Commodity Futures Trading Strategies: Trend-Following and Calendar Spreads
Till and Eagleeye (2017) study momentum and trend following across several asset classes. The abstract does not mention a benchmark, an out-of-sample test, transaction costs, multiple testing or the size of the universe.
“This brief article discusses the most common strategies employed by futures traders, namely: trend-following and calendar-spread trading.”
AssetMulti-assetfutures
StrategyMomentumpairs trading
Missing from abstract: benchmark, out-of-sample test, costs, multiple testing, universe
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The paper's neighbourhoodMomentum and trend following by year
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