Alternative Investing: The Search for Profitable Trading Strategies in the U.S. Commodity Markets

Abstract

This thesis identifies the fundamentals of futures markets and tests for the viability of three different futures trading tactics: contango/backwardation ranking, long-short momentum, and long-short breakout tactics. This thesis determines that breakout strategies do not work and attempts to rationalize the shortcomings of the tactic. On the flip side, this thesis finds both the contango/backwardation ranking and momentum strategies to be profitable, generating annualized returns of up to 5.99% and 6.04% respectively. Consequently, it attempts to determine which of the two strategies is superior.