Commodity Trading Strategies

Research & Development team is currently focused on development of trading strategies applied to Crude Oil WTI, Natural Gas and Gold (futures contracts). These commodities are traded on centralized exchanges NYMEX and COMEX which are located in USA and each day trading activity exceeds billions of dollars. Very high liquidity and interest of other market subjects create a suitable environment for short-term momentum trading strategies. It is appropriate to include these in the research portfolio due to the necessary volatility and the structure of the financial leveraged instrument itself.

R&D team develops and optimizes trading strategies on rule-based concepts that has positive performance and can predict upcoming short-term price momentum with sufficient probability.

Implementation of new technologies can help R&D rigorously analyze the performance of trading strategies and related risks with highest exact level. Against the “old” technologies, the modern ones can implement real-time execution of trading orders based on all realized trades in the selected time period. Application of old technologies for trading strategy performance analysis often lead to unreliable statistical results and trading strategy with great historical performance often fail in the real market.

Development and optimization with modern technologies is the one of the main goals of the project. When trading strategies for Crude Oil WTI, Natural Gas and Gold are done they will be included in metastrategy-driven portfolio with smart asset allocation.

Mind-flow:

  • Crude Oil WTI, Natural Gas, Gold futures contracts
  • Implementation using  modern frameworks and libraries: Zipline, Pyfolio, Pandas, MetaTrader, NumPy
  • Short-term price momentum trading strategies development
  • Our innovation against existing trading strategies is based on implementation of modern frameworks and analytical tools
  • Our research aims to implement proposed trading strategies to the real market in a short period. All strategies will be included in a metastrategy-driven portfolio

Jan Budík

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