Gold and Silver: Imply reversion and Statistical significance


After the latest drops I ran MC simulations on gold (GC=F) and silver (SI=F) futures after latest drops. Each hit what appears like statistical extremes over 90 days:

Gold: Presently at -4.seventh percentile (began $5318, now $4745) Silver: Presently at -2.2th percentile (began $114, now $78)

However I'm second-guessing whether or not the identical framework applies to commodities futures:

Fairness logic: High quality shares mean-revert as a result of earnings/fundamentals anchor worth. A -7% drop on strong fundamentals = alternative.
Commodity logic: No earnings, no money flows, simply provide/demand/sentiment. Does "statistical excessive" imply the identical factor?

Particular issues:
Contango/backwardation – Futures time period construction issues, MC simulation ignores this fully
Imply reversion assumption – Equities revert to elementary worth. What do commodities revert to? Storage prices? Marginal manufacturing value?

Volatility clustering – Each displaying 17-38% annualized vol. Is historic vol even related for commodities or does regime change sooner?

No "fundamentals" to test – With shares I confirm earnings/steerage. With gold/silver… test what? Greenback energy? Actual charges? That's macro, not elementary.

Nonetheless new to futures and questioning if I can nonetheless apply the identical toolset I’ve been utilizing on equities.

The query:
Does Monte Carlo percentile evaluation on commodities futures simply inform me "worth moved loads" with out the basic anchor that makes it actionable for equities?

Or am I overthinking this and statistical extremes + imply reversion work the identical no matter asset class in trending markets?

Anybody run comparable evaluation on futures? Does it translate or am I making an attempt to suit the flawed instrument to the asset?

submitted by /u/futurefinancebro69
[comments]



Source link

Related articles

Poland’s ascent from communist state to prime 20 financial system reverses the mind drain | Poland

Above the rain-soaked streets of Warsaw, the commentary deck of the Varso tower overlooks Joseph Stalin’s present to Poland that has divided opinion for many years.For some, the Soviet-era Palace of Tradition and...

Australian jobs information due imminently

Excessive danger warning: Overseas alternate buying and selling carries a excessive stage of danger that is probably not appropriate for all buyers. Leverage creates further danger and loss publicity. Earlier than you determine...

Dips, Peaks, and Peace of Thoughts

I’ll be sincere with you. I'd like to inform you gold is headed to some big quantity by subsequent spring. Loads of people on this enterprise do precisely that, and I’m certain it...

BingX EU Secures Austrian MiCA Licence to Enter 29 EEA Markets

Plus500 Plans US Tremendous-App; Investec to Provide IG Platform Plus500 Plans US Tremendous-App; Investec to Provide IG Platform ...

UK Dealer Targets 1,053 Shedding BitMEX Trades in £20 Million Declare

BitMEX Dealer Seeks 324.8 BTC Again, Leaving Different Trades Untouched Of the roughly 2,294 trades Lewis Barber positioned on BitMEX, his lawsuit challenges 1,053. All of them misplaced cash. He needs the...
spot_img

Latest articles

LEAVE A REPLY

Please enter your comment!
Please enter your name here

WP2Social Auto Publish Powered By : XYZScripts.com