Posts

Introduction In previous posts we have explored ideas on how to construct fundamental models for forecasting the price of corn and …
Last updated on 12 min read Closing Stock Models, Relative Value, Corn, Soybeans

1 Introduction 2 Modeling the Spread 3 Modeling the Ratio 4 Roll Structure 4.1 Corn Calendars 4.2 Kansas Wheat Calendars 5 …
Last updated on 14 min read Closing Stock Models, Corn, Wheat, Relative Value

Introduction WASDE reports get published around the 10th of every month and is a date that every commodity trader looks forward to. …
Last updated on 19 min read Calendar Spreads, Events Study, Closing Stock Models

Introduction The aim of this write-up is to explore the price evolution after different thresholds of net managed money have been …
Last updated on 5 min read Events Study

Introduction This is a short write-up that uses Modern Portfolio Theory or Mean-Variance Analysis to give some guidelines on how the …
Last updated on 3388 min read Portfolio Construction

Introduction In this write-up, we explore how the front month price and time to expiry of the front-month contract can be used to model …
Last updated on 4 min read Calendar Spreads, Machine Learning, Carry, Time Series Decomposition

1 Introduction 2 Nomenclature 3 Curve Shape 3.1 Backwardation and Contango 3.2 The driver of long-term returns 4 Relative Value …
Last updated on 27 min read Relative Value, Calendar Spreads

1 Introduction 2 Supervised Learning 2.1 General Idea 2.2 Calendar Spread Regression Example 2.3 Using classification to help determine …
Last updated on 15 min read Machine Learning, Artificial Intelligence

1 Introduction 2 Bloomberg Commodities Index 3 Reconstructing Bloomberg Commodities Index 3.1 Simplifying the weights 3.2 Curve Shape …
Last updated on 8608 min read Long-Only, BCOM Index, Curve Shape, Trend Following

1 Introduction 2 Deterministic Model 3 Probabilistic Model 3.1 United States Stock-to-Usage 3.2 World Stock-to-Usage 3.3 World …
19 min read Closing Stock Models, Soybeans, Ensemble Models