ML's cumulative pnl curve looks very nice - could you please elaborate on how intermarket spreads can lead to that type of curve for past 10 yrs?
Yeah I guess so ... it's a systematic strategy and 10yr cumulative pnl curve looks nice... maybe too good to be true?
How does a "massive increase in OI in the back months" lead to a very nice looking cumulative pnl curve for the past many years? Is there anything that's fundamental and structural?
Are you sure that's based on physical commodities? Not just a basket of futures, etc.? I cannot imagine you can incorporate physicals in your backtest and going back many years... We can talk about equity vol strategies later... I am interested in those too... but right now lets focus on this "curve alpha" trading strategy...