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- W4297129116 abstract "Production spread is a traditional trading strategy in the Western futures market, but with limited attention in the Chinese market. It tracks movements of price differences between raw material futures and final product futures, profiting when the difference returns from a more extreme value to the mean. This project investigates the efficacy of applying production spread strategy in the Chinese futures market. In this work, a sample portfolio is constructed with three pairs of commodities. The model is back-tested with market data from 2014.5 to 2018.12 as in-sample period, and 2019.1–2021.8 as out-of-sample period. The experiment returned 2.67% annualized return in the in-sample period, and −0.59% for out-of-sample. The low return could be attributed to the price volatility of the commodities due to various events in the period. Based on the results, though trading this strategy now is not recommended, there is plenty of space for refinements for this model." @default.
- W4297129116 created "2022-09-27" @default.
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- W4297129116 date "2022-01-01" @default.
- W4297129116 modified "2023-10-16" @default.
- W4297129116 title "Efficacy of Production Spread Strategy in the Chinese Futures Market" @default.
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- W4297129116 doi "https://doi.org/10.1007/978-981-19-5727-7_70" @default.
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