Taken from the QuantConnect library write-up, which follows Quantpedia. The source ranks commodity futures by 12-month return, goes long the top quintile and short the bottom quintile, and rebalances monthly. We have no continuous CME/ICE futures. USEQ does carry every commodity-futures or physical ETF in our universe file: GLD (gold, from 2004), SLV (silver, from 2006), USO (front-month WTI futures, from 2006) and UNG (front-month Henry Hub futures, from 2007). UNIVERSE RULE: the universe is every commodity-tracking ETF in config/us_equities_universe.txt, applied point-in-time rather than hand-picked from survivors. A name becomes eligible only once it has at least 253 daily sessions of history as of the rebalance date. With 4 names a quintile is one name, so the book has two slots: the top-ranked name (long leg) and the bottom-ranked name (short leg). Lesson 137 warns against an always-on neutral book and lesson 150 against a never-flat design, so each leg depends on its own 12-month sign. This is the Moskowitz-Ooi-Pedersen time-series momentum condition, which is part of momentum itself, not an added regime filter. The long leg is held only if the top name's 12-month return is above 0. The short leg is held only if the bottom name's 12-month return is below 0. The legs are independent, so the book can be long only, short only, both, or flat. Expected flat time: about 15-20% of months for the long slot and about 35-45% for the short slot. Economic cause: commodity momentum comes mostly from roll yield and from inventory states that persist (Erb-Harvey; Gorton-Hayashi-Rouwenhorst). Backwardated, low-inventory commodities keep rising, and contango-heavy ones (UNG, or USO in a glut) keep losing through the roll. The counterparties who pay are passive long-only roll holders and hedging producers. Per-trade arithmetic: the cross-sectional commodity momentum premium is about 0.5-1.0% per month per leg. The average hold is about 2.5-3 rebalance periods, so expected gross is about 1.5-2.5% per trade. The USEQ round trip (spread plus impact on these very liquid ETFs) is about 0.05%, so the edge is more than 30x cost. Trade count: about 228 monthly rebalances from 2007 to 2026, with a leg changing name or state in about 35-40% of them. That gives about 160-190 round trips over the history, and about 40 in the holdout. Sizing: each active leg's weight is min(0.5, 0.15 / realized_vol_63d_annualized) of equity. This is inverse-vol sizing, so UNG at 50% vol gets about 30% and GLD at 15% vol caps at 50%. Gross exposure stays at or below 100%, well inside Reg-T 2x. Performance note (from recent sandbox timeouts): per-bar work must be O(1). Keep a fixed-length deque of the last 253 closes and a running 63-day log-return sum and sum of squares for each instrument. Rank only on rebalance bars and never rescan history.