Backtesting and Evaluation of Different Trading Schemes for the Portfolio Management of Natural Gas
FCN Working Paper No. 5/2014
56 Pages Posted: 23 Jul 2014
Date Written: May 2014
The aim of our research is to test and evaluate the technical indicators and oscillators, which are commonly used on other stocks and commodity markets (e.g. moving averages, stochastic oscillator, etc.) in terms of their efficiency at the present European natural gas virtual trading points (VTPs). The decisive factors are the achievable cost savings in purchases. The scope of our work includes the testing of trading systems on historical prices of European natural gas VTPs. These trading systems will be compared with each other and evaluated in terms of their efficiency and long-term stability. The results show that in more than half of the cases, the average buying price of natural gas is lower than the median price; hence the use of technical-indicator-based trading systems in natural gas procurement portfolio management would be beneficial.
Keywords: Portfolio management, Virtual trading point, Title transfer facility, Backtesting, Natural gas
JEL Classification: C63, D22, F14, G11, Q37
Suggested Citation: Suggested Citation