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• Spread trading the CRB Index by John J. Murphy and David J. Hirschfeld

  ARTICLE SYNOPSIS ...Spread trading the CRB Index by John J. Murphy and David J. Hirschfeld This article really has two aspects. The first is to introduce the concept of relative strength analysis to commodity markets utilizing CRB Index futures. The second aspect is to show how relative strength (or ratio) analysis can be used as a stepping stone for intermarket spread trading between individual commodity markets and CRB Index futures. Relative strength analysis used in this context refers to the comparison of two different entities, usually through ratio analysis, and is not to be confused with the Relative Str...

AUTHOR: John J. Murphy and David J. HirschfeldDATE: MAY 1988