Futures - continuous contracts

identify the liquid contract based on open interest and to link the contracts together so that the old contract’s close matches the new contract’s close on the rollover date, keeping any actual gaps on that day and back adjusting the entire time series all the way from the start of the data.

Other methods of adjusting prices can involve using ratios of two contracts, forward adjusting and different methods of using volume and open interest to find the most liquid issue. These are details which are not too important for the long-term strategy but worth experimenting with if you want to look at the finer details. For a comprehensive look at rollover methods, see Jack Schwager’s 1995 book Schwager on Futures: Technical Analysis.

Clenow, Andreas F. (2012-11-26). Following the Trend: Diversified Managed Futures Trading (Wiley Trading) (Kindle Locations 924-927). Wiley. Kindle Edition.

The issue does not name any files, tests, or entry points. Start by locating the repository's futures data and time-series backtesting workflow, then determine where contract liquidity, rollover dates, and historical price adjustment belong. Done means continuous contracts are linked using open interest and the old contract is back-adjusted from the data start while preserving rollover-day gaps.

Written by the indexing model from the issue text.