Systems analysis and modeling: A learning experience based on commodity futures trading

The speculative environment of the commodities futures market offers a setting in which an experiment in systems analysis and modeling was conducted. The student's objectives were to: (1) Develop a systems understanding of the fundamental behavior of a market; (2) Study and test profit-oriented trading strategies and rules with a systems model that simulates futures trading; and (3) Draw conclusions as to the steps for implementing the results into a personal trading strategy. Various mechanical trading strategies were developed and tested through simulated trading activity in the cotton and pork bellies futures markets. This paper describes the design of the overall experiment and the analysis of several profitable trading strategies.