Quandl's continuous contracts are created using the simplest possible roll algorithm: "end-to-end concatenation". That is to say, CL1 is always the crude oil contract with the shortest time to expiry; CL2 is the second shortest contract, and so on. On expiry date, CL1 starts to point to the next future in line, and so on all the way down the strip. There's no price adjustment, and the roll dates are simply the last trading dates.
There's an easy way to pull in data from multiple contracts, if you want to construct your own roll algorithm offline. Start with the futures lists on our futures page or on our API Resources page. Then uses our multisets feature to create a combination of all the data you need. Download the multiset, and then you can build your own roll algorithm.