A market scoring mechanism for trading of German electricity futures

Tarjei Kristiansen

Journal of Energy Markets

Abstract: We present a novel systematic commodity trading model utilizing a time series momentum strategy. The main innovation is a scoring mechanism to generate buy and sell signals, including determining the position size. The model is applied to the German electricity futures market and its price drivers: the momentum and volatility of the German front quarter, the Argus/McCloskey’s Coal Price Index (API 2) coal and emissions. We test the systematic model on data from November 2010 to December 2019 for several strategies. The model outperforms a basic short sale model. The application of the model yields improved risk-adjusted returns. This paper provides, to the best of our knowledge, the first description of a systematic trading approach to German electricity futures.

References: Add references at CitEc
Citations:

Downloads: (external link)
https://www.risk.net/journal-of-energy-markets/789 ... -electricity-futures (text/html)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:rsk:journ2:7899076

Access Statistics for this article

More articles in Journal of Energy Markets from Journal of Energy Markets
Bibliographic data for series maintained by Thomas Paine ().