Swing Trading Signals


Since 2013

  • 100% Quantified, data-driven and Backtested
  • We always show our results!
  • Signals every day via our site or email
  • Cancel at any time!

Double-Sort Trading Strategy on Commodity Futures: Performance Evaluation and Stop-Loss Implementation

Last Updated on 10 February, 2024 by Rejaul Karim

This paper, “Double-Sort Trading Strategy on Commodity Futures: Performance Evaluation and Stop-Loss Implementation,” illuminates a comprehensive re-evaluation of the double-sort trading strategy’s performance on commodity futures.

Authored by Hossein Rad from the University of Queensland Business School, the study meticulously scrutinizes the strategy’s effectiveness using momentum and term-structure signals to construct a long-short portfolio of commodity futures. The analysis encompasses the strategy’s performance prior to and during the 2007 financial crisis, revealing notable improvements amid the crisis.

Additionally, the study explores the implementation of various stop-loss methods aimed at mitigating risk measures, illustrating the pursuit of enhanced risk management in trading strategies.

Thus, the findings yield critical insights into the strategic dynamics of commodity futures trading and risk mitigation techniques, providing valuable implications for market participants navigating this domain.

Abstract Of Paper

This master thesis, first, re‐examines the performance of the double‐sort trading strategy on commodity futures using the data from January 1979 to October 2011. The double‐sort strategy is an active strategy that uses momentum and term-­structure signals to form a long‐short portfolio of commodity futures. Second, the performance of the strategy is studied before the beginning of the financial crisis at 2007 and compared to the performance of the strategy during the crisis, i.e. after 2007. We find that the strategy performs better during the crisis. Third, in an effort to reduce the risk measures of the strategy, stop‐loss methods are introduced and added to the strategy. Four different stop‐loss methods are implemented: cumulative, exponentially weighted average, consecutive, and full‐portfolio stop‐loss. We find that none of these methods are able to reduce the risk‐measures of the strategy considerably.

Original paper – Download PDF

Here you can download the PDF and original paper of Double-Sort Trading Strategy on Commodity Futures: Performance Evaluation and Stop-Loss Implementation.

(An option to download will come shortly)

Author

Hossein Rad
University of Queensland Business School

Conclusion

In conclusion, the study on the “Double-Sort Trading Strategy on Commodity Futures” offers crucial insights into the nuanced dynamics of this trading strategy’s performance and risk mitigation techniques.

The thorough re-examination of the double-sort strategy’s performance over an extensive time span provides valuable observations regarding its efficacy, particularly the notable improvement during the 2007 financial crisis.

Moreover, the implementation of various stop-loss methods aimed at managing risk measures yields important findings, demonstrating the challenges in significantly reducing risk despite the diligent application of these methods.

This comprehensive analysis underscores the complexities inherent in navigating commodity futures trading and illuminates the ongoing quest for robust risk management mechanisms.

As the exploration concludes, the study paves the way for continued deliberation and refinement in this critical domain of trading strategy and risk mitigation.

Related Reading:

Is Idiosyncratic Asymmetry Priced in Commodity Futures?

The Skewness of Commodity Futures Returns

FAQ

What is the main focus of the paper “Double-Sort Trading Strategy on Commodity Futures: Performance Evaluation and Stop-Loss Implementation”?

The main focus of the paper is to conduct a comprehensive re-evaluation of the double-sort trading strategy’s performance on commodity futures. The strategy utilizes both momentum and term-structure signals to construct a long-short portfolio of commodity futures. The study analyzes the strategy’s performance over an extended period, including before and during the 2007 financial crisis. Additionally, the paper explores the implementation of various stop-loss methods with the aim of mitigating risk measures associated with the strategy.

What is the primary trading strategy examined in the paper?

The primary trading strategy examined in the paper is the double-sort trading strategy on commodity futures. This strategy involves the use of both momentum and term-structure signals to form a long-short portfolio of commodity futures. The goal is to evaluate the performance of this strategy over time, including periods of financial crisis.

What does the analysis reveal about the performance of the double-sort strategy before and during the 2007 financial crisis?

The analysis reveals that the double-sort strategy performed better during the 2007 financial crisis compared to its performance before the crisis. This suggests that the strategy may have exhibited a degree of resilience or adaptability during a challenging market period.

Check The Leading Resource On The Internet For Research And Academic Papers

Leave a Reply

{"email":"Email address invalid","url":"Website address invalid","required":"Required field missing"}

Monthly Trading Strategy Club

$42 Per Strategy

>

Login to Your Account



Signup Here
Lost Password