How do I choose a Commodities Trading Advisor (CTA)

Discussion in 'Trading' started by qtip, Mar 13, 2008.

  1. qtip


    Can anyone point me in the right direction for resources that give in detail how to choose a Commodities Trading Advisor based on quantitative methods.

    Also, what software packages are available.

    Thanks so much!
  2. TT1


    Try or ....its a start.
  3. qtip


    I have been two both of these sites.

    I was thinking more of something to back test against different benchmarks based off a certain time from the past.

    CTA B vs. the S&P 500 from 2001 - 2007
  4. I do not understand this post above.

    Can any one explain to me?

  5. A CTA's disclosure docs will have monthly stats. To compare with the S&P just enter monthly S&P returns into excel, and then the same for the CTA's, right?

    Maybe a better question is, what role are you looking for a CTA to fulfill? For example S&P options sellers are great until the world falls apart, so maybe not great diversifiers... Other kinds of CTA's will generally be profitable while stocks aren't.

    Also, options sellers will often exhibit low volatility in their returns until they take a big loss, so their stats can be misleading. 5 years of a great method is meaningless if your strategy will blow up the accounts once per decade...

    Sometimes new CTA's can outperform, and you may be able to avoid a initial fee. Fabozzi has a good book on managed futures returns and judging them. Message me and I'll see if I have a pdf...