28 Pages Posted: 26 Jul 2007 Last revised: 12 Nov 2007
Date Written: June 27, 2007
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: 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
By Meb Faber