算法交易流向支持布伦特原油购买 – 道明证券
量化基金正在推动近期原油价格波动,CTA的买入和WTI的空头回补可能会在布伦特原油上继续推动上涨,尽管近期俄罗斯制裁造成的干扰很小,道明证券(TDS)高级商品策略师丹尼尔·加利指出。

量化基金正在推动近期原油价格波动,CTA的买入和WTI的空头回补可能会在布伦特原油上继续推动上涨,尽管近期俄罗斯制裁造成的干扰很小,道明证券(TDS)高级商品策略师丹尼尔·加利指出。

CTA在原油市场建立净多头

“算法流动的设置仍然倾向于在接下来的交易中进行后续买入活动,即使CTA在本次交易中开始建立布伦特原油的净多头头寸。”

“即使在接下来的一周内市场平稳,CTA也将被迫在接下来的交易中继续回补WTI空头,而在最新的俄罗斯制裁方案后,价格的持续上涨可能会推动大规模买入,总计接近算法最大规模的+30%。”

“我们最终预计近期制裁的干扰将是最小的,但在短期内,量化基金的空头将推动接下来几天的价格走势。”

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