Scholarlink

This study investigates if the Rate of Change (ROC), a common measure of the direction and magnitude of a trend, is reliable to predict U.S. Henry Hub Natural Gas futures prices. The methodology focuses on the ROC and/or Moving Average (MA) price crossover models within a trading system. Monthly futures prices of natural gas are collected for the period May 2004–July 2024. Performance is measured using both Sharpe and Sortino ratios to consider both total and downside risks. The model is evaluated against a naïve buy-and-hold strategy. Findings suggest that the ROC using a period of 10 months provides a superior return per unit of risk relative to the naïve buy-and-hold strategy. There was no downside risk due to the presence of solely positive returns under the ROC-10 model. Supplementing the ROC-based model with a price crossover MA strategy did not improve the performance of the model.

错误：搜索内容不能为空，请输入英文关键词
错误：关键词超出字数限制，请精简
高级检索

The Performance of Momentum Trading Strategies in the U.S. Natural Gas Futures

  • 会议论文

  • 发表日期：

    2025年

查看全文
  • Ikhlaas Gurrib,
  • Dalia Hamdan,
  • Olga Starkova

摘要

This study investigates if the Rate of Change (ROC), a common measure of the direction and magnitude of a trend, is reliable to predict U.S. Henry Hub Natural Gas futures prices. The methodology focuses on the ROC and/or Moving Average (MA) price crossover models within a trading system. Monthly futures prices of natural gas are collected for the period May 2004–July 2024. Performance is measured using both Sharpe and Sortino ratios to consider both total and downside risks. The model is evaluated against a naïve buy-and-hold strategy. Findings suggest that the ROC using a period of 10 months provides a superior return per unit of risk relative to the naïve buy-and-hold strategy. There was no downside risk due to the presence of solely positive returns under the ROC-10 model. Supplementing the ROC-based model with a price crossover MA strategy did not improve the performance of the model.