Data for: Trading on mean-reversion in energy futures markets

Abstract of associated article: We study whether simple technical trading strategies enjoying large popularity among practitioners can be employed profitably in the context of hedge portfolios for Crude Oil, Natural Gas, Gasoline and Heating Oil futures. The strategies tested are based on mean-reverting calendar spread portfolios established with dynamic hedge ratios. Entry and exit signals are generated by so-called Bollinger Bands. The trading system is applied to twenty-two years of historical data from 1992 to 2013 for various specifications, taking transaction costs into account. The significance of the results is evaluated with a bootstrap test in which randomly generated orders are compared to orders placed by the trading system. Whereas we find most combinations involving the front-month and second-month futures to be significantly profitable for all commodities tested, the best results for the risk-adjusted Sharpe Ratio are obtained for WTI Crude Oil and Natural Gas, with Sharpe Ratios in excess of 2 for most combinations and a rather smooth performance for all calendar spreads. Based on our results, there is a serious doubt whether energy futures markets can be considered weakly efficient in the short-term.

关联论文摘要：本研究探讨在原油、天然气、汽油及取暖油期货的对冲组合场景中，那些在实务界广受欢迎的简易技术交易策略能否实现盈利。本次测试的策略基于采用动态对冲比率构建的均值回归日历价差组合，交易的入场与离场信号由所谓的布林带（Bollinger Bands）生成。本交易系统针对1992年至2013年共计22年的历史数据，结合多种参数规格进行回测，并将交易成本纳入考量。结果的显著性通过bootstrap检验（bootstrap test）进行评估：将交易系统生成的订单与随机生成的订单进行对比分析。研究发现，绝大多数涉及近月与次月期货的组合，在所有测试商品中均实现了显著盈利；而就经风险调整后的夏普比率（Sharpe Ratio）而言，最优结果出现在西德克萨斯中质原油（WTI Crude Oil）与天然气品类中，多数组合的夏普比率均超过2，且所有日历价差的业绩表现均较为平稳。基于上述研究结果，能源期货市场在短期维度是否可被认定为弱式有效，尚存严重质疑。