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THE USE OF FUTURES MARKETS BY HEDGERS
THE PERFORMANCE OF A HEDGE
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1985/86 Parameters tested agricultural APRIL contract Average Net Return Baltic Exchange break-even price cash and futures cash sales closing prices commodity considered day moving average delivery month E/V analysis efficient frontier expected return forward pricing fundamental analysis futures contract futures position futures prices harvest hedger Heifner identify increased Largest margin call linear programming London Potato Futures loosing trades mean and variance measure movement in prices November contract number of trades Optimal parameter sets optimisation period oscillator point and figure portfolio Potato Futures Market potato market price band price change price channel price movements prices move Producer Price Profit per Tonne risk and return risk averse routine hedging Schwager Scottish Agricultural Colleges season selective hedging strategies semivariance simple moving average specific stochastic dominance storage Strategy H Table Target Motad technical analysis Test of Strategy test period Total Number trade signal trade-off trading activity trading rules trading systems trailing stop UK potato