Summary

Leibniz COMMO is a pure commodities focused investment strategy. The algorithm detects trade-able patterns across 19 commodities markets and trades them in the most suitable sub-strategy based on daily observations. The strategy makes use of entry and exit algorithms to detect regimes and employs an active drawdown limiting system. The strategy rests on the GRAB strategy infrastructure which was developed in 2013 and ongoing research has lead to further improvement implementations. Average Holding period: 10 days