commodity: Commodity Futures Data from 2003 to 2005.

Description Format Details

Description

This data frame contains the futures backtest results of 28 commodities from 2003-01-01 to 2005-12-30. The data frame contains daily positions and profits for each commodity.

Format

A data frame with 11 variables

  • name = The name of each commodity.

  • id = The specific ID for each commodity.

  • date = The individual trading date.

  • sector = The sector a commodity.

  • portfolio = The portfolio number the holding belongs to.

  • strategy = The strategy under which substrategies and portfolios are established. The same commodity can belong to different strategies at the same time.

  • substrategy = The substrategy under which portfolios are established. Substrategy is only a finer division of strategies.

  • gmv = The gross market value of the commodity on the trading date.

  • nmv = The net market value of the commodity on the trading date.

  • pnl = The adjusted P&L of a commodity on the trading date.

  • contract = The number of contracts of a commodity on that trading date.

Details

The commodity data frame contains three layers of complexity. The first layer is the strategy layer. The strategy column contains three different strategies that divide the whole data frame into three part. Each strategy is further divided into different substrategies, and all these substrategies are contained in the substrategy column. For each substrategy, different portfolios are formed regularly and overlapping with each other, so each substrategy is divided into different overlapping portfolios, contained in the portfolio column.



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