Commodities carry

Commodity futures quietly pay 'rent' as they roll from month to month. We aim to collect that rent — a stream that has almost nothing to do with the stock market.

How we test a System

• Idea. We write the rules down and freeze them before any test runs.
• Backtest. We test on years of history. Most ideas die right here.
• Walk-forward. We re-test on data the tuning never saw — the honest check.
• Paper. We trade it live with fake money for weeks, before any real capital.
• Live. Real money — only after everything above has passed.

What we’re exploring

Nothing is frozen here yet — this System is still in exploration. Here’s where we’re digging:

• Curve carryGo long the flatter back of the futures curve and short the steeper front, and collect the roll-yield difference across dozens of commodities. It's paid for by producers and consumers who must hedge whatever the price.
• Index congestionThe big commodity indexes are forced to roll their futures on the same known days each month. Trade just before or after that rush hour and get paid for the timing.

Seeded from a Flirting with Models episode on Commodity QIS (one-way feed: podcast → idea → candidate → System).

← All Systems