Continuation Data

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Nick
 
Posts: 36
Joined: Fri Oct 25, 2013 1:13 pm

Continuation Data

by Nick » Sat Oct 10, 2015 8:47 pm

Hi SA Team,

I'd like to look at spread continuation data. For example:

If I type in the Builder CL6-CL12 I'd want to see the 6th month over the 12th month. Currently, that would be J16-V16. The Analyser would then understand that 2 months ago the 6th and 12th contract were G16-Q16. So it would use that data, and a month ago it was H16-U16.

The result would actually be (perhaps) a set of bands, or an average that show the range that the 6th-12th month trades in over the course of a year. Perhaps the user selects 5,10,15 years etc in a similar way that the seasonal pattern is currently selected to see the past data. The user would be able to select which continuation spread they wish to see of course.

Is there anything like that currently in SA? The current continuation charts are the closest I think, but they only show a specific spread, not a particular static position on the forward curve through time.

Is this possible?

Thanks,

Nick

Roman
 
Posts: 142
Joined: Tue May 14, 2013 12:59 pm

Re: Continuation Data

by Roman » Mon Oct 12, 2015 6:26 am

Hi Nick

Currently no, but we had already feature request for this. I add your comment. I will implement this in futures.

https://www.seasonalgo.com/pm/seasonalgo/issues/476

Roman

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