NexusFi: Find Your Edge


Home Menu

 





Crude Oil Multiple Regression Modeling


Discussion in Commodities

Updated
    1. trending_up 1,241 views
    2. thumb_up 7 thanks given
    3. group 2 followers
    1. forum 6 posts
    2. attach_file 0 attachments




 
Search this Thread

Crude Oil Multiple Regression Modeling

(login for full post details)
  #1 (permalink)
worldbfree
Houston
 
Posts: 17 since Feb 2018
Thanks Given: 4
Thanks Received: 12

Hello,

I wanted to know if anyone here has applied multiple regression to their crude oil trading. I've built a relative-value model using some US Gulf Coast physical grades. I wanted to see if anyone else has done this or not.

Creating fundamental models can be difficult when it comes to backtesting mostly because the dynamics of the market change every couple of years. How have you tackled this issue?

Any thought or ideas on this topic?

Thank you!

Reply With Quote
The following user says Thank You to worldbfree for this post:

Can you help answer these questions
from other members on NexusFi?
ZombieSqueeze
Platforms and Indicators
NT7 Indicator Script Troubleshooting - Camarilla Pivots
NinjaTrader
Looking for an MQL4 MetaTrader programmer/coder
The Elite Circle
Futures Close-Out Policy
Commodities
Request for MACD with option to use different MAs for fa …
NinjaTrader
 
Best Threads (Most Thanked)
in the last 7 days on NexusFi
Just another trading journal: PA, Wyckoff & Trends
33 thanks
Daytrading ES & NQ
32 thanks
Battlestations: Show us your trading desks!
30 thanks
Spoo-nalysis ES e-mini futures S&P 500
28 thanks
Retail Trading As An Industry
25 thanks

(login for full post details)
  #3 (permalink)
 
SMCJB's Avatar
 SMCJB 
Houston TX
Legendary Market Wizard
 
Experience: Advanced
Platform: TT and Stellar
Broker: Advantage Futures
Trading: Primarily Energy but also a little Equities, Fixed Income, Metals and Crypto.
Posts: 5,015 since Dec 2013
Thanks Given: 4,339
Thanks Received: 10,115


I have models that look at curve shape but not at all the different grades. Very interesting. How do you handle the issue that part of the crude differentials are location driven rather than quality/value driven?

Reply With Quote
The following user says Thank You to SMCJB for this post:
(login for full post details)
  #4 (permalink)
worldbfree
Houston
 
Posts: 17 since Feb 2018
Thanks Given: 4
Thanks Received: 12


SMCJB View Post
I have models that look at curve shape but not at all the different grades. Very interesting. How do you handle the issue that part of the crude differentials are location driven rather than quality/value driven?

I think most market participants can't differentiate between grades so it becomes less of an issue in my opinion when trading financials. But grade diffs drive global arbs for crude so I try to model that in.

Reply With Quote
The following user says Thank You to worldbfree for this post:
(login for full post details)
  #5 (permalink)
 
SMCJB's Avatar
 SMCJB 
Houston TX
Legendary Market Wizard
 
Experience: Advanced
Platform: TT and Stellar
Broker: Advantage Futures
Trading: Primarily Energy but also a little Equities, Fixed Income, Metals and Crypto.
Posts: 5,015 since Dec 2013
Thanks Given: 4,339
Thanks Received: 10,115

Oh I agree. I was just thinking that when you look at the price of WTS at Midland, how much of that discount is due to grade and how much due to logistic constraints in the Permian Basin.

Reply With Quote
The following user says Thank You to SMCJB for this post:
(login for full post details)
  #6 (permalink)
worldbfree
Houston
 
Posts: 17 since Feb 2018
Thanks Given: 4
Thanks Received: 12


SMCJB View Post
Oh I agree. I was just thinking that when you look at the price of WTS at Midland, how much of that discount is due to grade and how much due to logistic constraints in the Permian Basin.

Good point, that's very hard to segregate in this particular model. If you think about it though, we (US) like to consume medium grade stuff, which we don't produce much of, and we export lighter bbls, which is mostly all we produce. I think they'll push as much as possible down to the coast for export. Last few weeks you're seeing Rig count either stay constant or actually decline and because of that I believe you're seeing Midland appreciate against WTI-Houston and Cushing. Pipes are running full but the magnitude of location-diffs can really help us predict where the main financial benchmark, Cushing, is heading ... at least this is what I'm trying to prove statistically ..

Reply With Quote
The following 2 users say Thank You to worldbfree for this post:
(login for full post details)
  #7 (permalink)
 
SMCJB's Avatar
 SMCJB 
Houston TX
Legendary Market Wizard
 
Experience: Advanced
Platform: TT and Stellar
Broker: Advantage Futures
Trading: Primarily Energy but also a little Equities, Fixed Income, Metals and Crypto.
Posts: 5,015 since Dec 2013
Thanks Given: 4,339
Thanks Received: 10,115

On the subject of Crude Grades and Locational Differences


Reply With Quote
The following user says Thank You to SMCJB for this post:





Last Updated on October 5, 2018


© 2024 NexusFi™, s.a., All Rights Reserved.
Av Ricardo J. Alfaro, Century Tower, Panama City, Panama, Ph: +507 833-9432 (Panama and Intl), +1 888-312-3001 (USA and Canada)
All information is for educational use only and is not investment advice. There is a substantial risk of loss in trading commodity futures, stocks, options and foreign exchange products. Past performance is not indicative of future results.
About Us - Contact Us - Site Rules, Acceptable Use, and Terms and Conditions - Privacy Policy - Downloads - Top
no new posts