Very cool. I have revisited the WTI/Brent spread trade a few times in the last few years - actually wrote a simple algo using Quandl data for USO and BNO, two ETFs linked to the WTI and Brent futures. I would love to update it to use this continuous futures contract logic and see how it does. https://www.quantopian.com/posts/brent-slash-wti-spread-fetc...