Crude Oil Futures - Stat Analysis on Fundamentals

Crude Oil Futures - Stat Analysis on Fundamentals


Job Description

To forecast Front Month of Crude Oil Futures via Statistical Analysis (PCA, Kalman, or any stochastic/non-parametric models). Model open for discussion and your inputs.

- US Dollar Index
- Crude Oil Inventories & Net Imports
- OPEC Spare Capacity
- A couple of major currency pairs

Create time-series model with forecast of (i) trading direction (via indicators), (ii) stop loss (via variance analysis/probability), (iii) position sizing (via risk/volatility).

Front Month futures contract refers to CLZ3 for this month:

Front Month 'rollsover' to the next/succeeding month when trading in the current delivery month stops. We can hence refer to: