A continuation chart is a chart with an artificial time series, built from the daily time series for active and expired contracts. A continuation chart takes portions of each contract going back in time, and displays those portions as one chart (time series).
A continuation chart relies on both current and historical data (a history of expired contracts). Therefore, if a continuation chart is built for a symbol with no historical data, the chart will look exactly like the front month.
Displaying a Continuation Chart
enter the symbol root (W, SP, etc.), or the symbol root prefaced with a percent sign (%W, %SP, etc.) to display a simple continuation chart (one where the contracts automatically roll on their expiration date)
-or-
enter the symbol root prefaced with a percent sign, plus parameters, for a custom continuation chart. For example: %SP3!;2M;B
Continuation Chart Syntax
A string beginning with the % character identifies a continuation chart. The syntax contains up to four segments, each separated by a semi-colon (;). If parameters for a certain segment are not set, the values will not be used to build the chart.
First segment %CL3! or %CLZ!
This segment contain the symbol's root, preceded by the percent sign (%). This identifies the chart as a continuation chart. The syntax also defines the number of contracts forward to track, or the fixed contract month. The front month is always defined as 1!.
Using the example %CL3!, if the front month for the contract is April, the 3! indicates the contract being tracked as June. If a fixed month was chosen, the month's designation appears. Using the example %CLZ!, December will be used to construct the chart from each year.
This segment identifies how the roll date for the contract is calculated. The roll date may either be calculated by subtracting a number of days from the contract's (E)xpiration date, or from the contract's (M)onth of expiration. The syntax also defines whether or not holidays (H) that fall within the time series will be included in the roll date calculation.
Using the example 7EH, the roll date is calculated by subtracting 7 days from the contract's (E)xpiration date. Any (H)olidays that fall within those seven days will be included in the roll date calculation.
A segment of 4M would calculate the roll date by subtracting 4 days from the contract's (M)onth of Expiration. The absence of the 'H' indicates holidays that fall within those 4 days are NOT included in the roll date calculation.
This segment identifies whether prices will be back adjusted at roll date. If a B is present in the syntax, price data will be back adjusted as follows:
On the last day of trading when the contract will roll, calculate the difference between the close on the current contract and the close on the next contract out. This difference is then applied to all prices going back in time on the chart. As a result, any difference you see in contract prices at roll date is the real difference in price, and not the price difference due to the cost of money.
The absence of this segment means that prices will not be back adjusted at roll date.
Fourth segment FHJMUVZIN
The fourth segment identifies the months to include "IN" the historical data displayed on the chart. Certain contracts, such as copper, allow trading on more months than activity may warrant. The result can show a month with very low activity as compared to others. When these months display in a chart, it can result in a distortion of the price activity that a trader may want to focus on.
To specify months to include in the historical data, enter the month designations, followed by IN. The example FHJMUVZIN says to include only January, March, April, June, September, October and December.