This document discusses different methods for constructing continuous futures price series from discrete contracts for analysis and back-testing of trading strategies. It describes constant month series, constant distance/rolling nearby series, time to maturity weighted series, and volume/OI weighted series. The document provides an example of how a time to maturity weighted series is calculated and shows it produces a smoother price representation compared to a nearby series. It also compares the return distributions and strengths/weaknesses of nearby, weighted, and generic Bloomberg series.