Typically, trend-following systems span multiple asset classes in order to reduce correlations. There could be a case for applying a trend-following system over equities and commodities in India. However, not all commodities trade and activity profiles can be vastly different.
![](https://github.com/stockviz/blog/blob/master/commodities/mcx-volumes/basic.volume-by-minute.png?raw=true)
It appears that most of the trading activity at the MCX occurs between 6pm and 9pm.
![](https://github.com/stockviz/blog/blob/master/commodities/mcx-volumes/basic.volume-by-hour-ticker.png?raw=true)
Not all listed commodities trade…
![](https://github.com/stockviz/blog/blob/master/commodities/mcx-volumes/basic.agg-volume-by-ticker.png?raw=true)
… and most of the activity centers around silver and natural gas – two of the most volatile commodities.
It maybe worthwhile to add at least some of these tickers into the mix and measure their effect on trend-following portfolios.
Comments are closed, but trackbacks and pingbacks are open.