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At any given point in time, there is a prompt contract month (the first tradeable month) in the futures curve. I use a continuous contract so that I can look at the prompt month activity historically. I calculate not just the prompt but also several months forward back adjusted in time. I use multiple algorithms to determine rollover and back adjusting criteria. This is just something I use in my trading to study the behavior of the term structure. For index futures, this may not be that applicable but for commodities (which is what I trade), this is something I cannot do without.
thanks for your input about the continuous contract's value/purpose. it's something i've seen very little information about, but maybe i've looked in all the wrong places
