Hello All, I am struggeling to find a method which would enable me to generate a historical time series which only contains a commodities front month price, and after expiry automatically rolls over to the next month.
I suspect one has to code the roll over rule from the respective exchange into a function, and supply the function with the respective expired historical data. My aim is to backtest those data for delta 1 strategies, but also for cointegration. One example would be heating oil futures vs. gasoil futures. Many thanks Gussinsky -- View this message in context: http://r.789695.n4.nabble.com/Generating-a-front-month-only-Time-Series-for-Futures-Prices-tp4606794.html Sent from the Rmetrics mailing list archive at Nabble.com. _______________________________________________ R-SIG-Finance@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-sig-finance -- Subscriber-posting only. If you want to post, subscribe first. -- Also note that this is not the r-help list where general R questions should go.
