Commodity futures research
Basis Momentum
A Goldman-style F0/F6 replication and a liquidity-ranked L0-L1 / L0-L2 extension, published as compact reproducible research.
F0/F6: 2008-01-21 to 2026-07-10Liquidity comparison: 2019-01-07 to 2026-07-105 bp one-way cost
Risk Profiles
The unscaled F0/F6 baseline and 10% target-volatility overlay share the same signal and trading leg. They are presented separately because volatility scaling changes the risk profile.
Liquidity Extension
L0 is the nearest eligible contract. L1 and L2 are the next eligible deferred contracts. All three displayed strategies use the identical 1,820-day performance calendar; the blend is 50/50 of separately constructed books.
Reproducibility
The repository contains source modules, synthetic tests, compact checksummed snapshots, and an executed notebook. Raw market data and the SQLite database are intentionally absent.