ENSO Signals and Out-of-Sample Predictability in Soft Commodity Futures
“Comparing Ridge regression, XGBoost, and LightGBM, the transaction-cost-adjusted Ridge specification achieves an out-of-sample Sharpe ratio of 1.05.”
AssetCommoditiesfutures
StrategyMachine learning
TechniqueTree ensemble
FrequencyDaily
Also stated: 2023–2026, Sharpe ratio, Price and volume, out-of-sample test
Missing from abstract: benchmark, costs, multiple testing, universe
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