oh no, more from the trading and algo expert. Dude, please stick to whatever you have been doing but spare us with your ridiculous attempt in trying to trade financial markets, especially from the systematic side. You are the perfect representation of everyone calling themselves "quants" these days. Ludicrous. Couple tidbits from your blog that made me particularly chuckle: * "Now imagine we wanted to be short. The curve gets more contangoed as we get closer to the front. The best contango is clearly in June". -> Go to the front? Contangoed? * "Create your stitched price series" -> the time series expert is talking here ;-) * Your explanation of Eurodollar rolls as well as VIX rolls could not be more wrong. No wonder you have to write blogs instead of ever having worked at a futures trading desk at an ibank (though you surely love to make it sound like you did)