50 lines
2.1 KiB
Plaintext
50 lines
2.1 KiB
Plaintext
283
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SElECTINg THE BEST FuTurES PrICE SErIES For SySTEM TESTINg
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For example, if a trader normally rolls a position over to a new contract approximately 20 days before
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the last trading day, N would be defined as 20. The scale of the continuous futures series is adjusted so
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the current price corresponds to a currently traded futures contract.
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Table 18.1 illustrates the construction of a continuous futures price for the soybean market. For
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simplicity, this example uses only two contract months, July and November; however, a continuous
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price could be formed using any number of traded contract months. For example, the continuous futures
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price could be constructed using the January, March, May, July, August, September, and November
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soybean contracts.
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table 18.1 Construction of a Continuous Futures price Using July and November Soybeans
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(cents/bushel)*
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Date Contract actual price
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Spread at rollover
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(Nearby Forward)
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Cumulative
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adjustment
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Factor
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Unadjusted
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Continuous Futures
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(Col. 3 + Col. 5)
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Continuous
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Futures price
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(Col. 6 – 772.5)
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6/27/12 Jul 12 1,471 1,471 698.5
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6/28/12 Jul 12 1,466 1,466 693.5
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6/29/12 Jul 12 1,512.75 1,512.75 740.25
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7/2/12 Nov 12 1,438 85 85 1,523 750.5
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7/3/12 Nov 12 1,474.75 85 1,559.75 787.25
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***
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10/30/12 Nov 12 1,533.75 85 1,618.75 846.25
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10/31/12 Nov 12 1,547 85 1,632 859.5
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11/1/12 Jul 13 1,474 86.25 171.25 1,645.25 872.75
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11/2/12 Jul 13 1,454 171.25 1,625.25 852.75
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***
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6/27/13 Jul 13 1,548.5 171.25 1,719.75 947.25
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6/28/13 Jul 13 1,564.5 171.25 1,735.75 963.25
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7/1/13 Nov 13 1,243.25 312.5 483.75 1,727 954.5
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7/2/13 Nov 13 1,242.5 483.75 1,726.25 953.75
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***
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10/30/13 Nov 13 1,287.5 483.75 1,771.25 998.75
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10/31/13 Nov 13 1,280.25 483.75 1,764 991.5
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11/1/13 Jul 14 1,224.5 45.5 529.25 1,753.75 981.25
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11/4/13 Jul 14 1,227.75 529.25 1,757 984.5
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***
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6/27/14 Jul 14 1,432 529.25 1,961.25 1,188.75
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6/30/14 Jul 14 1,400.5 529.25 1,929.75 1,157.25
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7/1/14 Nov 14 1,147.5 243.25 772.5 1,920 1,147.5
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7/2/14 Nov 14 1,141.5 772.5 1,914 1,141.5
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*Assumes rollover on last day of the month preceding the contract month. |