This is a continuous series built from a single delivery month of a commodity over years of trading (a file of all May Wheat contracts over time, for example). The desired month and roll-forward criteria must be specified when adding this type of series to your portfolio. Please keep in mind that each individual contract will occupy a 12-month segment of the data, so each contract must trade at least 12 months.
When Gann data series are produced as text files, they will be represented by individual delivery month codes identifying the specific delivery month included in the series.
The contract specifications that apply to Gann contracts are shown here:
You'll need to select the appropriate response for each of the following:
Day From Month Start: This option lets your Gann contract series roll from one contract to the next on a specific day of the month. In the box to the right of this prompt, enter the roll-forward date (1 to 31) within the rollover month. Use 31 to roll on the last trading day. This date is within the rollforward month specified below.
Months Prior: In the box to the right 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. Use 0 for the last trading day.
Gann contracts typically roll upon expiration, for which Day 31 and Months Prior 0 would be entered. You might prefer a more consistent date such as the first day of the expiration month (1 Day and Months Prior 0).
Delivery Month to Concatenate
This selection identifies the one delivery month to be included in your Gann series.
Click the down arrow symbol to the right of the text box and select the single delivery month to be used. It will cycle through the different delivery years. If contracts of the commodity you selected trade for less than 12 months each, your Gann file will contain periods where no data is supplied.
UA will roll into the same contract month for each subsequent delivery year (March rolls into March; May rolls into May, etc.).
Be sure to select your detrend preferences, date range, post processing and export options (for portfolio) before clicking OK to complete the selection.