Can Commodity Futures be Profitably Traded with Quantitative Market Timing Strategies?

28 Pages Posted: 26 Jul 2007 Last revised: 12 Nov 2007

Ben R. Marshall

Massey University - School of Economics and Finance

Rochester H. Cahan

Macquarie Capital (USA)

Jared Cahan

Macquarie Bank Ltd

Date Written: June 27, 2007

Abstract

Quantitative market timing strategies are not consistently profitable when applied to 15 major commodity futures series. We conduct the most comprehensive study of quantitative trading rules in this market setting to date. We consider over 7,000 rules, apply them to 15 major commodity futures contracts, employ two alternative bootstrapping methodologies, account for data snooping bias, and consider different time periods. While we cannot rule out the possibility that technical trading rules compliment some other trading strategy, we do conclusively show that they are not profitable when used in isolation, despite their wide following.

Keywords: Commodity, Futures, Technical Analysis, Quantitative, Market Timing

JEL Classification: G12, G14

Suggested Citation

Marshall, Ben R. and Cahan, Rochester H. and Cahan, Jared, Can Commodity Futures be Profitably Traded with Quantitative Market Timing Strategies? (June 27, 2007). Available at SSRN: https://ssrn.com/abstract=1003064 or http://dx.doi.org/10.2139/ssrn.1003064

Ben R. Marshall (Contact Author)

Massey University - School of Economics and Finance ( email )

Private Bag 11-222
Palmerston North, 30974
New Zealand
64 6 350 5799 (Phone)
64 6 350 5651 (Fax)

Rochester H. Cahan

Macquarie Capital (USA) ( email )

125 W. 55th Street
Level 23
New York, NY 10019
United States

Jared Cahan

Macquarie Bank Ltd ( email )

Sydney 2000, NSW
Australia

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