Does anybody share python code of term structure trading on multiple asset?

General
1

Kindly share python code of term structure trading of futures, if any body have.

Thanks.

Vivek Sejpal

2

Hi Vivek,

Research, such as the study by Miffre et al., indicates that commodity momentum returns are linked to the tendency of commodity futures markets to exhibit backwardation or contango. The study concludes that a momentum strategy focusing on consistently trading the most backwardated or contangoed contracts can be profitable. As a result, the shape of the term structure or forward curve can serve as a useful proxy for assessing the momentum potential of a futures contract.

You check the notebook in Momentum Trading Strategies Course, (Section 20 unit 7) to understand how to implement it in Python.

Hope this helps