{"id":43778,"date":"2025-12-27T12:11:10","date_gmt":"2025-12-27T11:11:10","guid":{"rendered":"http:\/\/david.melich"},"modified":"2025-12-27T12:11:10","modified_gmt":"2025-12-27T11:11:10","slug":"sample-strategy-2-short-term-reversal-with-futures-2","status":"publish","type":"post","link":"https:\/\/vvv.quantpedia.com\/es\/sample-strategy-2-short-term-reversal-with-futures-2\/","title":{"rendered":"Sample strategy #2 &#8211; Crude Oil Predicts Equity Returns"},"content":{"rendered":"<p>\n\tAcademic research confirms it is and what&rsquo;s more &#8211; it shows that oil isn&lsquo;t the only commodity with prediction ability (prices of some industrial metals could also be used as equity indicators). <strong>Higher oil prices predict lower future equity returns<\/strong> and vice versa. Therefore simple market timing system which is using oil prices as an indicator to time equities can be constructed.<\/p>\n<p>\n\tThe source paper written by <strong>Driesprong, Jacobsen and Maat<\/strong> can be found on the following web page: <a href=\"http:\/\/papers.ssrn.com\/sol3\/papers.cfm?abstract-id=460500\">http:\/\/papers.ssrn.com\/sol3\/papers.cfm?abstract-id=460500<\/a><\/p>\n<p>\n\tIndicative <strong>performance<\/strong> is <span style=\"font-weight: bold;\">nearly<\/span><strong> 12%<\/strong> and estimated <strong>volatility<\/strong> is<span style=\"font-weight: bold;\"> less than<\/span><strong> 10%<\/strong>, therefore this strategy offers an atractive <strong>Sharpe Ratio<\/strong> of <strong>0.81<\/strong>.<\/p>\n<p>\n\tOur strategy overview with <strong>extracted trading rules<\/strong> and hypothetical <strong>performance chart with probability bands<\/strong> can be accessed here: <a href=\"http:\/\/\\\/\\\/new-fmhwbzh6ghd9hede.swedencentral-01.azurewebsites.net\/Screener\/Details\/96\">http:\/\/\\\/\\\/new-fmhwbzh6ghd9hede.swedencentral-01.azurewebsites.net\/Screener\/Details\/96<\/a><\/p>","protected":false},"excerpt":{"rendered":"<p>\n\t<strong>&nbsp;&nbsp; Crude oil<\/strong> is one of the most important commodities in the current global world. Simple logic says that oil prices should predict economy&rsquo;s performance and therefore should also have some predictive ability for equity returns. Is the price of oil really such a <strong>useful predictor<\/strong>?<\/p>","protected":false},"author":11586,"featured_media":0,"comment_status":"closed","ping_status":"closed","sticky":false,"template":"","format":"standard","meta":{"footnotes":""},"categories":[1],"tags":[],"class_list":["post-43778","post","type-post","status-publish","format-standard","hentry","category-uncategorized"],"_links":{"self":[{"href":"https:\/\/vvv.quantpedia.com\/es\/wp-json\/wp\/v2\/posts\/43778","targetHints":{"allow":["GET"]}}],"collection":[{"href":"https:\/\/vvv.quantpedia.com\/es\/wp-json\/wp\/v2\/posts"}],"about":[{"href":"https:\/\/vvv.quantpedia.com\/es\/wp-json\/wp\/v2\/types\/post"}],"author":[{"embeddable":true,"href":"https:\/\/vvv.quantpedia.com\/es\/wp-json\/wp\/v2\/users\/11586"}],"replies":[{"embeddable":true,"href":"https:\/\/vvv.quantpedia.com\/es\/wp-json\/wp\/v2\/comments?post=43778"}],"version-history":[{"count":0,"href":"https:\/\/vvv.quantpedia.com\/es\/wp-json\/wp\/v2\/posts\/43778\/revisions"}],"wp:attachment":[{"href":"https:\/\/vvv.quantpedia.com\/es\/wp-json\/wp\/v2\/media?parent=43778"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/vvv.quantpedia.com\/es\/wp-json\/wp\/v2\/categories?post=43778"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/vvv.quantpedia.com\/es\/wp-json\/wp\/v2\/tags?post=43778"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}