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Commodity Pairs trading with dynamic cointegration
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Resumo(s)
This paper investigates the efficacy of a commodity pairs trading strategy using a dynamic
cointegration approach. It analyses 17 commodities futures from 2007-2022, employing a rolling
cointegration method to identify mean-reverting pairs. The strategy optimizes pairs selection and
utilizes cointegration as a trading signal. It demonstrates robust performance with notable risk adjusted returns, especially after selection of the top performing pairs. The study contributes to
pairs trading strategies and provides insights into alternative applications of cointegration.
Descrição
Palavras-chave
Cointegration Commodities Futures Quantitative strategies Pairs trading