- CRB PowerSystem™ Quick Start Tutorial

Futures Tab

Create custom Nearby, Continuation and Most Active Nearby data series.

1. Conversion Type: Select Nearby, Continuation, Most Active Nearby or Contract

Conversion Type = Nearby

1. Expiration: Select Use Futures expiration dates (default) or Use Options expiration dates
2. Rollover Period: Select Last Day, days before expiration, Previous Week, Previous Month, day of expiration month or day of month before expiration
   • Last Day: Use contract through last trading day
   • days before expiration: Enter number of days
   • Previous Week: Use contract through last day of previous week
   • Previous Month: Use contract through last day of previous month
   • day of expiration month: Enter calendar day
   • day of month before expiration: Enter calendar day
3. Back-adjust data: Check to create Back-adjusted data. See note below.
4. Select series (Nearby 1 - Nearby 99)

Conversion Type = Continuation

1. Expiration: Select Use Futures expiration dates (default) or Use Options expiration dates
2. Rollover Period: Select Last Day, days before expiration, Previous Week, Previous Month, day of expiration month or day of month before expiration
   • Last Day: Use contract through last trading day
   • days before expiration: Enter number of days
   • Previous Week: Use contract through last day of previous week
   • Previous Month: Use contract through last day of previous month
   • day of expiration month: Enter calendar day
   • day of month before expiration: Enter calendar day
3. Back-adjust data: Check to create Back-adjusted data. See note below.
4. Select months (January - December)

Conversion Type = Most Active Nearby

1. Expiration: Select Use Futures expiration dates (default) or Use Options expiration dates
2. Rollover Period: Select Last Day, days before expiration, Previous Week, Previous Month, day of expiration month or day of month before expiration
   • Last Day: Use contract through last trading day
   • days before expiration: Enter number of days
   • Previous Week: Use contract through last day of previous week
   • Previous Month: Use contract through last day of previous month
   • day of expiration month: Enter calendar day
   • day of month before expiration: Enter calendar day
3. Back-adjust data: Check to create Back-adjusted data. See note below.
4. Most Active on Highest Volume: Check to begin new contract after 2 consecutive days of higher volume.
5. Most Active on Highest Open Interest: Check to begin new contract after 2 consecutive days of higher open interest.
   NOTE: Checking both will begin new contract after 2 consecutive days of higher volume plus open interest.

Conversion Type = Contract

1. Start contract: Enter year (yyyy) and select contract month (F-Z) from drop-down.
2. End contract: Enter year (yyyy) and select contract month (F-Z) from drop-down.
3. Include cash contracts: Check to convert Cash contracts (xx----Y).
4. Include NFVOI contracts: Check to convert Standard Nearby contracts (xxNFVOI).

2. Click Apply Changes to save

Back-adjusted data: This is a data series created by calculating a backward cumulative adjustment for the difference between the current Contract and previous Contract on the day specified in the Rollover Period. For example, if on the rollover day, the current Contract is 94.80 and the previous Contract is 95.00, then the Back-Adjusted Contract is the previous Contract - .20 + plus any cummulative adjustment prior to the rollover date (if any). The Back-Adjusted data series is especially useful when analyzing long-term studies. Note: Since the adjustment for the Back-Adjusted contract is cumulative, it is possible to produce negative (-) price values.

Back to Main Setup Tab | Proceed to Conversion Process