MCX Commodity Momentum
Trend-follows the continuous futures curve on MCX — gold, silver, crude, copper, aluminium, zinc, natural gas and the rest — holding the four strongest by 3-month momentum with a positive long-term trend. Risk-parity weighted, monthly.
Why this is expected to work
Managed futures is the oldest systematic strategy still running at scale, and commodity trend is its core. The mechanism is structural: commodity prices are set by physical supply and demand that adjusts slowly — a mine takes years to open, a crop takes a season, a refinery cannot flex overnight — so a shock to either side produces a persistent price adjustment rather than an instant repricing. That is the opposite of an equity, where a discounted cash-flow revision can happen in a single tick. Moskowitz, Ooi and Pedersen documented time-series momentum across 58 futures markets over 25 years and found it in essentially all of them. Risk parity is not optional here: natural gas is several times as volatile as gold, so equal rupee weights would make the book a natural-gas bet with a commodity label. The series used are CONTINUOUS futures, stitched across contract expiries — which means the price includes roll effects and is not the return of any single tradeable contract. Treat it as a signal series, and expect real roll costs on deployment.
How the pipeline works
Actively traded
Keeps rows where volume > 0
volume > 0 200-day average
Computes sma_200 = @SMA(close, 200)
@SMA(close, 200) Above its long-term average
Keeps rows where close > sma_200
close > sma_200 Price 3 months ago
Computes price_3m_ago = @shift(close, 63)
@shift(close, 63) 3-month momentum
Computes momentum_3m = close / price_3m_ago
close / price_3m_ago Top 4 by 3-month momentum
Selects the top 4 by momentum_3m
What this template teaches
- Commodity futures as a security type
- Continuous futures series and their roll caveat
- Risk parity across assets with very different volatility
- Absolute + relative trend conditions stacked
Commodity Trend Following on MCX: The Oldest Systematic Trade
Commodity prices are set by physical supply and demand that adjusts slowly. A mine takes years to open, a crop takes a season — which is exactly why commodity trends persist.
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