Systematic Trading in Energy Markets

Joaquin Narro and Monica Caamano

Systematic trading follows a methodical approach, based on quantitative techniques, to uncover market inefficiencies and define persisting trading rules and risk controls with the objective of making structured investment decisions. Because of the rule-based nature of the investment process, systematic trading is open to, but does not necessarily require, automatisation. The data required for the development of systematic strategies can be a combination of price and fundamental data. If it were only price data, we would typically label our system as “technical”, otherwise we call it “fundamental”.


Although we tend to think of systematic trading as incompatible with discretionary trading, the truth remains that voiding the entire systematisation process of discretionary decisions is practically impossible in energy markets. Examples of potential discretionary interferences that could affect even the most systematic of energy strategies include the following.

    • Manual execution: An execution window that requires manual intervention is a quintessential example of potential discretionary deviation in systematic energy strategies. Manual execution is a

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