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

See all articles by Maxim Popov

Maxim Popov

Nexus Energie GmbH

Reinhard Madlener

RWTH Aachen University

Date Written: May 2014

Abstract

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

Popov, Maxim and Madlener, Reinhard, Backtesting and Evaluation of Different Trading Schemes for the Portfolio Management of Natural Gas (May 2014). FCN Working Paper No. 5/2014. Available at SSRN: https://ssrn.com/abstract=2469810 or http://dx.doi.org/10.2139/ssrn.2469810

Maxim Popov (Contact Author)

Nexus Energie GmbH ( email )

Fritz-Vomfelde-Strasse 14
Dusseldorf, 40547
Germany

Reinhard Madlener

RWTH Aachen University ( email )

School of Business and Economics / E.ON ERC
Mathieustraße 10
Aachen, 52074
Germany
+49 241 80 49 820 (Phone)
+49 241 80 49 829 (Fax)

HOME PAGE: http://www.eonerc.rwth-aachen.de/fcn

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