Trading the Curve – Technical Analysis without Historical Prices

A presentation as part of the 50th Anniversary of the CMT Association’s Annual Symposium in New York City.

What if it was possible to build a profitable systematic trading model, using no historical data, no indicators, no fundamental data, no stop loss, and no target price? This presentation aims to introduce a potentially new way of approaching market analysis which is currently only applied by futures trading professionals. Technical Analysis is traditionally based on historical data, which can be analyzed visually in a chart or mathematically using time series analysis. There is, however, no reason for this to be a limitation.

Using the information found in the term structure of futures markets we can extend our technical toolkit and broaden our scope. The key point of this presentation will be to investigate if there is a predictive value in this term structure information and if we can trade based on nothing but this curve. All rules and details will be explained, allowing the participants to replicate and verify the claims and conclusions.