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