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.
9.1CommoditiesReference
Roll yields
Futures in backwardation earn a positive roll yield when held, those in contango a negative one. Buy the most backwardated commodities and short the most contangoed.
Why there is no chart
Front- and second-month futures prices.
The lab runs on daily prices for stocks, ETFs, indexes, futures, currencies, crypto and Treasury yields. This strategy from 151 Trading Strategies depends on data outside that set, so it is explained and formalised here rather than backtested.
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
- 9.1 · Commodities
- Asset class
- Commodities
- In the lab
- Explained, not backtested
Roll yields (9.1)
Futures in backwardation earn a positive roll yield when held, those in contango a negative one. Buy the most backwardated commodities and short the most contangoed.
Key equation
Data it needs
Front- and second-month futures prices.
More in Commodities
- 9.2 Trading based on hedging pressure
- 9.3 Portfolio diversification with commodities
- 9.4 Value
- 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.