Momentum-Based Trading Strategies in Crude Oil ETFs And Futures

Abstract

This research explores momentum-based trading strategies applied to crude oil ETFs and futures markets. We developed long-short models that capitalize on price momentum patterns, achieving annualized returns of up to 19.9% over an 18-year testing period.

Methodology

Our approach combines technical analysis with quantitative modeling to identify momentum signals in crude oil markets. The strategy utilizes:

• Long-Short Framework: Systematically identifying entry and exit points based on momentum indicators
• Risk Management: Implementing position sizing and stop-loss mechanisms
• Backtesting: Rigorous historical testing over 18 years of market data

Key Results

• Annualized Returns: Up to 19.9% over the testing period
• Market Conditions: Strategy performance across various market regimes
• Risk-Adjusted Performance: Analysis of Sharpe ratios and maximum drawdowns

Implementation

The trading system was implemented using Python with extensive backtesting on historical ETF and futures data. Performance metrics were validated across multiple market cycles.

Conclusion

Momentum-based strategies demonstrate consistent alpha generation potential in crude oil markets when properly implemented with robust risk management protocols.

Publication Details

Published in: Stocks & Commodities Magazine (September 2025)
Authors: Shah, S., & Pinsky, E.