To round off a series on backwardation, contango and roll yield (posts 1, 2 and 3), let’s put all this info together and use it in an innovative trading strategy to show how it can improve the performance of a Trend Following system by optimising its roll yield component (note: this could also be applied […]
Entries Tagged as 'DB'
Better Trend Following via improved Roll Yield
July 26th, 2010 · 31 Comments · Futures, Strategies, Trend Following
Tags: DB·roll yield