A continuation chart is a chart with an artificial time series, built from the daily time series for active and expired contracts. A continuation chart takes portions of each contract going back in time, and displays those portions as one chart (one time series). It allows you to define what portions of the historical data will be used, and also allows parameters to be applied to the history.
A continuation chart relies on both current and historical data (a history of expired contracts). Therefore, if a continuation chart is built for a symbol with no historical data, the chart will look exactly like the front month.
A continuation chart is created by choosing the Futures Continuation tab in the Symbol Selection dialog box, choosing the symbol root, and then defining the parameters to apply to the data.
With a continuation chart, you may:
identify the number of contracts forward to track. If the front month of crude oil is April, using a "3" designation will track the June contract as the current contract instead. If the front month for US Treasury Bonds is September 2003, using a "3" designation will track the March 2004 contract as the current contract.
explicitly use only a given month each year, e.g., a continuation chart based only on December contracts
define when the contract will roll (a number of days before the expiration date, or a number of days before the month of expiration)
define whether holidays should be included in determining when the contract should roll
back adjust data at roll, using the difference between the closing price on the current contract and the closing price on the next month out, and
explicitly define the contract months to include in the historical data display (allows you to filter out months where trading activity is very low on certain contracts).