ml4t-continuous-futures skillA
ml4t-continuous-futures is agent-read markdown (skill) from ml4t/skills: Build roll-adjusted continuous futures series without artificial price jumps. Use when backtesting futures strategies that span contract rollovers..
Indexed from public GitHub and served as immutable, content-addressed versions. Install it pinned to an exact SHA-256 with the mdr CLI, and every file is verified against the hash recorded here before it reaches your agent. The deterministic audit below grades the latest version, and the same file always earns the same grade.
What the file says
# 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
```python
import polars as pl
# Naive concatenation - price jumps at every roll
contracts = pl.read_parquet("futures_contracts.parquet")
continuous = (
contracts.sort("timestamp")
.group_by("timestamp")
.agg(pl.col("close").first()) # Just take front month
)
# 3-5% fake returns at each quarterly roll
```
### CORRECT
```python
import polars as pl
import numpy as np
def panama_canal_adjust(
front: pl.DataFrame, # timestamp, close: stitched front month
…Read the whole file at its exact version.
How to install
mdr add ml4t/skills/ml4t-continuous-futures@git:20260901.11976femdr add ml4t/skills/ml4t-continuous-futures@sha256:36d29e98da813ed6Pin to a label to follow the author's releases, or to a sha256 to freeze the exact bytes forever. Either way the resolved hash is written to mdr.lock, and mdr install reproduces it on any machine.
[](https://markdownregistry.com/a/art_xw5qgrhezyxdlyn2)
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Versions
| version | committed | commit | size | audit | |
|---|---|---|---|---|---|
| git:20260901.11976fe latest | 2026-09-01 | 11976fe | 5,194 B | A | view · diff |
| git:20260901.7d7c020 | 2026-09-01 | 7d7c020 | 5,144 B | A | view · diff |
| git:20260901.297789f | 2026-09-01 | 297789f | 5,102 B | A | view · diff |
| git:20260901.cf90cdd | 2026-09-01 | cf90cdd | 4,856 B | A | view · diff |
| git:20260901.c415df0 | 2026-09-01 | c415df0 | 4,783 B | A | view |
Audit of the latest version
- pass: Frontmatter block present
- pass: Frontmatter declares a name
- pass: Frontmatter declares a description
- pass: Size between 200 bytes and 200 KB (5194 bytes)
- pass: No zero-width or bidi control characters
- pass: No instruction hidden inside an HTML comment
- pass: No link to an exfiltration or paste host
- pass: No credential-shaped string
- pass: No instruction to send local credentials anywhere
- pass: No text hidden with inline styles
- pass: No prompt-injection phrasing
- pass: No curl or wget piped into a shell
- pass: No recursive delete of root, home or parent
- pass: No instruction to read or print local credentials
- pass: No base64 blob over 200 characters
- pass: No link to a raw IP address
- pass: No script tag
Source
ml4t/skills · 19 stars · license Apache-2.0 · pushed 2026-09-24 · branch main
API
GET https://markdownregistry.com/api/v1/artifacts/art_xw5qgrhezyxdlyn2 GET https://markdownregistry.com/api/v1/resolve?ref=ml4t/skills/ml4t-continuous-futures GET https://markdownregistry.com/api/v1/blob/36d29e98da813ed648b9510eb0775cb929513e2f7feb07c9736066808abdf653
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