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dc.contributor.authorLubnau, Thorben
dc.contributor.authorTodorova, Neda
dc.date.accessioned2018-11-13T03:11:44Z
dc.date.available2018-11-13T03:11:44Z
dc.date.issued2015
dc.identifier.issn0140-9883
dc.identifier.doi10.1016/j.eneco.2015.06.018
dc.identifier.urihttp://hdl.handle.net/10072/99193
dc.description.abstractWe study whether simple technical trading strategies enjoying large popularity among practitioners can be employed profitably in the context of hedge portfolios for Crude Oil, Natural Gas, Gasoline and Heating Oil futures. The strategies tested are based on mean-reverting calendar spread portfolios established with dynamic hedge ratios. Entry and exit signals are generated by so-called Bollinger Bands. The trading system is applied to twenty-two years of historical data from 1992 to 2013 for various specifications, taking transaction costs into account. The significance of the results is evaluated with a bootstrap test in which randomly generated orders are compared to orders placed by the trading system. Whereas we find most combinations involving the front-month and second-month futures to be significantly profitable for all commodities tested, the best results for the risk-adjusted Sharpe Ratio are obtained for WTI Crude Oil and Natural Gas, with Sharpe Ratios in excess of 2 for most combinations and a rather smooth performance for all calendar spreads. Based on our results, there is a serious doubt whether energy futures markets can be considered weakly efficient in the short-term.
dc.description.peerreviewedYes
dc.languageEnglish
dc.publisherElsevier
dc.relation.ispartofpagefrom312
dc.relation.ispartofpageto319
dc.relation.ispartofjournalEnergy Economics
dc.relation.ispartofvolume51
dc.subject.fieldofresearchEnvironment and Resource Economics
dc.subject.fieldofresearchApplied Economics
dc.subject.fieldofresearchMechanical Engineering
dc.subject.fieldofresearchElectrical and Electronic Engineering
dc.subject.fieldofresearchcode140205
dc.subject.fieldofresearchcode1402
dc.subject.fieldofresearchcode0913
dc.subject.fieldofresearchcode0906
dc.titleTrading on mean-reversion in energy futures markets
dc.typeJournal article
dc.type.descriptionC1 - Articles
dc.type.codeC - Journal Articles
gro.hasfulltextNo Full Text
gro.griffith.authorTodorova, Neda


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