Various trend-following trading rules have been shown to be valuable for predicting market directions and thus the formulation of investment strategies. However, recent equity market research has provided striking evidence that the predictive power of such rules appears to diminish over time due to increased investor attention and lowered arbitrage barriers. Given that trend-following rules are also very successful and have been widely used in futures markets, we analyze whether a similar effect can be observed for commodity futures contracts. Using a trend regression approach based on time-varying success ratios, we detect significantly higher predictive accuracy for cross-sectional than for time-series strategies. In addition, with the exception of a few commodities, we find no significant trending behavior in trading rule reliability. These results, which are robust in a variety of settings, indicate strong momentum stability in futures markets and justify the application of this class of trading rules in commodity futures investing.

各种遵循趋势的交易规则已显示出对预测市场方向以及因此制定投资策略的价值。但是，最近的股票市场研究提供了惊人的证据，表明这些规则的预测能力随着时间的推移而逐渐减弱，这归因于投资者的关注度增加和套利壁垒降低。鉴于遵循趋势的规则也非常成功，并且已在期货市场中得到广泛使用，因此我们分析了商品期货合约是否可以观察到类似的效果。使用基于时变成功率的趋势回归方法，我们发现横截面的预测准确性明显高于时间序列策略。此外，除少数商品外，我们在交易规则的可靠性中没有发现明显的趋势行为。