Recent content by srl_trade

if you look at the WTI flat price over time, you're looking at a time series of the rolling front month future. by creating a rolling second month future, a third, a fourth...etc, you can then look at the rolling spread between the 3rd and 4th month. Hope that helps.

Oops, my last post was meant for Cyrus. In reply to the origional. Ta.

Hi Kobza, When backtesting technicals in oil spreads, I use the rolling series to view how sections of the forward curve has behaved historically, rather than actual month by month spreads, which amortise down the curve over time. Essentially creating the rolling series on the 1st v 2nd...