Multiple Spread Trading on Soft Commodities

MST is a strategy that can be applied indifferently, with the same algorithms, to numerous assets able to satisfy well defined correlation and cointegration criteria.

This is one of the most convincing proofs of strategy reliability: no optimization or algorithms customization is performed according to any specific basket of assets.

In this example a group of micro futures belonging to the soft commodities categories (corn, wheat, soybean) is considered.

On Sept 19th MST Algorithms had found the following linear combination (1000 USD margin):

Sell        5            CORN_Z9

Sell        11          WHEAT_Z9

Buy       20          SOYBEAN_X9

A long position has been open on Sept 19th and closed on Sept 23rd with a overall net profit of 465 USD in very low risk - market neutral conditions.