Monthly Commodity Futures Momentum with Quintile Long-Short Portfolios

Summary

The strategy ranks a broad set of commodity futures by their performance over the previous 12 months, divides the available contracts into quintiles, and holds long positions in the strongest quintile and short positions in the weakest. It rebalances monthly and allocates equal weight within each side. The example code uses continuous futures data, waits for a full lookback history, and applies a leverage setting and a custom fee model.

The document is an implementation example rather than a research report. It provides no return, drawdown, or benchmark results, so it does not establish that the approach was profitable. The universe is fixed in the code, and results would depend on the data source, continuous-contract construction, costs, leverage, and handling of changing availability. The signal is a cross-sectional momentum sort, not a forecast with a stated risk model or portfolio-level volatility control.

Key ideas

• The strategy ranks commodity futures using trailing 12-month returns.
• It goes long the top performance quintile and short the bottom quintile.
• The portfolio is rebalanced monthly with equal allocations within each side.
• The example uses a predefined futures universe and continuous-contract data.
• No empirical performance statistics or risk-adjusted results are reported.

Tags

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