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Do Momentum‐Based Trading Strategies Work in the Commodity Futures Markets?
Author(s) -
Narayan Paresh Kumar,
Ahmed Huson Ali,
Narayan Seema
Publication year - 2015
Publication title -
journal of futures markets
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.88
H-Index - 55
eISSN - 1096-9934
pISSN - 0270-7314
DOI - 10.1002/fut.21685
Subject(s) - futures contract , commodity , momentum (technical analysis) , position (finance) , contango , financial economics , economics , commodity pool , work (physics) , sample (material) , high frequency trading , trading strategy , monetary economics , business , algorithmic trading , finance , passive management , mechanical engineering , chemistry , chromatography , fund of funds , market liquidity , engineering
This article examines whether momentum‐based trading strategies work in the commodity futures markets. Using a wide range of moving average trading rules, commodities are ranked from best‐ to worst‐performing. Then investors are allowed to take long positions in best‐performing commodities and a short position in the least attractive commodity. Findings suggest that investors can earn statistically significant profits from the commodity futures markets. Moreover, it is found that short‐selling improves commodity profits and profits are both data frequency and sub‐sample dependent. © 2015 Wiley Periodicals, Inc. Jrl Fut Mark 35:868–891, 2015