Great article! Reminds of Rob Carver’s Advanced Futures book. In practice, adjusting the leverage/volatility with that precision would require a lot of contracts… tens of millions of dollars. He makes this point in his book
Thanks!!! I've learned a lot from Carver's books. Yes, execution with a small account is a challenge. There's a lot of trades you can't take, or have to round the position size. Like.. if you need to trade 0.7 contracts for your account size for example, you round to 1. If less than 0.7, you skip the trade.
We can model skipping and rounding trades and see how the equity curve would look. It would be worse than the one shown in this study, but it would still follow the expected performance roughly. Except for some trend following outliers here and there.
For example, you would have missed the Cocoa trade of 2023-2024 with an account <200K USD.... unless you traded it with CFDs.
There's a lot of ideas for a future blog post on the topic of how to deploy these models with relatively small accounts.
Curve carry looks like the most attractive sub-strategy. Do you measure the contango/backwardation relative to spot? How do you construct the calendar spreads (which months)?
Thanks Raekon, appreciated. I've been through a lot of changes this last quarter (new day job, moved to other city..etc) so it's been a challenge to keep the research going but will do my best to publish an update in January. Have a happy new year!
Great article! Reminds of Rob Carver’s Advanced Futures book. In practice, adjusting the leverage/volatility with that precision would require a lot of contracts… tens of millions of dollars. He makes this point in his book
Thanks!!! I've learned a lot from Carver's books. Yes, execution with a small account is a challenge. There's a lot of trades you can't take, or have to round the position size. Like.. if you need to trade 0.7 contracts for your account size for example, you round to 1. If less than 0.7, you skip the trade.
We can model skipping and rounding trades and see how the equity curve would look. It would be worse than the one shown in this study, but it would still follow the expected performance roughly. Except for some trend following outliers here and there.
For example, you would have missed the Cocoa trade of 2023-2024 with an account <200K USD.... unless you traded it with CFDs.
There's a lot of ideas for a future blog post on the topic of how to deploy these models with relatively small accounts.
Great article! Whould you mind to share any more info on the strategy [Carry] Curve Carry: Calendar spreads on commodities?
Thanks! Check out this podcast episode from Top Traders Unplugged:
https://www.toptradersunplugged.com/podcast/are-qi-strategies-sustainable-ft-maia-mathieson-faheem-osman/
Also the documentation of the CCRV ETF provides lots of insights: https://www.ishares.com/us/products/310784/ishares-commodity-curve-carry-strategy-etf-fund/
And this info about the underlying index of the CCRV ETF, from where you can get ideas: https://www.ice.com/publicdocs/data/CommodityIndexMethodology.pdf
I'll do a blog post eventually about alternatives ETFs such as CCRV.. The space is becoming very interesting.
All the best!
Curve carry looks like the most attractive sub-strategy. Do you measure the contango/backwardation relative to spot? How do you construct the calendar spreads (which months)?
Your content is stellar man, keep it up!
Thanks Raekon, appreciated. I've been through a lot of changes this last quarter (new day job, moved to other city..etc) so it's been a challenge to keep the research going but will do my best to publish an update in January. Have a happy new year!
Can we acess the code please? Github or another place