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Backtesting and Evaluation of Different Trading Schemes for the Portfolio Management of Natural Gas

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  • Popov, Maxim

    (Nexus Energie GmbH)

  • Madlener, Reinhard

    (E.ON Energy Research Center, Future Energy Consumer Needs and Behavior (FCN))

Abstract

The aim of our research is to test and evaluate the technical indicators and oscillators, which are commonly used on other stocks and commodity markets (e.g. moving averages, stochastic oscillator, etc.) in terms of their efficiency at the present European natural gas virtual trading points (VTPs). The decisive factors are the achievable cost savings in purchases. The scope of our work includes the testing of trading systems on historical prices of European natural gas VTPs. These trading systems will be compared with each other and evaluated in terms of their efficiency and long-term stability. The results show that in more than half of the cases, the average buying price of natural gas is lower than the median price; hence the use of technical-indicator-based trading systems in natural gas procurement portfolio management would be beneficial.

Suggested Citation

  • Popov, Maxim & Madlener, Reinhard, 2014. "Backtesting and Evaluation of Different Trading Schemes for the Portfolio Management of Natural Gas," FCN Working Papers 5/2014, E.ON Energy Research Center, Future Energy Consumer Needs and Behavior (FCN).
    • Handle: RePEc:ris:fcnwpa:2014_005
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    References listed on IDEAS

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    More about this item

    Keywords

    Portfolio management; Virtual trading point; Title transfer facility; Backtesting; Natural gas;
    All these keywords.

    JEL classification:

    • C63 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computational Techniques
    • D22 - Microeconomics - - Production and Organizations - - - Firm Behavior: Empirical Analysis
    • F14 - International Economics - - Trade - - - Empirical Studies of Trade
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • Q37 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Nonrenewable Resources and Conservation - - - Issues in International Trade

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