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Trading 'WEAT' Based on Wheat Futures Commitment of Money Managers

Hi All!

This is the first algorithm I have written here and thought it would be fun to share. Since joining, I have really enjoyed reading all of the great posts and the resources shared in the community and I look forward to continuing to learn! If you happen to take a look at this post and notice anything, I would really appreciate any feedback, tips, etc.

What I tried to do was fetch in CFTC data from Quandl, strip the 'Money Manager Long' and 'Money Manager Short' interest columns and calculate the long/short ratio. I then compared this with a rolling average of the ratio calculated over a 56 week period. I had the algorithm trade long/short depending on whether or not the ratio was above/below the longer-term average.

What I had the algorithm trade is the ETF WEAT. It is the only equity security I know of that "directly tracks" wheat future prices. However, It poses a few issues - it has only been trading since 9/19/2011 and it is relatively illiquid. Nonetheless, I thought this would be fun to code and to incorporate some different data.

Clone Algorithm
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Backtest from to with initial capital
Total Returns
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Alpha
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Beta
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Sharpe
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Sortino
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Max Drawdown
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Benchmark Returns
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Returns 1 Month 3 Month 6 Month 12 Month
Alpha 1 Month 3 Month 6 Month 12 Month
Beta 1 Month 3 Month 6 Month 12 Month
Sharpe 1 Month 3 Month 6 Month 12 Month
Sortino 1 Month 3 Month 6 Month 12 Month
Volatility 1 Month 3 Month 6 Month 12 Month
Max Drawdown 1 Month 3 Month 6 Month 12 Month
# Backtest ID: 55cd72050dff430c64ccef90
There was a runtime error.
3 responses

Hey Jonathan, nice work! This is a very solid first algorithm. I looked through your code, and you paid excellent attention to detail.

I concur that WEAT poses some issues -- it's not been trading long, and notably, it has only been trading during an exceptional bull market. It'd be nice to see a more liquid ETF that's been trading for longer. Is there any reason why you picked WEAT in particular? I think there might be better commodities you can try trading -- surely the crucial 'Money Manager' data would exist for those, as well?

@jonathan what does this algo do.. when short interest spikes you sell the stocks? and why use leverage ?

Jonathan, we just added futures to the platform, including Wheat futures. If you're interested, the announcement post has the details on what we added.

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