Work detail

Strategies for Spread Trading using Futures Contracts

Author: Bc. Oskar Gottlieb
Year: 2017 - summer
Leaders: doc. PhDr. Ladislav Krištoufek Ph.D.
Consultants:
Work type: Bachelors
Language: English
Pages: 81
Awards and prizes:
Link: https://is.cuni.cz/webapps/zzp/detail/185484/
Abstract: The focus of this thesis are futures spreads, more specifically trading strategies based on
two approaches - cointegration tested on inter-commodity spreads and seasonality observed
amongst calendar spreads. Commodity pairs which we identify to be cointegrated are tested
for four mean reversion strategies, three of them being based on fair value approach, the
fourth on the relative value approach. Similarly calendar spreads exhibiting seasonality are
optimized for naive buy and hold trading strategies. Both approaches are tested on
in-sample and out-of-sample data. Amongst seasonal strategies we have not found a pattern
yielding sufficiently profitable signals in both in-sample and out-of-sample periods.
Inter-commodity spreads on the other returned profitable strategies on cointegrated spreads
which were also similar in physical nature. The exception to that rule were spreads known
well in the industry, which failed to deliver positive results in the out-of-sample period.
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