Continuous Futures

Naively concatenating front-month futures contracts creates artificial price jumps at each roll, corrupting returns and every feature derived from price levels.

The Problem

Futures contracts expire. When you roll from the March contract to the June contract, the price can jump $5 overnight - not because the market moved, but because the new contract trades at a different level (contango or backwardation). Concatenating contracts without adjustment produces fake returns of 2-5% at every roll date. A momentum signal built on this series will fire on roll artifacts, not real trends. Over a year with 4-12 rolls, this distortion compounds.

The Pattern

WRONG

import polars as pl