Building Continuous Futures Charts from Expired Contracts in MT5
Summary
The article explains how to construct a synthetic continuous futures series in MetaTrader 5 using historical data for expired contracts. It describes a custom indicator that draws candles from several futures symbols, with inputs for the number of contracts and the method used to join them. Because nearby contracts trade concurrently, the user must select and order the symbols used in the splice and decide how to handle the transition between contracts.
Two joining methods are compared. Simple addition preserves each contract’s historical prices but leaves visible gaps at joins. A shifted transition replaces several bars near expiry with bars from the next contract, producing a smoother chart while showing values that no longer match the individual contracts’ recorded prices. The article also describes applying selected built-in or custom indicators to the synthetic series. This is a charting and analysis technique, not a trading strategy; the resulting series involves a trade-off between price fidelity and continuity, and its indicator compatibility is described as limited.
Key ideas
- A custom MT5 indicator can combine historical data from multiple futures contracts into a continuous chart.
- Simple addition preserves individual contract prices but creates gaps at contract joins.
- A shifted transition smooths the series by substituting bars, which changes displayed historical values.
- Overlapping trading dates require a consistent rule for selecting and ordering contracts.
- The synthetic series can support some indicators, though compatibility is limited.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.