Correcting Intraday Futures Open Interest for Price-Volume CTA Signals

Summary

This report describes a high-frequency futures CTA approach that uses the relationship between traded prices and adjusted intraday open interest. It argues that open interest can provide information beyond trading volume, and derives directional signals from the daily correlation between price and adjusted open interest.

The adjustment addresses the apparent intraday trough in raw open-interest data. The authors interpret falling open interest as intraday traders entering positions and rising open interest as those traders leaving, then allocate the day’s total open-interest change across intraday observations to reshape the profile. The report presents a backtest from April 2017 to April 2020, reporting 635 signal days out of 728 trading days, 283 reallocations, and annualized return, volatility, return-to-volatility, win-rate, and maximum-drawdown figures. These are reported historical results; the supplied text gives no details on costs, contract selection, execution assumptions, or out-of-sample validation, so it is not enough to assess live performance.

Key ideas

• The method uses futures open interest as an additional source of information beyond trading volume.
• Raw intraday open interest is adjusted by distributing the day’s total change across intraday observations.
• The strategy derives daily directional signals from the correlation between price and adjusted open interest.
• The reported backtest covers April 2017 through April 2020 and includes performance and turnover statistics.
• The available summary does not specify transaction costs, execution assumptions, or out-of-sample testing.

Tags

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.