2
Commodity Quant Strategy
24 August 2018
globalmarkets.bnpparibas
WTI crude oil
WTI had been in bull trend since August 2017. The current probability stands at 85%, above our
last update (Chart 4).
Charts 1-4 & Table 2: Current trend, performance and back testing - WTI crude oil
Sources: Bloomberg LLP, BNP Paribas
Brent crude oil
The model currently shows that Brent is in a bull cycle. The current probability stands at 84%.
We are opening a long Brent (COX8) position, allocation of 26 contracts, at USD 76.56/bbl.
Charts 5-8 & Table 3: Current trend, performance and back testing - Brent crude oil
Sources: Bloomberg LLP, BNP Paribas
Total PnL277.4%
Avg PnL2.5%
St Dev PnL7.5%
# Signals112
Avg Length PnL (weeks)3.7
Hit Ratio52%
Sample size (years)11
# Signals per year10.2
# Signals in the last 3M2
# Signals in the last 6M2
PnL in the last 3M-2.9%
PnL in the last 6M12.1%
Price change to trigger/end
bear trend (ceteris paribus)
-6.9%
-16.4%
Price change to trigger/end
bull trend (ceteris paribus)
30
60
90
120
150
Mar-07Mar-09Mar-11Mar-13Mar-15Mar-17
Bull Cycles
Bear Cycles
WTI crude oil
30
60
90
120
150
Mar-07Mar-09Mar-11Mar-13Mar-15Mar-17
Bull Cycles
Bear Cycles
WTI crude oil
0%
33%
67%
100%
Bull CycleNo Trend
Bear cycleCurrent Probability
1 week ago probability1 month ago probability
85%
Bull Trend
BearTrend
No Trend
277.4%
2.7%
-50%
35%
120%
205%
290%
Mar-07Mar-09Mar-11Mar-13Mar-15Mar-17
Bull/Bear trend strategy return - WTI
Long Only Strategy return - WTI
Total PnL214.1%
Avg PnL1.9%
St Dev PnL7.5%
# Signals111
Avg Length PnL (weeks)3.5
Hit Ratio49%
Sample size (years)11
# Signals per year10.1
# Signals in the last 3M2
# Signals in the last 6M3
PnL in the last 3M-1.7%
PnL in the last 6M-4.8%
Price change to trigger/end
bear trend (ceteris paribus)
-4.4%
-10.6%
Price change to trigger/end
bull trend (ceteris paribus)
30
60
90
120
150
Mar-07Mar-09Mar-11Mar-13Mar-15Mar-17
Bull Cycles
Bear Cycles
Brent crude oil
30
60
90
120
150
Mar-07Mar-09Mar-11Mar-13Mar-15Mar-17
Bull Cycles
Bear Cycles
Brent crude oil
0%
33%
67%
100%
Bull CycleNo Trend
Bear cycleCurrent Probability
1 week ago probability1 month ago probability
84%
Bull Trend
BearTrend
No Trend
214.1%
6.1%
-50%
10%
70%
130%
190%
Mar-07Mar-09Mar-11Mar-13Mar-15Mar-17
Bull/Bear trend strategy return - Brent
Long Only Strategy return - BrentCommodity Quant Strategy
24 August 2018
globalmarkets.bnpparibas
Gold
According to BNPP-TIF, gold has been in a bull trend since Dec 2016. The current probability
stands at 100% and this has not changed significantly in the past month.
Charts 9-12 & Table 4: Current trend, performance and back testing - Gold
Sources: Bloomberg LLP, BNP Paribas
Copper
The latest results indicate that copper is in a bull trend. The current probability stands at 94%.
The bull trend probability of copper has been decreasing over the last month.
