These Jupyter notebooks implement the Carry as well as the Carry-Momentum strategy for WTI futures. Details about the two strategies can be found inside the notebooks. Here these two strategies are benchmarked against the results presented in [1] for 2023 and then are used to produce results for the one-year period from June 2023 to June 2024. The data for WTI is downloaded from the IBKR platform using the IB-insync library.
The Carry strategy generated an annualized log-return of 20.3% over the thirty-year period from 1992 to 2022 with a Sharpe ratio of 0.53 [2]. In comparison, the S&P 500 index between February 1992 and May 2024 had a compound annual growth rate of 10.89% and a Sharpe ratio of 0.67. Similarly, the Carry-Momentum strategy yielded 24.7% annualized log-returns with Sharpe ratio 0.64 for the 30-year period from 1992 to 2022 (see [2]).
[1] I. Bouchouev, Energy Quantamentals: Myths and Realities about Algorithmic Oil Traders, Oxford Institute for Energy Studies (2024).
[2] I. Bouchouev, Virtual Barrels, Springer Texts in Business and Economics (2023).
Maintained by Stergios Katsanoulis,
skatsanoulis at gmail dot com
July 09, 2024.