My EOD data provider, Maddock Futures, supplies his own progtam to construct continuous futures contracts. The historical data that comes with the Futures package contains all the individual futures contracts from 1979 forward. The Futures package covers about 130 different futures contracts, all the highly liquid US, European, Asian, and Austrailian markets.

The program that comes with the package takes the data from the last two or three months of each contract, the actively traded months, and rolls them into the continuous contract. The user has discresion over roll dates, and the manner in which the new data is introduced into the continuous contract. The two methods are: Spliced and Back Adjusted.

I have two questions:

1. Is this the same methodoligy that other EOD providers are using?

2. Is there a preference or an advantage to one type of contract over the other, Spliced or Back Adjusted?

In comment, I really like this data, but I have nothing to compare it to. My grand dad liked his Model T; it was far superior to his horse!

Thanks, Dan

Yes this is the same as Norgate's Futures Data.

Typically traders use a spliced contract to look at the overall historical price levels without including the effects of rollover from one contract to another. The spliced method is good to ascertain where the contract is today versus previous years.

Back-adjusted is used by system testers to remove the effect of rollover gaps that occur when there is a difference in price from one delivery to another.

There's a comprehensive summary of continuous contracts here:
http://www.premiumdata.net/support/futurescontinuous.php

Let me know if you have any questions.