commodities-spread-trading

What problem does it solve?

This Skill streamlines the process of quantitative research, implementation, and production controls for commodities spread trading, addressing challenges related to curve seasonality, storage effects, and basis shocks.

Core Features & Use Cases

• Reproducible Research: Ensures trading strategies are developed with clear hypotheses, leak-safe features, and aligned targets.
• Robust Diagnostics: Implements detailed checks for signal monotonicity, capacity stress, regime dependency, and cost-adjusted performance.
• Controlled Rollout: Enforces risk controls like exposure ceilings, concentration caps, and deactivation triggers for safe deployment.
• Use Case: Use this skill to analyze the seasonality of natural gas spreads, build a trading signal based on storage levels, and stress-test its performance before deploying it to production.

Quick Start

Run the commodities spread trading diagnostics script with the input file 'input.csv' and save the output to 'diagnostics.json'.