This article examines whether momentum-based trading strategies work in the commodity futures markets. Using a wide range of moving average trading rules, commodities are ranked from best- to worst-performing. Then investors are allowed to take long positions in best-performing commodities and a short position in the least attractive commodity. Findings suggest that investors can earn statistically significant profits from the commodity futures markets. Moreover, it is found that short-selling improves commodity profits and profits are both data frequency and sub-sample dependent.