Perpetual Rollover for Futures contracts

perpetual_rollover.py

import numpy as np
import pandas as pd

#load data from your preferred source
data = pd.read_csv("PATH/TO/FILE/futures_rolling.csv", index_col = [0], parse_dates=True)

june_21 = data["VX-2021M"]
july_21 = data["VX-2021N"]

def perpetual_rollover(previous_futures, next_futures, roll_date, number_of_rolls):
    
    all_dates = next_futures.index #this assumes that both futures ts have the same indices, if not, get the unique dates here
    
    index_roll_date = previous_futures.index.get_loc(roll_date) + 1 #adding 1 for easier indexing
    roll_dates = previous_futures.index[(index_roll_date-number_of_rolls-1):index_roll_date]
    roll_scalar = np.linspace(0, 1, number_of_rolls + 1)
    
    roll_weights = pd.DataFrame(np.zeros((len(all_dates), 2)), index=all_dates)
    
    
    for i in all_dates:
        if i in roll_dates:
            current_scalar = roll_scalar[np.where(roll_dates == i)][0]
        elif i < roll_dates[0]:
            current_scalar = 0
        else:
            current_scalar = 1
            
        roll_weights.loc[i][0] = 1-current_scalar
        roll_weights.loc[i][1] = current_scalar
            
    adjusted_price = (roll_weights.iloc[:,0] * previous_futures).fillna(0) + roll_weights.iloc[:,1] * next_futures
    
    return adjusted_price


adjusted_price = perpetual_rollover(june_21, july_21, "2021-06-16", 5)