Research Article
[Retracted] Research on the Performance of the Trend Following Trading Strategy in the Chinese Commodity Market
Table 1
Statistics for backtesting results.
| | Original (in sample) | Original (out of sample) | Refinement (in sample) | Refinement (out of sample) |
| | Return | | | | | | Cumulative return | -5.93% | -0.51% | 22.35% | 9.67% | | Annualized return | -0.70% | -0.27% | 2.35% | 4.89% | | Sharpe ratio | -0.52 | -0.225 | -0.014 | 0.21 | | IR | -0.06 | -0.013 | 0.08 | 0.19 | | Transaction cost | 0.96% | 0.22% | 8.05% | 1.56% |
| | Risk | | | | | | Volatility | 6.08% | 12.11% | 7.84% | 11.75% | | Skewness | 0.19 | 0.29 | -0.05 | 0.27 | | Kurtosis | 7.81 | 3.91 | 5.52 | 1.58 | | Maximum drawdown | -10.46% | -10.93% | -14.03% | -7.12% | | VaR (95%) | 0.58% | 1.21% | 0.78% | 1.23% | | VaR (99%) | 1.13% | 2.48% | 1.38% | 2.16% | | Calmar ratio | 0.07 | 0.024 | -0.17 | -0.69 | | Efficacy | 37.50% | 45.45% | 37.66% | 59.09% |
| | Correlation | | | | | | Correlation (commodity index) | 46.66% | 57% | 36.02% | 47.22% | | Correlation (stock index) | 44.28% | 35% | 34.59% | 32.01% |
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