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Continuous futures
The historical futures price we saw is nearest futures. But when we do analysis, the price of continuous futures is the best way to do.Where can I get the continuous futures price ? For example, the Crude Oil Light Sweet futures.If from Bloomberg, what's the ticker?Thanks a lots.
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- Martinghoul
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Continuous futures
In BBG just use <futures ticker>N, where N is the number of the continuous future, e.g. CL1 Comdty is the first rolling WTI Crude future...
Continuous futures
careful with this continuous futures...you are looking at a concatenation of time series of different instruments. on the roll date, the time series jumps. it is amazing how many people "analyze" futures charts with such jumps and assign meaning to it. for all i know, and i have looked at lots of futures time series from various angles, the continous series as it is on bloomberg is useless and depending on what you ultimately want to do, you need to seriously modify it.
Continuous futures
There are two typical methods and two typical directions. One method is an actual difference adjustment and the other is a proportional adjustment. One direction adjusts all historical data so current continuous price is the current front month price the other adjusts so the starting price in the historical series matches the original actual price. Look at this site under UA Charts sub heading Back-Adjusted Charts. Find the title "Accumulation Methods".http://www.csidata.com/custserv/onlineh ... eManual/In Bloomberg you can make some of these adjustments.