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I am interested in generating a query/report with user defined parameters for selected futures contracts in which the user specifies a rolling period (eg, 30 days) and a minimum percentage price move (eg, an increase of at least 25% or a drawdown of more than 25%). An example would be a query for crude oil to identify the 30-day periods in which the nearby contract has experienced a move greater than 25% in the last 20 years. The output would be the initial dates for the moves and the size of the moves. Does anyone know if a code has been developed to enable this query? Many thanks for any help.