many commodity futures contract series the first notice day precedes expiration by weeks. After first notice volume will typically drop off dramatically as the only holders left are commercials intending to take or perform delivery of the physical underlying.