Commodities Backtesting: Futures, Rolls, and Seasonality

Commodities offer diversification and exposure to real-world shocks, but they are trickier to backtest than stocks. Futures contracts expire, roll costs matter, and seasonal patterns can be strong but fragile.

Continuous Futures and Rolls

A single futures contract lasts only a few months, so backtests use continuous data created by stitching together contracts. The method of rolling matters. Rolling on volume or open interest is common, but you must also account for the price gap, which can add or subtract returns.

Contango and Backwardation

Contango means future prices are above the spot price, which creates a headwind for long-only commodity strategies. Backwardation means future prices are below spot, which can create a tailwind. The term structure is a major driver of commodity returns and must be part of any realistic backtest.

Seasonality and Risk

Commodities often have seasonal patterns driven by harvests, weather, and consumption cycles. These patterns can be profitable but are also well known and can disappear after publication. Always validate seasonality on out-of-sample data and avoid overfitting to a few years.

Backtest Commodities in NeuroBacktest

With NeuroBacktest, you can backtest commodity strategies using continuous futures and realistic roll assumptions. Try: "Backtest a gold seasonal strategy using continuous futures from 2010 to 2024 with contango adjustment." The engine reports roll-adjusted returns and term structure impact.