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