Evaluating Trend‐Based Strategies in Chinese Commodity Futures Markets

Yiran Zheng, Xili Zhang, Donald Lien and Xiaojian Yu

Journal of Futures Markets, 2025, vol. 45, issue 12, 2282-2313

Abstract: We examine the performance of trend‐based strategies in Chinese commodity futures markets, using a data set of 64 commodity futures from 2003 to 2023. We find that TSMOM strategies generate high returns. The performance is not driven by specific sample periods or individual commodity futures. TSMOM factors also exhibit strong explanatory power for other commodity portfolios, including newly developed trend‐based strategies. Decomposition analysis reveals key drivers, including the autocovariance of commodity returns, independent predictive effects, the distribution of volatility‐managed weights, and a non‐positive risk‐return relationship. We develop four enhanced strategies to improve returns and risk control. All strategies remain robustly profitable after accounting for transaction costs.

Date: 2025
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Persistent link: https://EconPapers.repec.org/RePEc:wly:jfutmk:v:45:y:2025:i:12:p:2282-2313

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