Trend-following trading strategies in commodity futures pdf

Counter Trend Strategy - Trend Following Isn’t the Only Futures Strategy


trend-following trading strategies in commodity futures pdf

The Commodity Trading Advisor (CTA) funds, or Managed Futures funds, constitute a particular class of hedge funds that trade futures contracts for profit, not for hedging purposes, using trend- following strategies (e.g., Moskowitz et al., ). understanding the factors that impact the spread between two (or more) of a commodity futures contract’s delivery months. This strategy is known as calendar-spread trading. By way of further explanation, in all commodity futures markets, a different price typically exists for each commodity, depending on when the commodity is to be delivered. He was later dubbed the ‘father of modern commodities trading methods,” having developed a technical trading method called “trend following,” which presupposes that commodity prices will move in long sweeps like bull and bear markets. He used a mathematical system based on moving averages of commodity prices.

Richard Donchian: Lessons from a Trend Following Trading Legend

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Trend Following Strategy - Wisdom Trading Global Market Trading


trend-following trading strategies in commodity futures pdf


Trading Strategies Keyed to Commodity Index Rolls. Another example of calendar-spread trading arises from commodity-index roll dates. Unlike an equity index, one unique aspect of a commodity futures index is that its precise rules need to specify on what dates each of its contracts have to be rolled before the maturity of each contract. This digest article discusses the most common strategies employed by futures traders, namely: trend-following and calendar-spread trading. Commodity Trading Advisors (CTAs) and Trend-Following. Although two basic types of CTAs discretionary and trend– -following – exist, the investment category is dominated by trendfoll-owers. in trend-following strategies, we establish a relationship between time-series momentum strategies and CTA fund performance. Managed futures strategies have been pursued by CTAs since at least the s, shortly after futures exchanges increased the number of traded contracts (Hurst, Ooi and Pedersen ).