Charts 13-16 & Table 5: Current trend, performance and back testing - Copper
Sources: Bloomberg LLP, BNP Paribas
Total PnL218.1%
Avg PnL3.1%
St Dev PnL6.4%
# Signals70
Avg Length PnL (weeks)5.4
Hit Ratio59%
Sample size (years)11
# Signals per year6.4
# Signals in the last 3M1
# Signals in the last 6M1
PnL in the last 3M-2.1%
PnL in the last 6M-2.1%
Price change to trigger/end
bear trend (ceteris paribus)
-14.1%
-21.3%
Price change to trigger/end
bull trend (ceteris paribus)
600
900
1,200
1,500
1,800
Mar-07Mar-09Mar-11Mar-13Mar-15Mar-17
Bull Cycles
Bear Cycles
Gold
600
900
1,200
1,500
1,800
Mar-07Mar-09Mar-11Mar-13Mar-15Mar-17
Bull Cycles
Bear Cycles
Gold
0%
25%
50%
75%
100%
Bull Cycle
No Trend
Bear cycle
Current Probability
1 week ago probability
1 month ago probability
100%Bull Trend
BearTrend
No Trend
218.1%
107.1%
-10%
40%
90%
140%
190%
Mar-07Mar-09Mar-11Mar-13Mar-15Mar-17
Bull/Bear trend strategy return - Gold
Long Only Strategy return - Gold
Total PnL163.6%
Avg PnL1.8%
St Dev PnL6.0%
# Signals91
Avg Length PnL (weeks)4.8
Hit Ratio54%
Sample size (years)11
# Signals per year8.3
# Signals in the last 3M2
# Signals in the last 6M3
PnL in the last 3M-7.6%
PnL in the last 6M-7.6%
Price change to trigger/end
bear trend (ceteris paribus)
-15.6%
-20.8%
Price change to trigger/end
bull trend (ceteris paribus)
2,500
4,500
6,500
8,500
10,500
Mar-07Mar-09Mar-11Mar-13Mar-15Mar-17
Bull Cycles
Bear Cycles
Copper
2,500
4,500
6,500
8,500
10,500
Mar-07Mar-09Mar-11Mar-13Mar-15Mar-17
Bull Cycles
Bear Cycles
Copper
0%
20%
40%
60%
80%
100%
Bull CycleNo Trend
Bear cycleCurrent Probability
1 week ago probability1 month ago probability
94%Bull Trend
BearTrend
No Trend
163.6%
18.0%
-50%
-10%
30%
70%
110%
150%
Mar-07Mar-09Mar-11Mar-13Mar-15Mar-17
Bull/Bear trend strategy return - Copper
Long Only Strategy return - CopperCommodity Quant Strategy
24 August 2018
globalmarkets.bnpparibas
Aluminium
Aluminium is trendless, with no big changes from last week update. Current probability stands
at 51%.
Charts 17-20 & Table 6: Current trend, performance and back testing - Aluminium
Sources: Bloomberg LLP, BNP Paribas
Nickel
Nickel has continued in a bull trend cycle. Current probability stands at 67%.
Charts 21-24 & Table 7: Current trend, performance and back testing - Nickel
Sources: Bloomberg LLP, BNP Paribas
Total PnL138.5%
Avg PnL1.6%
St Dev PnL5.8%
# Signals88
Avg Length PnL (weeks)5.1
Hit Ratio52%
Sample size (years)11
# Signals per year8.0
# Signals in the last 3M2
# Signals in the last 6M6
PnL in the last 3M0.7%
PnL in the last 6M-11.3%
Price change to trigger/end
bear trend (ceteris paribus)
2.0%
-2.5%
Price change to trigger/end
bull trend (ceteris paribus)
1,200
1,700
2,200
2,700
3,200
Mar-07Mar-09Mar-11Mar-13Mar-15Mar-17
Bull Cycles
Bear Cycles
Aluminium
1,200
1,700
2,200
2,700
3,200
Mar-07Mar-09Mar-11Mar-13Mar-15Mar-17
Bull Cycles
Bear Cycles
Aluminium
0%
20%
40%
60%
80%
100%
Bull Cycle
No Trend
Bear cycle
Current Probability
1 month ago probability
51%
Bull Trend
BearTrend
No Trend
138.5%
-18.8%
-50%
0%
50%
100%
150%
Mar-07Mar-09Mar-11Mar-13Mar-15Mar-17
Bull/Bear trend strategy return - Aluminium
Long Only Strategy return - Aluminium
Total PnL268.8%
Avg PnL2.2%
St Dev PnL6.9%
# Signals124
Avg Length PnL (weeks)3.3
Hit Ratio52%
Sample size (years)11
# Signals per year11.3
# Signals in the last 3M4
# Signals in the last 6M8
PnL in the last 3M-0.9%
PnL in the last 6M-7.3%
Price change to trigger/end
bear trend (ceteris paribus)
-1.9%
-7.2%
Price change to trigger/end
bull trend (ceteris paribus)
7,500
18,500
29,500
40,500
51,500
Mar-07Mar-09Mar-11Mar-13Mar-15Mar-17
Bull Cycles
Bear Cycles
Nickel
7,500
18,500
29,500
40,500
51,500
Mar-07Mar-09Mar-11Mar-13Mar-15Mar-17
Bull Cycles
Bear Cycles
Nickel
0%
20%
40%
60%
80%
100%
Bull CycleNo Trend
Bear cycleCurrent Probability
1 week ago probability1 month ago probability
67%
Bull Trend
BearTrend
No Trend
268.8%
-67.2%
-100%
0%
100%
200%
300%
Mar-07Mar-09Mar-11Mar-13Mar-15Mar-17
Bull/Bear