Commodity Momentum (Python)

The Commodity Momentum strategy longs commodities with the strongest 12-month momentum (skipping the most recent month). Positions are rebalanced on the first trading day of each month. Testing indicates an average annual return of about 10%. It performs best across diversified commodity markets. Positions are adjusted monthly; no intraday signals are used.

• Entry Criteria: Buy top TopN commodities by 12-month momentum excluding last month.

• Long/Short: Long only.

• Exit Criteria: Rebalance on the next scheduled date.

• Stops: No explicit stop logic.

• Default Values:

• TopN = 5

• MinTradeUsd = 200

• CandleType = TimeSpan.FromDays(1).TimeFrame() [*]Filters:

• Category: Momentum

• Direction: Long

• Indicators: Price

• Stops: No

• Complexity: Intermediate

• Timeframe: Daily

• Seasonality: Yes

• Neural Networks: No

• Divergence: No

• Risk Level: Medium