Strategy #0000000123 · Commodity futures and term structure
Commodity-futures basis momentum
Enter nearby/deferred momentum, assumed long/short basket returns and costs.
Basis momentum compares trailing returns on nearby and next-nearby futures, using term-structure changes to capture commodity supply/demand and risk transfer. Research finds a cross-sectional signal distinct from conventional momentum, roll yield and hedging pressure; contract rolls, seasonality and costs matter. This scenario loads no futures curves or historical returns.
No futures history, roll schedule, collateral yield or trading-capacity model is loaded.
Three ways in
Understand the story. Then inspect the risk.
Start with a familiar situation, check the payoff, then test how the numbers change.
The idea · in two minutes
What are near-versus-deferred momentum and the assumed long-short return spread?
Basis momentum compares trailing returns on nearby and next-nearby futures, using term-structure changes to capture commodity supply/demand and risk transfer. Research finds a cross-sectional signal distinct from conventional momentum, roll yield and hedging pressure; contract rolls, seasonality and costs matter. This scenario loads no futures curves or historical returns.
Enter nearby/deferred momentum, assumed long/short basket returns and costs.
No futures history, roll schedule, collateral yield or trading-capacity model is loaded.
- Input assumptionsEnter nearby/deferred momentum, assumed long/short basket returns and costs.
- Model outputNo futures history, roll schedule, collateral yield or trading-capacity model is loaded.
Illustrative research examples only. They are not live signals or a recommendation.
The mechanics · payoff and exposure
BM_i=Mom_{12}(F_{1,i})-Mom_{12}(F_{2,i})
Near/deferred momentum and basket returns are user-entered; the example only computes their difference.
Greeks: the directional intuition
- 模型
- Measures sensitivity to implied volatility.
- 合約
- Measures sensitivity to implied volatility.
- 執行
- Measures sensitivity to implied volatility.
BM_i=Mom_{12}(F_{1,i})-Mom_{12}(F_{2,i})
Practical context · published observations
Commodity-futures basis momentum: read the record with its caveats.
The chart uses the published figures or explicitly labelled study inputs below. A historical index or model replay is not the same as an investor’s realised account return.
No futures history, roll schedule, collateral yield or trading-capacity model is loaded. Source ↗ · Methodology ↗
Change assumptions and inspect the scenario
Inputs illustrate the strategy mechanics; they are not live quotes, forecasts or investment advice.
Variants · same family, different risk levers
Models, contract terms and implementation can change results.
Compare relevant mechanisms and execution assumptions.
| Related strategy | Relationship | What changes | New cost or risk |
|---|---|---|---|
| Base scenario | Manual inputs | Basis momentum compares trailing returns on nearby and next-nearby futures, using term-structure changes to capture commodity supply/demand and risk transfer. Research finds a cross-sectional signal distinct from conventional momentum, roll yield and hedging pressure; contract rolls, seasonality and costs matter. This scenario loads no futures curves or historical returns. | No futures history, roll schedule, collateral yield or trading-capacity model is loaded. |
| Conservative version | Higher cost/loss | Stress higher costs, larger losses or lower liquidity. | May lower scenario returns. |
| Validation version | Data review | Test model inputs with consistent contracts and timestamps. | Needs licensed, representative data. |
No futures history, roll schedule, collateral yield or trading-capacity model is loaded.
Read beyond the summary
References
Primary sources and research used to describe the strategy and its limits.
- 01Boons & Prado (2019), Basis-Momentumresearch