The Series tab is the first tab in
the Data Builder. MIMIC represents a series in the Worksheet with the
Series 
icon.
The Series tab in the Data Builder includes the following options:
The Custom Contract/Edit Rollover options allow users to determine the futures contract used for creating a custom continuation futures series. The default selection for futures in MIMIC is usually the parent contract (e.g. “CL” NYMEX Light, Sweet Crude Oil) which always returns the CL contract closest to expiration, changing or rolling over to the next contract on the day the closest contract expires.
The Adjust Contract option allows users to change from the contract closest to expiration to one relatively further out. For example, “prompt + 1” looks at the contract one further away from expiration than the prompt. The Custom Contract option allows users to make complex adjustments to the handling of the change-over between contracts, usually with the intention of smoothing over any price differences between the old and new contracts. With the rollover date functionality, users can also adjust the date on which the rollovers between contracts occur.
 | MIMIC offers a number of presets and custom selections under the Custom Contract/Edit Rollover option. Expert users may prefer to use the query statements under the Rollover Preview section of the Edit Rollover window. For more information on rollovers, see the Rollovers guide on the LIM "Documentation" Web page (http://customers.lim.com/docs/doc_menu.htm). |
Users can open the Edit Rollover window to set custom contracts and edit rollover options.
To open the Edit Rollover window, complete the following steps:
In the Data Builder, enter a symbol and press Enter.
Check Custom Contract.
Select the Edit Rollover
button. The Edit Rollover window displays:
| The different tab options include Presets, Rollover Date, Date Offset, Expiration, Prices and Modify Prices. |
MIMIC includes the following Presets options in the Edit Rollover window:
| Option | Function/Description |
|---|---|
Allows users to define when the volume is greater in the next contract. Many traders believe the best time to roll is when the volume becomes greater in the next contract (volume crossover) because this usually means the following contract is the more liquid contract. | |
Allows users to define when the open interest is greater in the next contract. Many traders believe the best time to roll is when open interest becomes greater in the next contract (open_interest crossover) because this usually means the following contract is the more liquid contract. | |
Allows users to perform a backwards adjustment on prices from the list of presets. The main difference between backward adjusted and forward adjusted is that the current contract is unadjusted. This means that the previous history is adjusted by the difference between the new contract and the current contract. After the roll occurs the most current contract is the same as actual prices; however, the past prices will be adjusted (and can become negative). | |
Allows users to control when the contract will roll before expiration. |
MIMIC includes the following Rollover Date options in the Edit Rollover window:
| Option | Function/Description |
|---|---|
Rolls the contract on the last day that there is data for the symbol. | |
Not currently available; however, in case the need arises, this functionality has been added to the MIMIC interface. | |
Rolls the contract on the expiration day. | |
Rolls the contract on a specific day in the expiration month. | |
Volume Crossover | Defines when the volume is greater in the next contract. Many traders believe the best time to roll is when the volume becomes greater in the next contract (volume crossover) because this usually means the following contract is the more liquid contract. |
Defines when the open interest is greater in the next contract. Many traders believe the best time to roll is when open interest becomes greater in the next contract (open_interest crossover) because this usually means the following contract is the more liquid contract. |
Users can select the Date Offset option in the Edit Rollover window to specify when the contract rolls relative to the expiration date.
Users can select the Expiration option in the Edit Rollover window to select the month that the contract expires.
MIMIC includes the following Prices options in the Edit Rollover window:
| Option | Function/Description | ||
|---|---|---|---|
Displays the actual prices of the historical series. The advantage is that the prices shown are the actual ones traded. However, large gaps can appear in the series because of the difference from one contract to the next during the roll. This type of gap can cause spikes in some “momentum-type” technical indicators, which is misleading in most cases. | |||
Indicates the adjusted prices. Options include Forward, Backward and Cash. All three of these options eliminate possible gaps, which occur when rolling from one contract to the next; however, each accomplishes this in a different manner. Basics of Adjusted Prices: For Forward Adjusted Prices, the adjustment takes place each time the contracts roll forward by taking the difference between the closing price of the current contract and that of the new contract (on that day) and then adjusting by subtracting the difference from all prices (Open, High, Low, Close) throughout the new contract.
| |||
Indicates the backward adjusted prices. The main difference between backward adjusted and forward adjusted is that the current contract is unadjusted. This means that the previous history is adjusted by the difference between the new contract and the current contract. After the roll occurs, the most current contract is the same as the actual prices; however, the past prices will be adjusted and can become negative. | |||
Indicates the cash adjusted prices and removes the gaps by raising or lowering the price levels, so that the closing and cash correspond. The difference between the current contracts daily close and the cash prices is subtracted from each day’s daily bar. | |||
Indicates a perpetual policy. Users must define a certain set time period. The example below uses three months as the set time period. 3-Month Linear Perpetual Example: If users define the time period as three months, then the perpetual policy analyzes three months into the future to pick two contracts that are involved with the calculation. The first contract is the contract that expires just before the 3 months. The second contract is the contract that expires the soonest after the 3 months. Basically, the two contracts will form a bracket around the date (the last contract that expires before the time frame and the contract that expires soonest after the time frame). Then, MIMIC counts the number of days to the expiration day for each contract. MIMIC uses these two counts as weights in the perpetual calculation. The first weight is the number of days from the first contract’s expiration to the set date in the future. The second weight is the number of days from the set date in the future until the second contract’s expiration. The closer the first contract is to expiration the less it is weighed in the calculation. The perpetual policy can define the calculation in three ways: Linear, Logarithmic, or Geometric. (x1 = contract 1) (x2 = contract 2) (w1 = # of days from expiration to set date in the future for contract 1) (w2 = # of days from set date in future until expiration day for contract 2) Linear: Logarithmic:  Geometric: 
| |||
Allows users to average many consecutive contracts at once. There are three ways to calculate this average: Linear, Logarithmic and Geometric. Linear:
Logarithmic:  Geometric: 
For example, if users want to create a series from three of the most current contracts while using the linear smoothing function, then the policy must be similar to the example below. 3-Contract Linear Smoothed Example: The calculation above would look like “(front + back + far) / 3”, depending on the rollover date. |
MIMIC includes the following Modify Prices options in the Edit Rollover window:
| Option | Function/Description |
|---|---|
Top Section | Allows users to specify which contract to use (i.e. front, back, far). The nearby modifier can also specify the front, back, or far contracts. Refers to the front contract:
Refers to the back contract:
Refers to the far contract:
|
Middle Section | Allows users to roll from one contract to the next contract for a specified length of time. Users can interpolate the series for any number of days before the ROLLOVER_DATE. The interpolate modifier uses the number of days until expiration as an important weight. This means the farther away the contract is from rolling the more weight is placed on the current contract. |
Bottom Section | Allows users to create Gann-style continuous contracts. The Gann-style continuous contract rolls from one contract to the next contract of the same month (i.e. for the next year). The statement below creates a series that rolls from the March contract into the following years March contract:
The statement below uses the nearby modifier in combination with the year-to-year modifier. MIMIC creates the series with the “back” April contract, and it rolls accordingly (when the front contract expires).
|