用 COT 报告择时商品与标普 500

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学术论文

如何择时商品市场

作者Devraj Basu; Roel C. A. Oomen; Alexander Stremme

机构
  • SKEMA Business School
  • SKEMA Business School - Lille Campus
  • London School of Economics and Political Science
  • Deutsche Bank (United Kingdom)
  • Deutsche Bank AG (London)
  • London School of Economics & Political Science (LSE) - Department of Statistics
  • University of Warwick
  • University of Warwick - Finance Group

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付费套餐可解锁完整推导、交易规则、Python 与成交记录。策略库约 20% 保持免费。

投资标的:BIL、SHY。再平衡:每周。Universe: BIL, SHY. Parameters: rebalance=weekly.