Chrilly's Toolbox of Energy Futures Trading

摘要: In a previous working paper I analyzed the performance of several rolling strategies for 5 most important Energy Futures in last 10 years. It was assumed that one is always long Futures. The task to minimize harm rolling. Due weak this sector there absolute terms (almost) nothing gain. This analyzes which try exploit all aspects - rolling, term structure, mean reversion, seasonal-patterns and trends market. Anything goes as it profitable. Some perform considerable better then long-only portfolios. But times they are A Changin' Energy-Futures difficult find consistent strategy handles different market-regimes successfully. winners proposed literature performed fine once upon time. losers now.