Thoughts on constructing continuous futures contracts? Hi all, How do you construct continuous futures contracts for backtest futures trading systems? There are two components here: (1) Deciding when to roll out the contract and roll into another contract, i.e. jumping from one curve to another curve. (2) Deciding how to adjust for that roll-jump in backtest. My question is with respect to (1). Lets say you have data with lots of years of all kinds of contracts. Some contracts have a life time of 2 yrs and some contracts have a life time of multiple years. One obvious way of using these curves is to stay in front month contract, e.g. rolling every month for crude, etc. But thinking twice made me puzzled: 1. The underlying contracts are actually different product, for some ags futures, the underlying contracts refer to very different crops. 2. For a futures contract that has multiple years of data, jumping each month loses a lot of useful information and potentially trading opportunities. 3. In fact, there is no fixed rule about how to jump among the curves and how should the curves be stiched together. You can jump among the curves almost "arbitrarily" as long as the liquidity permits. Therefore, the problem is about how to organize and utilize these curves effectively... and how to design rules about when to jump and which next curve to jump on to. Any comments? Your thoughts are highly appreciated!