Original title: Strategie pro spreadové obchodování futures kontraktů
Translated title: Strategies for Spread Trading using Futures Contracts
Authors: Gottlieb, Oskar ; Krištoufek, Ladislav (advisor) ; Čech, František (referee)
Document type: Bachelor's theses
Year: 2017
Language: eng
Abstract: [eng] [cze]
The focus of this thesis are futures spreads, more specifically trading strategies based on two approaches - cointegration tested on inter-commodity spreads and seasonality observed amongst calendar spreads. Commodity pairs which we identify to be cointegrated are tested for four mean reversion strategies, three of them being based on fair value approach, the fourth on the relative value approach. Similarly calendar spreads exhibiting seasonality are optimized for naive buy and hold trading strategies. Both approaches are tested on in-sample and out-of-sample data. Amongst seasonal strategies we have not found a pattern yielding sufficiently profitable signals in both in-sample and out-of-sample periods. Inter-commodity spreads on the other returned profitable strategies on cointegrated spreads which were also similar in physical nature. The exception to that rule were spreads known well in the industry, which failed to deliver positive results in the out-of-sample period. Tato práce se zaměřuje na spready na futuritních trzích, konkrétně studuje obchodní strategie založené na dvou přístupech - kointegrace otestovaná na inter-komoditních spreadech a sezónnost kterou pozorujeme na kalendářních (intra-komoditních) spreadech. Na párech kontraktů, které jsou kointegrované budeme testovat strategie založené na návratu k průměru. Tři strategie budou využívat filtr tzv. 'férové hodnoty', jedna bude pracovat s hodnotou relativní. Podobným způsobem budeme na kalendářních spreadech testovat strategie typu "buy and hold". Všechny strategie testujeme na in-sample a out-of-sample datech. Sezónní strategie nevygenerovaly dostatečně ziskové strategie, některé inter-komoditní spready se naopak ukázaly jako profitabilní v obou testovacích periodách. Výjimku u inter-komoditních spreadů tvořily zejména všeobecně známé spready, které v out-of-sample testech neobstály.
Keywords: Commodities; Futures spread; Seasonality; Time series analysis; Trading; Trading strategies; Analýza časových řad; Futures spready; Komodity; Obchodování; Sezónnost; Trading; Trading strategie

Institution: Charles University Faculties (theses) (web)
Document availability information: Available in the Charles University Digital Repository.
Original record: http://hdl.handle.net/20.500.11956/85872

Permalink: http://www.nusl.cz/ntk/nusl-357154


The record appears in these collections:
Universities and colleges > Public universities > Charles University > Charles University Faculties (theses)
Academic theses (ETDs) > Bachelor's theses