Nearest Future

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This is a single, continuous series built from whichever contract was or is in a specified sequence from delivery. The contracts from which the program selects are based upon user input with respect to the rollover date.

The user options for Nth Nearest Future contracts are shown here:

You'll need to select the appropriate response for each of the following:

Roll Trigger

This input determines when UA switches from one month to the next in creating continuous series. You may choose between using volume and/or open interest or a specific date as explained below. Additional rolling criteria will be set by the "Roll Timing" option, below.

·	Open Interest - Click here to exclude the nearest contract when heaviest open interest shifts to the subsequent delivery month.

·	Volume - Click here to exclude the nearest contract when heaviest volume shifts to the subsequent delivery month.

·	Open Interest and Volume - Click here to exclude the nearest contract when BOTH heaviest open interest AND heaviest volume simultaneously shift to the subsequent delivery month.

·	Open Interest or Volume - Click here to exclude the nearest contract when EITHER heaviest open interest OR heaviest volume shifts to the subsequent delivery month.

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Date - This option lets your computed contract roll from one contract to the next on a specific day of the month. Click here and type the day of the month you wish rollforward to occur. Enter the roll-forward date (1 to 31) within the rollover month. Use 31 to roll on the last trading day. This prompt coordinates with another prompt (at right).

Start/End of Month - The default rolling criterion is for the day of the month (above) to be calibrated to the beginning of the month. An alternate rolling option is to select End of Month here, and enter the number of days prior to the end of the month to change contracts in the box at left. When "End of Month" is selected, enter the number of calendar days before the month is over that you want to roll out of a contract (1 to 28). Think of this as an inverted calendar. Enter 1 for the last day of the month, 2 for the next-to-last day, etc. This option is useful for traders who want to avoid risking delivery of a commodity by rolling out of a contract on the first notice day, which is often calibrated relative to the end of the month.

·	Months Prior - In the box to the left of this prompt, enter the number of months prior to the contract's expiration month when rolling should occur. Enter 0 for rolling within the expiration month, 1 for one month prior, etc.

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Roll by Days Before Expiration Date - Click here to keep the lead contract in your nearest future series until a specific date before expiration of the appropriate contract. To calibrate an early roll date relative to the expiration date, enter the number of days before expiration for the rollover to occur. Enter 0 to roll on the expiration date. The "expiration date" used here is based on the typical expiration date for the specific commodity, and may not be accurate at all times.

Roll Timing

This refers to when the near contract is dropped and replaced by the next in various continuous, computed contracts. Your choices are:

·	Anticipate - With this choice, the last close of the expiring contract is posted on the day before your specified rollforward date. The first opening price of the new lead contract appears in the series on the specified rollforward date.

·	Aligned with Price Data - With this choice, the last close of the expiring contract is posted on the day of the specified rollforward. The first open of the new contract is posted the day after the specified rollforward date.

·	When Known - With this choice, the final close of the expiring contract appears the day after the specified rollforward date and the first open of the new contract appears two days after the specified rollforward.

How Many Contracts Out

When creating an Nth Nearest Futures Contract, this entry determines the value of N. For example, to create a first-nearest future contract (that is always showing the contract closest to delivery, within your rollover constraints) select 1. To always view the second-nearest contract, select 2, and so on.

The default value is 2, but you may change it as desired, not exceeding nine contracts forward. The value you select must not represent more than the maximum number of contracts trading at any given time for the commodity being studied.

Confirmation Signals

This feature is useful when rolling is based on changes in volume and/or open interest for Nth Nearest and Back-Adjusted files. It lets you avoid an early change based on arbitrary fluctuations. Your choices are:

·	Roll on First Trigger - switch contracts the first time the specified action occurs. This is the appropriate choice when using the standard back adjuster, which views the market backward in time to decide which contracts to report.

·	Roll on Second Consecutive Trigger - switch contract the second time IN A ROW the specified action occurs,

·	Roll on Third Consecutive Trigger - same as above, on third time.

Roll on Fourth Consecutive Trigger - same as above, on fourth time.

Generate Forward

"Generate Forward" refers to the perspective Unfair Advantage takes in creating continuous files that roll on volume, open interest, or volume and open interest. This type of file is compiled using the earliest data first and then moving forward to later data. Forward-generated data sets do not use information in their creation that was not available on the date in question, and therefore, may do a better job of avoiding bias.

Be sure to select your detrend preferences, date range, post processing and export options before clicking OK to finish your selection.