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Commodity Correlations

For this post I have collected monthly US Dollar price data – Not seasonally adjusted – from January 1980, to September 2016, for a range of commodities, and also included the data for a broad trade weighted index for the[...]

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Trend following and the LME tin market

Would a trend following strategy have beaten the market for LME tin 2007 – 2016? Using a rolling moving average1 of the closing price with a window of 252 days (simply chosen as it is a common number representing a[...]

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3m LME Tin Up And Down Days Part 2

In the first part of this series, I considered looked at whether a up day (defined as a closing price greater than the open) or a down day (defined as a closing price lower than the open) was more likely[...]

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What Determines Copper Prices? – Part 2

Previously I have pointed out the strong negative correlation between copper prices and the US Dollar trade weighted index. The US Dollar money supply (M2) grew from $4,046.7 billion in January 1998 to $11,506.9 billion in October 2014. This increase[...]

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What Determines Copper Prices? – Part 1

Much has been said of the impact of growing imports of refined copper into China in driving the price of copper. Significant attention is paid to the Chinese PMI’s in news reports concerning copper, and the LME price at least[...]

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