Is there a site, preferably, free, or a newsletter that lists or shows charts of all futures contracts and how much of contango or backwardation exists? An easy to read compendium of term structures for various futures, in other words.
Research help on Contango
- Thread starter Kirribilli
- Start date
Can you please be more specific. Contango is very different in different markets. You are using this term much too broadly.
I thought contango is when the spot is less than futures and backwardation the opposite? If the definition is different for different underlying, please educate me.
That is just a definition. The contango structure itself has different fundamental drivers in different markets. It's a very complicated mechanism and I've done a lot of research in this area. The definition itself serves you no purpose. Kind of like saying to make money trading one should seek to buy low and sell high.
Well if you have any academic papers in this area, send me a link, please.
I do but they are not available for distribution. They are proprietary and I use them for trading. If you have specific questions I'll try to offer whatever feedback I can.
http://www.bi.edu/InstitutterFiles/Samfunnsøkonomi/Papers/Fall 2013/Pedersen.pdf
A naive strategy of going long contango does pretty well,
I use it myself
GAT
Recent article
http://www.followingthetrend.com/2016/11/a-very-different-kind-of-trend-model/
There is some data on this site but I think it's behind the paywall.
You can also get the raw prices and construct it yourself from something like quantopian
GAT
Everyone thinks he's the first person to 'discover' contango and backwardation.
Everyone thinks he's the first person to 'discover' contango and backwardation.
I don't think he was implying he discovered it, I think he was asking to learn about it. I give him credit for that. There is far more value in that then studying trend lines.