Commodity Momentum

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.

Details

• 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.FromMinutes(5).TimeFrame()
• Filters:
  • Category: Momentum
  • Direction: Long
  • Indicators: Price
  • Stops: No
  • Complexity: Intermediate
  • Timeframe: Daily
  • Seasonality: Yes
  • Neural Networks: No
  • Divergence: No
  • Risk Level: Medium