gonna start tracking simple quantamental model CL f'casts

Discussion in 'Commodity Futures' started by Bastion_01, Sep 8, 2021.

  1. #11     Sep 9, 2021
  2. Updated the predictive variable basket to include Real GDP, along with the FOMC projections for the expected change in RGDP in the coming quarters. Also added COT Managed Money positions, as %s of nearest strip futures OI.

    Latest estimate is at -1.5%~ for the coming few days. This is slightly more bearish than yesterday, but still relatively weak compared to the prior big moves.

    Attached is a recent window fit of the latest quantamental model. Actual sample used is from 2013, and the histograms would be too small to be easily read.


    Statistical details, graphs, performance tracking are updated at https://bastion.substack.com/p/wti-quantamental-fcast-update-v02
     
    #12     Sep 9, 2021
  3. #13     Sep 10, 2021
  4. Latest estimate turned weakly bullish at +2.2%~ for the coming few days.

    Attached is a recent window fit of the latest quantamental model. Actual sample used is from 2013, and the histograms would be too small to be easily read.

    Statistical details, graphs, performance tracking are updated here.
     
    #14     Sep 13, 2021
  5. #15     Sep 14, 2021
  6. Latest estimate is at +4.3~ bullish still.

    Attached is a recent window fit of the latest quantamental model. Actual sample used is from 2013, and the histograms would be too small to be easily read.

    Statistical details, graphs, performance tracking
     
    #16     Sep 15, 2021
  7. updated with latest FOMC GDP projections. Current outlook turned a bit more bullish short term
    [​IMG]
     
    #17     Sep 22, 2021
  8. updated quantamental model outlook, still bullish.
    [​IMG]
     
    #18     Sep 23, 2021
  9. updated quantamental model outlookcis still bullish for the coming month,
    [​IMG]
     
    #19     Sep 28, 2021
  10. Latest model price bias is still bullish, [​IMG]

    I will also begin to estimate probably price distribution for the coming month, of the 2nd expiration futures. Current median forecast is at $80~
    [​IMG]
     
    #20     Sep 29, 2021