An Empirical Investigation of Optimal Energy Futures Rolling.

Chrilly's Toolbox of Energy Futures Trading

“…This strategy is based on the S&P GSCI Dynamic Roll Methodology (see [1] and [5]). One calculates the spread to the next-nearer Future for each Future.…”

“…The idea of this strategy is similar to the previous one. But instead of the S&P GSCI Dynamic Roll one extends the The Deutsche Bank Liquid Commodities Indexes Optimum Yield to Long/Short (see [1]). The index methodology determines on the 1 st business day the Future with the maximum implied yield and rolls on business day 2 to 6.…”

“…The relation has reversed in recent years. The usual explanations are market and logistic frictions (see also [1]). Graphic-11 shows the prices of the 1 st Future for CL (red) and LCO (yellow) in the last 10 years.…”

“…Graphic-11 shows the prices of the 1 st Future for CL (red) and LCO (yellow) in the last 10 years. The strategy calculates for both Futures the implied roll-yield of equation (1). One goes the minimum roll-yield short.…”

“…But there are several of them. According the results in [1] the effects are too small to be -after trading costs -exploitable. Additionally one has a considerable higher calendar-spread risk.…”