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Backtesting

2 articles on backtesting.

AllBacktesting2Cocoa1Cross market1El nino1Oil1Positioning1Softs1Sugar1
Two bars: our cocoa model's Sharpe ratio over 2011-2026, 1.08 without El Niño and 0.97 with it
Markets

Should cocoa traders follow El Niño?

On 10 September NOAA put the chance of a very strong El Niño above 90%. We measured what El Niño told a cocoa trader since 2011: added to our cocoa model, it lowered the result, and the model did better with it in one season only, 2023-24.

The AlphaGen Team7 min
Sugar and Brent rebased to their 23 June low, rising together through the summer
Markets

The best way to trade the oil shock is a sugar contract

Sugar has risen +31.8% since late June. Oil has risen +30.0%. Two markets that normally ignore each other are moving as one — and it is possible to work out which is in charge.

The AlphaGen Team3 min