He, Chengying; Wang, Tianqi; Liu, Xinwen; Huang, Ke - In: Journal of innovation & knowledge : JIK 8 (2023) 4, pp. 1-12
index filtering. We use the data of 47 commodities with relatively good liquidity in the Chinese commodity futures market …. We apply the representative index of China's commodity futures market, "Wenhua Commodity Index" as the benchmark, to …%, but with maximum drawdown reached 15%. The values of our paper are, first it proves that Chinese commodity futures market …