Strategy lab
Every strategy from 151 Trading Strategies and all 101 Formulaic Alphas as formulas you can edit and backtest on ten years of daily stocks, ETFs, futures, forex and crypto data. Free, in your browser.
9.4CommoditiesBacktest
Value
A commodity is cheap if its price is well below where it traded five years ago. Buy the cheapest third and short the dearest.
Note. Uses front-month continuous futures, which jump at contract rolls. With data from 2016 the signal starts in 2021.
Edit anything; the result updates as you type. Lines like window = 20 become sliders.
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Hypothetical backtests on daily closes with no slippage unless you add costs. Survivorship bias applies: the stock list is today’s large caps. For learning, not investment advice. Data: Yahoo Finance via yfinance.
- Source
- 151 Trading Strategies
- Section
- 9.4 · Commodities
- Asset class
- Commodities
- In the lab
- Full backtest
Value (9.4)
A commodity is cheap if its price is well below where it traded five years ago. Buy the cheapest third and short the dearest.
Key equation
Lab formula
// Average price 4.5 to 5.5 years ago relative to today
log(ts_mean(delay(close, 1134), 252) / close)Uses front-month continuous futures, which jump at contract rolls. With data from 2016 the signal starts in 2021.
How the backtest works
The formula is evaluated for every asset on every day. Its values become positions at that day’s close, using the portfolio rule you pick, and earn the next day’s close-to-close return. Costs are charged in basis points on the amount traded. Everything runs in your browser on daily data from Yahoo Finance, adjusted for splits and dividends.
More in Commodities
- 9.1 Roll yields
- 9.2 Trading based on hedging pressure
- 9.3 Portfolio diversification with commodities
- 9.5 Skewness premium
- 9.6 Trading with pricing models
Source: Kakushadze, Z. and Serur, J. A. (2018). 151 Trading Strategies. Palgrave Macmillan. SSRN 3247865. Summaries are our own.