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Very cool. I have revisited the WTI/Brent spread trade a few times in the last few years - actually wrote a simple algo using Quandl data for USO and BNO, two E
by jstauth 13y ago
Very cool. I have revisited the WTI/Brent spread trade a few times in the last few years - actually wrote a simple algo using Quandl data for USO and BNO, two ETFs linked to the WTI and Brent futures. I would love to update it to use this continuous futures contract logic and see how it does. https://www.quantopian.com/posts/brent-slash-wti-spread-fetcher-example https://www.quantopian.com/posts/brent-slash-wti-spread-fetc...
- shogunmike 13y agoA nice algo with a good Sharpe. Although I'm not sure I could stomach a 37% drawdown!
- jstauth 13y agoThanks. The drawdown is not ready for prime time indeed, I haven't traded it for that (among other) reasons. But I like the idea a lot and the futures linked ETFs seemed like an easier place to start that the contracts themselves.
- shogunmike 13y agoFutures linked ETFs in general are a great approach that have really helped "retail" traders get access to a previously difficult market. Ernest Chan provides some good examples re GLD/GDX spreads, for instance.