Short Commodities

Strategy overview


Commodities are a diversified assets that may be of low correlation to the market trends, as such, commodities may be used to be a significant part of any portfolio in order to reduce the risk of prolonged market downtrends,this strategy uses complex statistical computations to locate specific commodity downtrends, opening a short position and profiting from longer periods when a certain commodity weakens in demand.

Significant research and backtest was made to make sure the risk is at minimum and gains from this very unique approach are at maximum.

  • Annual Return: 8.5% Largest
  • DrawDown: -11%
  • Sharpe: 1.34

Is this strategy right for you?

This is a low volatility – high return strategy for long term investors, suitable for traders who wish to beat the market in the long run.


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Strategy performance


Check out the facts and figures behind this trading strategy

1.95%

Last 3 Months %

$2,486.63

Last 3 Months Gain

6.59%

Last 6 Months %

$8,051.68

Last 6 Months Gain

Short Commodities

Universe:
All futures-based commodities

Entry:
Rank all symbols according to distance from SMA(200), take only the top 20%
Open Short If peak detected by the second derivative of the price action (Use Savitzky–Golay filter to smooth the price chart)

Exit:
Close Short If trough detected by the second derivative of the price action (Use Savitzky–Golay filter to smooth the price chart)