MCP For Claude Marketplace
Futures Momentum Factor Strategy

Futures Momentum Factor Strategy MCP Connector for Claude

A+

A deterministic cross-sectional momentum strategy for commodities using rolling 12-month returns.

3 tools Official Updated Oct 1, 2026 Official Vinkius Partner
More Details Connect to Claude

This MCP server provides tools to execute a deterministic cross-sectional momentum strategy across commodity futures. It identifies long and short opportunities by ranking assets based on their 12-month momentum scores, specifically excluding the most recent month to avoid short-term reversals. The strategy includes a liquidity filter using Open Interest and calculates key metrics like momentum spread, momentum crash risk, and portfolio turnover. Use calculate_momentum_signals to generate rankings, get_portfolio_composition to determine asset weights, and analyze_strategy_performance to evaluate changes between periods.

momentumfuturescommoditiesquantitativestrategy

3 tools expose this connector's capabilities to your AI agent.

analyze_strategy_performance

Compare current period signals against the previous period to evaluate changes

calculate_momentum_signals

Generate core momentum ranking and trading signals

get_portfolio_composition

Retrieve the specific list of assets currently held in Long, Short, or Hold positions

See how to talk to your AI agent using Futures Momentum Factor Strategy.

Generate momentum signals for these commodities with a 252-day lookback and 21-day exclusion period.

The momentum spread is 0.045, and the top 5 commodities are Gold, Crude Oil, Copper, Natural Gas, and Corn.

What is the current portfolio composition using volatility weighting?

The long positions are Gold (0.25) and Copper (0.25), while the short positions are Natural Gas (0.25) and Corn (0.25).

Compare the current signals with the previous period to see the turnover.

The turnover rate is 20% and the spread change is 0.005.

The score is based on the 12-month return, calculated by comparing the price at the end of the lookback window (minus an exclusion period) to the price at the start of that window.

Related Connectors

Venture Portfolio Rebalancing

Venture Portfolio Rebalancing MCP

4 tools Official

Optimize portfolio rebalancing, tax efficiency, and risk management.

A+ View details →
SOPR & NUPL Bitcoin Strategy

SOPR & NUPL Bitcoin Strategy MCP

3 tools Official

Deterministic on-chain signals for Bitcoin market bottoms and tops.

A+ View details →
Grid Trading Strategy

Grid Trading Strategy MCP

3 tools Official

Automated grid trading for sideways markets with volatility filtering.

A+ View details →
Portfolio Rebalancing Engine

Portfolio Rebalancing Engine MCP

3 tools Official

Identify portfolio drift and generate precise buy/sell orders to align asset weights with target allocations.

A+ View details →