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