Commodity momentum 12-1 · long/short 13 commodity ETFs (after Miffre & Rallis 2007)

by finzdata-research · published 2026-10-13 · expr · custom · 0 forks · 1 views

Long the 3 strongest and short the 3 weakest commodity ETFs by 12-1 month return, the long/short form tested in the paper. Falsified if the spread is not positive after 10 bps costs.

Backtest

Deflated Sharpe: 0.03 (n trials: 228) — the probability the Sharpe ratio is real after the number of variants tried.

Run id 17cf712ad1c0cad7 · snapshot v2026-10-12

Spec

{
  "costs_bps": 10,
  "end": "2025-12-31",
  "rebalance": "M",
  "side": "long_short",
  "signal": {
    "expr": "rank(ret(252) - ret(21))",
    "type": "expr"
  },
  "start": "2005-01-01",
  "top_n": 3,
  "universe": [
    "GLD",
    "SLV",
    "CPER",
    "PALL",
    "PPLT",
    "USO",
    "BNO",
    "UGA",
    "UNG",
    "DBA",
    "CORN",
    "WEAT",
    "SOYB"
  ]
}

Fork this strategy

curl -X POST https://api.finzdata.com/v1/hub/s/commodity-momentum-12-1-long-short-13-commodity-etfs-after-m-d58015/fork \
  -H 'Authorization: Bearer YOUR_KEY' -H 'Content-Type: application/json' \
  -d '{"changes": {"signal": {"lookback": 126}}}'

Fork the FinzData strategy commodity-momentum-12-1-long-short-13-commodity-etfs-after-m-d58015 and test it with a 126-day lookback and 20 bps costs, then compare both runs.

Historical simulation, not investment advice.

[![FinzData](https://data.finzdata.com/badge/commodity-momentum-12-1-long-short-13-commodity-etfs-after-m-d58015.svg)](https://data.finzdata.com/s/commodity-momentum-12-1-long-short-13-commodity-etfs-after-m-d58015)