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SElECTINg THE BEST FuTurES PrICE SErIES For SySTEM TESTINg
For example, if a trader normally rolls a position over to a new contract approximately 20 days before 
the last trading day, N would be defined as 20. The scale of the continuous futures series is adjusted so 
the current price corresponds to a currently traded futures contract.
Table 18.1 illustrates the construction of a continuous futures price for the soybean market. For 
simplicity, this example uses only two contract months, July and November; however, a continuous 
price could be formed using any number of traded contract months. For example, the continuous futures 
price could be constructed using the January, March, May, July, August, September, and November 
soybean contracts.
table 18.1   Construction of a Continuous Futures price Using July and November Soybeans  
(cents/bushel)*
Date Contract actual price
Spread at rollover 
(Nearby Forward)
Cumulative 
adjustment 
Factor
Unadjusted 
Continuous Futures 
(Col. 3 + Col. 5)
Continuous 
Futures price 
(Col. 6 – 772.5)
6/27/12 Jul ­12 1,471 1,471 698.5
6/28/12 Jul ­12 1,466 1,466 693.5
6/29/12 Jul ­12 1,512.75 1,512.75 740.25
7/2/12 Nov ­12 1,438 85 85 1,523 750.5
7/3/12 Nov ­12 1,474.75 85 1,559.75 787.25
***
10/30/12 Nov ­12 1,533.75 85 1,618.75 846.25
10/31/12 Nov ­12 1,547 85 1,632 859.5
11/1/12 Jul ­13 1,474 86.25 171.25 1,645.25 872.75
11/2/12 Jul ­13 1,454 171.25 1,625.25 852.75
***
6/27/13 Jul ­13 1,548.5 171.25 1,719.75 947.25
6/28/13 Jul ­13 1,564.5 171.25 1,735.75 963.25
7/1/13 Nov ­13 1,243.25 312.5 483.75 1,727 954.5
7/2/13 Nov ­13 1,242.5 483.75 1,726.25 953.75
***
10/30/13 Nov ­13 1,287.5 483.75 1,771.25 998.75
10/31/13 Nov ­13 1,280.25 483.75 1,764 991.5
11/1/13 Jul ­14 1,224.5 45.5 529.25 1,753.75 981.25
11/4/13 Jul ­14 1,227.75 529.25 1,757 984.5
***
6/27/14 Jul ­14 1,432 529.25 1,961.25 1,188.75
6/30/14 Jul ­14 1,400.5 529.25 1,929.75 1,157.25
7/1/14 Nov ­14 1,147.5 243.25 772.5 1,920 1,147.5
7/2/14 Nov ­14 1,141.5 772.5 1,914 1,141.5
*Assumes rollover on last day of the month preceding the contract month.