巴黎银行-全球-能源行业-全球市场：TIF模型更新，能源行业无止境-20181026-13页_671kb

TIF Model Update Summary: 26 October 2018

Core Content Overview

This document provides an update on the BNP Paribas Commodity Trend Following (TIF) model for the energy sector and other commodities. It outlines the current market trends, positions held by the model, and the rationale for closing or opening positions based on these trends.

Key Messages

• BNPP-TIF Model: The model has been in a bull cycle for several months, but the trend has now reversed into a trendless zone.
• WTI Crude Oil: The model previously held a long position, which is now closed due to the trend reversal.
• Aluminium: The model has moved from a bull trend to a bear trend, prompting the opening of a short position.
• Gold: Remains in a bull trend with a high probability of 100%.
• Copper: Still in a bull trend with a probability of 90%.
• Nickel: Transitioned from a trendless cycle to a bull trend with a probability of 61%.
• Zinc: Still in a trendless cycle with a probability of 51%.
• SPGS Energy: Also in a trendless cycle with a probability of 50%.

Current Positioning and Performance

Key Commodity Updates

WTI Crude Oil

• Trend: Previously in a bull trend, now in a trendless cycle.
• Action: Closed long position at USD66.78 /bbl with a -3.9% loss.
• Performance: Total PnL of 277.4%, average PnL of 2.5%, hit ratio of 52%.
• Signals: 112 total signals, 2 in the last 3M, 2 in the last 6M.

Brent Crude Oil

• Trend: Previously in a bull trend, now in a trendless cycle.
• Probability: 51%, up from the previous week.
• Performance: Total PnL of 214.1%, average PnL of 1.9%, hit ratio of 49%.
• Signals: 111 total signals, 2 in the last 3M, 3 in the last 6M.

Gold

• Trend: Bull trend since December 2016, probability remains at 100%.
• Performance: Total PnL of 212.9%, average PnL of 3.0%, hit ratio of 56%.
• Signals: 72 total signals, 1 in the last 3M, 1 in the last 6M.

Copper

• Trend: Bull trend, probability at 90%.
• Performance: Total PnL of 163.6%, average PnL of 1.8%, hit ratio of 54%.
• Signals: 91 total signals, 2 in the last 3M, 3 in the last 6M.

Aluminium

• Trend: Transitioned from bull to bear trend, probability at 23%.
• Action: Short position opened (LME, 3m) at USD1983/MT with 40 contracts.
• Performance: Total PnL of 138.5%, average PnL of 1.6%, hit ratio of 52%.
• Signals: 88 total signals, 2 in the last 3M, 6 in the last 6M.

Nickel

• Trend: Transitioned from trendless to bull trend, probability at 61%.
• Performance: Total PnL of 268.8%, average PnL of 2.2%, hit ratio of 52%.
• Signals: 124 total signals, 4 in the last 3M, 8 in the last 6M.

Zinc

• Trend: Trendless cycle, probability at 51%.
• Performance: Total PnL of 226.7%, average PnL of 2.4%, hit ratio of 44%.
• Signals: 94 total signals, 2 in the last 3M, 3 in the last 6M.

SPGS Energy

• Trend: Trendless cycle, probability at 50%.
• Performance: Total PnL of 124.1%, average PnL of 1.3%, hit ratio of 46%.
• Signals: 93 total signals, 3 in the last 3M, 5 in the last 6M.

Strategy Overview

BNPP offers three approaches:

• MarFA™ and multifactor models: Focus on contrarian strategies.
• BNPP-TIF: Aims to capitalize on strong serial correlation in commodity price returns.

Legal Notice

• This document is a marketing communication and not investment research.
• It is intended for professional clients and eligible counterparties.
• No liability is accepted for any reliance on the information provided.
• The information is based on public sources and may not be accurate or complete.
• Past performance is not indicative of future results.
• Transactions are subject to terms agreed upon by the parties involved.
• BNPP may have conflicts of interest and may engage in transactions inconsistent with the views expressed.

Additional Information

• The document includes performance data based on back-testing.
• It is not a prospectus and does not constitute an offer to sell or purchase any financial instruments.
• The information is confidential and may not be copied or distributed without prior written consent.