Statistical Arbitrage for Commodity Futures Prices with MATLAB Implementation

In our daily operations, we frequently perform statistical analysis on commodity futures prices and execute corresponding arbitrage strategies. To enhance efficiency, we utilize a comprehensive MATLAB program that streamlines these processes. The program implements correlation analysis and cointegration tests to identify arbitrage opportunities between commodity pairs, featuring automated data fetching from market APIs and real-time price monitoring. Key functions include spread calculation, z-score normalization for signal generation, and risk-managed position sizing algorithms. We continuously optimize the program's statistical models and execution logic, incorporating moving average convergence divergence (MACD) indicators and volatility-adjusted threshold parameters to improve strategy performance. This ongoing development ensures the program effectively meets our evolving operational requirements while maintaining robust error handling and portfolio rebalancing mechanisms.