Commodity Futures Trading Strategies: Trend-Following and Calendar Spreads

This brief article discusses the most common strategies employed by futures traders, namely trend-following and calendar-spread trading. One typically finds that institutionally-scaled futures programs employ trend-following algorithms. Here, the key is employing such algorithms across numerous and diverse markets such that the overall portfolio volatility is dampened. On the other end of the spectrum are calendar-spread strategies. These strategies typically have limited scalability but individually can potentially have quite consistent returns.

This is a working paper version of an article that was later published in the Spring 2017 Global Commodities Applied Research Digest.