Do momentum-based trading strategies work in the commodity futures markets?

Paresh Kumar Narayan, Huson Ali Ahmed, Seema Narayan

Research output: Contribution to journalArticleResearchpeer-review

72 Citations (Scopus)

Abstract

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.

Original languageEnglish
Pages (from-to)868-891
Number of pages24
JournalJournal of Futures Markets
Volume35
Issue number9
DOIs
Publication statusPublished - Sep 2015
Externally publishedYes

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