AI & Algo Trading

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Commodity Strategies Based on Momentum, Term Structure and Idiosyncratic Volatility

blog.edarchimbaud.com

Commodity Strategies Based on Momentum, Term Structure and Idiosyncratic Volatility

edarchimbaud
Aug 31, 2023
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Commodity Strategies Based on Momentum, Term Structure and Idiosyncratic Volatility

blog.edarchimbaud.com
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Original paper

SSRN-id1971917.pdf

Trading rules

  • Investment universe: 27 commodity futures (agriculture, energy, livestock, metals, random length lumber)

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