Mishin A.A.Vladimir State University named after Alexander and Nikolay Stoletovs, Vladimir, Russian Federation email@example.com ORCID id: 0000-0002-4849-0710
Importance This article deals with the strategies of derivative financial instrument trading. Objectives The paper aims to describe and develop a trading algorithm of gold futures calendar spreads with low correlation to the overall market (S&P500) and minimum drawdowns. Methods For the study, I used general scientific and special research methods of analysis, synthesis, experiment, and comparison. Results This article suggests an algorithm for gold futures calendar-spread trading strategy. The strategy is based on the assumption that there is a predictable commercial or institutional interest in a particular futures contract. Conclusions and Relevance The strategy analysis confirms the logic of using the calendar spread strategy consisting of buying futures contracts in summer with the date of expiration in winter. The paper assumes that there is the overall bullish trend in the gold market for the analyzed period. This may be a consequence of world demand for metals in volatile markets, so this strategy should be used in growing markets.
Cootner P. Speculation and Hedging. Food Research Institute Studies, 1967, vol. 7, pp. 64–105.
Fung W., Hsieh D. The Risk in Hedge Fund Strategies: Alternative Alphas and Alternative Betas. In: The New Generation of Risk Management for Hedge Funds and Private Equity Investments. Ed. by L. Jaeger. London, Euromoney Books, 2003, pp. 72–87. URL: https://doi.org/10.4236/jmf.2016.61004
Durham J.B. The Effect of Monetary Policy on Monthly and Quarterly Stock Market Returns: Cross-Country Evidence and Sensitivity Analyses. FRB Finance and Economics Discussion Paper, 2001, vol. 42., pp. 95–113.
Chan E. Machine Trading: Deploying Computer Algorithms to Conquer the Markets. Wiley Trading, 2017, 246 p.