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Combining Term Structure and Momentum in Commodity Futures
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Author Combining Term Structure and Momentum in Commodity Futures
nodoodahs
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PostPosted: Tue Dec 29, 2009 11:19 pm    Post subject: Combining Term Structure and Momentum in Commodity Futures Reply with quote
http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1127213

Simple mechanized system for commodity futures markets. I checked IASG for CTAs with track records over ten years long, for any that compounded better than these ... there weren't very many.
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