The
Return Asymmetry Commodity strategy exploits the difference between positive and negative returns. For each commodity future, the rolling window sums all upward and downward moves separately. A high ratio implies persistent positive drift, while a low ratio points to sustained selling pressure.
At the start of each month, commodities are ranked by this asymmetry measure. The system buys the top N contracts and sells short the weakest N, allocating capital equally. Rebalancing occurs monthly.
- Entry Criteria: Monthly ranking of the asymmetry of daily returns over a lookback window.
- Long/Short: Both directions.
- Exit Criteria: Positions adjusted on monthly rebalance.
- Stops: No explicit stop; position size capped by MinTradeUsd.
- Default Values:
- WindowDays = 120
- TopN = 5
- MinTradeUsd = 200
- CandleType = TimeSpan.FromDays(1).TimeFrame()
- Filters:
- Category: Momentum
- Direction: Both
- Indicators: Price based
- Stops: No
- Complexity: Intermediate
- Timeframe: Medium-term
- Seasonality: Yes
- Neural Networks: No
- Divergence: No
- Risk Level: Medium