Commodity momentum 12-1 · top 4 of 13 commodity ETFs (after Miffre & Rallis 2007)
'Momentum Strategies in Commodity Futures Markets' found buying the best 12-month performers among commodities beats buying the worst. Approximation: commodity ETFs, top 4 by 12-1 month return. Falsified if it does not beat an equal-weight commodity basket.
Forward tracking started 2026-10-13. Results appear after 21 trading days.
Backtest
| Metric | Strategy | Benchmark |
|---|---|---|
| CAGR | 4.84% | 2.11% |
| Volatility | 21.80% | 18.18% |
| Sharpe | 0.33 | 0.21 |
| Max drawdown | -64.89% | -69.41% |
| Turnover (per year) | 2.12 |
Deflated Sharpe: 0.13 (n trials: 227) — the probability the Sharpe ratio is real after the number of variants tried.
Spec
{
"costs_bps": 10,
"end": "2025-12-31",
"rebalance": "M",
"side": "long",
"signal": {
"expr": "rank(ret(252) - ret(21))",
"type": "expr"
},
"start": "2005-01-01",
"top_n": 4,
"universe": [
"GLD",
"SLV",
"CPER",
"PALL",
"PPLT",
"USO",
"BNO",
"UGA",
"UNG",
"DBA",
"CORN",
"WEAT",
"SOYB"
]
}Fork this strategy
Re-run it with your own changes. The fork is computed on the server and linked back here.
curl -X POST https://api.finzdata.com/v1/hub/s/commodity-momentum-12-1-top-4-of-13-commodity-etfs-after-mif-b37817/fork \
-H 'Authorization: Bearer YOUR_KEY' -H 'Content-Type: application/json' \
-d '{"changes": {"signal": {"lookback": 126}}}'Or ask your AI assistant (Claude, ChatGPT, Cursor with the FinzData connector):
Fork the FinzData strategy commodity-momentum-12-1-top-4-of-13-commodity-etfs-after-mif-b37817 and test it with a 126-day lookback and 20 bps costs, then compare both runs.
Community
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