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Strips |
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Here is a typical 12 month calendar strip for NG that sums the individual 12 contract prices for each date and divides by 12 to get an average price. *this adjusts which contract is being used, prompt or back for each month based on the proximity to the expiration date for that month SHOW 1: (IF periods_in_range from today to yearly Close is more than periods_in_range from today to NG_Z expiration_day THEN adjust_contract ( NG, 1, 0, 12 ) ELSE adjust_contract ( NG, 2, 0, 12 ) ENDIF + IF periods_in_range from today to yearly Close is more than periods_in_range from today to NG_F expiration_day THEN adjust_contract ( NG, 1, 0, 1 ) ELSE adjust_contract ( NG, 2, 0, 1 ) ENDIF + IF periods_in_range from today to yearly Close is more than periods_in_range from today to NG_G expiration_day THEN adjust_contract ( NG, 1, 0, 2 ) ELSE adjust_contract ( NG, 2, 0, 2 ) ENDIF + IF periods_in_range from today to yearly Close is more than periods_in_range from today to NG_H expiration_day THEN adjust_contract ( NG, 1, 0, 3 ) ELSE adjust_contract ( NG, 2, 0, 3 ) ENDIF + IF periods_in_range from today to yearly Close is more than periods_in_range from today to NG_J expiration_day THEN adjust_contract ( NG, 1, 0, 4 ) ELSE adjust_contract ( NG, 2, 0, 4 ) ENDIF + IF periods_in_range from today to yearly Close is more than periods_in_range from today to NG_K expiration_day THEN adjust_contract ( NG, 1, 0, 5 ) ELSE adjust_contract ( NG, 2, 0, 5 ) ENDIF + IF periods_in_range from today to yearly Close is more than periods_in_range from today to NG_M expiration_day THEN adjust_contract ( NG, 1, 0, 6 ) ELSE adjust_contract ( NG, 2, 0, 6 ) ENDIF + IF periods_in_range from today to yearly Close is more than periods_in_range from today to NG_N expiration_day THEN adjust_contract ( NG, 1, 0, 7 ) ELSE adjust_contract ( NG, 2, 0, 7 ) ENDIF + IF periods_in_range from today to yearly Close is more than periods_in_range from today to NG_Q expiration_day THEN adjust_contract ( NG, 1, 0, 8 ) ELSE adjust_contract ( NG, 2, 0, 8 ) ENDIF + IF periods_in_range from today to yearly Close is more than periods_in_range from today to NG_U expiration_day THEN adjust_contract ( NG, 1, 0, 9 ) ELSE adjust_contract ( NG, 2, 0, 9 ) ENDIF + IF periods_in_range from today to yearly Close is more than periods_in_range from today to NG_V expiration_day THEN adjust_contract ( NG, 1, 0, 10 ) ELSE adjust_contract ( NG, 2, 0, 10 ) ENDIF + IF periods_in_range from today to yearly Close is more than periods_in_range from today to NG_X expiration_day THEN adjust_contract ( NG, 1, 0, 11 ) ELSE adjust_contract ( NG, 2, 0, 11 ) ENDIF ) / 12 WHEN Date is after 1995
Next years strip: This calendar strip shows on the expiration day, what the next years contract is trading at for each month, takes the sum of those prices and divides by 12 to get the average per day. SHOW
NextYearStrip: (IF Date is NG_F expiration_day
THEN adjust_contract ( NG, 2, 0, 1 )
ELSE adjust_contract ( NG, 1, 0, 1 )
ENDIF + IF Date is NG_G expiration_day
THEN adjust_contract ( NG, 2, 0, 2 )
ELSE adjust_contract ( NG, 1, 0, 2 )
ENDIF + IF Date is NG_H expiration_day
THEN adjust_contract ( NG, 2, 0, 3 )
ELSE adjust_contract ( NG, 1, 0, 3 )
ENDIF + IF Date is NG_J expiration_day
THEN adjust_contract ( NG, 2, 0, 4 )
ELSE adjust_contract ( NG, 1, 0, 4 )
ENDIF + IF Date is NG_K expiration_day
THEN adjust_contract ( NG, 2, 0, 5 )
ELSE adjust_contract ( NG, 1, 0, 5 )
ENDIF + IF Date is NG_M expiration_day
THEN adjust_contract ( NG, 2, 0, 6 )
ELSE adjust_contract ( NG, 1, 0, 6 )
ENDIF + IF Date is NG_N expiration_day
THEN adjust_contract ( NG, 2, 0, 7 )
ELSE adjust_contract ( NG, 1, 0, 7 )
ENDIF + IF Date is NG_Q expiration_day
THEN adjust_contract ( NG, 2, 0, 8 )
ELSE adjust_contract ( NG, 1, 0, 8 )
ENDIF + IF Date is NG_U expiration_day
THEN adjust_contract ( NG, 2, 0, 9 )
ELSE adjust_contract ( NG, 1, 0, 9 )
ENDIF + IF Date is NG_V expiration_day
THEN adjust_contract ( NG, 2, 0, 10 )
ELSE adjust_contract ( NG, 1, 0, 10 )
ENDIF + IF Date is NG_X expiration_day
THEN adjust_contract ( NG, 2, 0, 11 )
ELSE adjust_contract ( NG, 1, 0, 11 )
ENDIF + IF Date is NG_Z expiration_day
THEN adjust_contract ( NG, 2, 0, 12 )
ELSE adjust_contract ( NG, 1, 0, 12 )
ENDIF ) / 12 WHEN
Date is NG expiration_day
Another Strip: This strip sums the 2nd contract out through the 13th contract out for each day and divides by 12 for the average.
LET ATTR _2through13 = (adjust_contract ( NG, 2, 0, 0 ) + adjust_contract ( NG, 3, 0, 0 ) + adjust_contract ( NG, 4, 0, 0 ) + adjust_contract ( NG, 5, 0, 0 ) + adjust_contract ( NG, 6, 0, 0 ) + adjust_contract ( NG, 7, 0, 0 ) + adjust_contract ( NG, 8, 0, 0 ) + adjust_contract ( NG, 9, 0, 0 ) + adjust_contract ( NG, 10, 0, 0 ) + adjust_contract ( NG, 11, 0, 0 ) + adjust_contract ( NG, 12, 0, 0 ) + adjust_contract ( NG, 13, 0, 0 ) ) / 12
SHOW _2through13: _2through13 _frontNG: NG WHEN NG is DEFINED
A Rolling Average Strip: Takes the sum of the closing price on each months expiration day divides by 12 for a rolling average. SHOW
Rolling_average: (NG_F on previous NG_F last_data_day + NG_G on previous NG_G last_data_day + NG_H on previous NG_H last_data_day + NG_J on previous NG_J last_data_day + NG_K on previous NG_K last_data_day + NG_M on previous NG_M last_data_day + NG_N on previous NG_N last_data_day + NG_Q on previous NG_Q last_data_day + NG_U on previous NG_U last_data_day + NG_V on previous NG_V last_data_day + NG_X on previous NG_X last_data_day + NG_Z on previous NG_Z last_data_day ) / 12 |
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