Question: Decide on an algorithm in which it will be invested in three commodities. Cant hold for more than two days. Calculate Sharpe Ratio of commodities

  • Decide on an algorithm in which it will be invested in three commodities. Cant hold for more than two days.
  • Calculate Sharpe Ratio of commodities and make sure it is optimised. And the volatility is not much higher than the mean volatility of the month of each commodity. How would you define the trading strategy? You have some time to think about it. The conditions are:
    • Three commodities that need to trade in the CME
    • Need to optimise your portfolio
    • Maximise the Sharpe ratio and the volatility of the portfolio needs to be lower than the sum of the volatility of the three commodities over 30 days. How would you design a trading strategy?
    • Show me the system. The instruments you can use: swaps, futures and options.

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