Can commodity futures be profitably traded with quantitative market timing strategies?
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There is no clear consensus on the predictability of technical trading rules in the literature, with many papers indicating that technical trading rules do not offer any predictive power, especially once transaction costs have been accounted for.
“Despite these findings, there is no clear consensus on the predictability of technical trading rules in the literature, with many papers indicating that technical trading rules do not offer any predictive power, especially once transaction costs have been accounted for”
From Technical trading and cryptocurrencies (2021) · cites this paper as Marshall et al. 2008a,b
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de Souza, W. A. D. R., Filho, M. M. D. C., Filho, J. G. M., & Marques, P. V. (2013) · RAM. Revista de Administração Mackenzie · doi:10.1590/s1678-69712013000400007 · Cited by 1 · see citing works
Trepeka, M. (2014) · DSpace repository (University of Tartu) · Cited by 1 · see citing works
Essays on commodity futures markets
Δασκαλάκη, Χ. (2012) · doi:10.12681/eadd/31675 · Cited by 1 · see citing works
EU ETS Market Interactions: A Multiple Hypothesis Testing ApproachPreprint
Cummins, M. (2012) · SSRN Electronic Journal · doi:10.2139/ssrn.2161246 · Cited by 1 · see citing works
Common Industry Exposure in Seemingly Unrelated CommoditiesPreprint
Chng, M. T. S. (2008) · SSRN Electronic Journal · doi:10.2139/ssrn.1282096
Strategic Commodity Allocation and The Theory of StoragePreprint
Six, P. (2011) · SSRN Electronic Journal · doi:10.2139/ssrn.1928620
Individual Dynamics: From Trends to Risks
Chevallier, J., & Ielpo, F. (2013) · doi:10.1002/9781118710098.ch1
New Testing Procedures to Assess Market Efficiency with Trading RulesPreprint
Bell, P. N. (2026) · SSRN Electronic Journal · doi:10.2139/ssrn.6077675
Are There Exploitable Trends in Commodity Future Prices?Preprint
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- Authors
- Marshall, B. R., Cahan, R. H., & Cahan, J. M.
- Affiliations
- Massey University (NZ)
- Corresponding author
- Marshall, Ben R.
- ORCID
- Marshall, Ben R.
- Venue
- Journal of Banking & Finance
- Publisher
- Elsevier BV
- Published
- 2008-09
- Volume
- 32
- Issue
- 9
- Pages
- 1810-1819
- ISSN
- 0378-4266 (ISSN-L)
- OpenAlex
- W3123631543
- Cited by
- 118
- References
- 33
- Citations by year
- 2026: 2 · 2025: 4 · 2024: 2 · 2023: 4 · 2022: 2 · 2021: 10 · 2020: 4 · 2019: 6 · 2018: 9 · 2017: 7 · 2016: 6 · 2015: 17 · 2014: 10 · 2013: 10 · 2012: 7
- FWCI
- 7.10
- Type
- journal article
- Language
- en
- Open access
- green
- doi.org
- Locations
- Journal of Banking & Finance (publishedVersion)
- SSRN Electronic Journal (acceptedVersion)
- RePEc: Research Papers in Economics (submittedVersion)
- Topics
- Social Sciences › Economics, Econometrics and Finance › Finance › Financial Markets and Investment Strategies
- Social Sciences › Decision Sciences › Management Science and Operations Research › Stock Market Forecasting Methods
- Social Sciences › Economics, Econometrics and Finance › Economics and Econometrics › Market Dynamics and Volatility
- Keywords
- commodity futures, trading rules, data snooping bias, bootstrapping, random walk hypothesis
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Registry, retraction, Cites and statistics results are computed, not judged, with one exception: a printed reference that no index lists is read once by a model before it counts as a citation error. Claims are extracted by a model and kept only when their quote appears verbatim in the text; each cited source is then checked, with a model’s help, for whether it says what the claim relies on. Those verdicts can be wrong — read the claim’s quote and the cited source before relying on one.
Statistics and arithmetic are recomputed, not judged.
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