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Commodities Daily Price
This dataset includes daily price data for various commodities.
508,406 rows over 63 symbols, 7 columns, covering 1927-12-30 to 2026-07-31. Refreshed monthly.
Strategies Built on This Data
259 papers in the Papers With Backtest catalogue declare this dataset as an input. 231 of them have been coded and run over their own full history. The median replicated Sharpe ratio is +0.39, and 53% clear a t-statistic of 1.96 on their own sample, against 48% across all 4,837 replications in the library.
Some of the strongest results that lean on it:
| Strategy | Sharpe | t-stat | Tested over |
|---|---|---|---|
| Financialization in Commodity Markets | +0.98 | 5.8 | 35 years |
| Long-Run Reversal in Commodity Returns: Insights from Seven Centuries of Evidence | +0.63 | 3.7 | 35 years |
| Return and Risk in Commodity Futures Programs | +0.53 | 3.2 | 36 years |
| Optimal Trading of a Basket of Futures Contracts | +0.54 | 3.2 | 35 years |
A Sharpe ratio quoted without its t-statistic hides how much of the library cannot be distinguished from zero, which is why both are shown. The figures are in-sample over each strategy's own window and carry no transaction costs.
Why It Matters
This dataset enables systematic commodity trading and hedging strategies by:
- Cross-asset signals: Commodity trends inform inflation hedges and macro overlays for equity, FX, and rates portfolios.
- Mean-reversion and momentum: Daily OHLCV history supports both breakout and carry-style strategies across energy, metals, and agriculture.
- Risk budgeting: Realised volatility across energy, metals, grains and softs is what position sizing and stop placement are calibrated against.
Load It
Installation/Upgrade:
pip install --upgrade pwb-toolbox
Load the Dataset: Pass tickers such as CL1 or GC1 to focus on specific contracts.
from pwb_toolbox import datasets as pwb_ds
df = pwb_ds.load_dataset("Commodities-Daily-Price", symbols=["CL1"])
print(df.iloc[0, :])
Example Output:
symbol CL1
date 1985-02-15
open 27.85
high 28.01
low 27.55
close 27.8
volume 0
Columns
| Column Name | Description |
|---|---|
| symbol | Commodity ticker (e.g., energy, metals, agriculture). |
| date | Trading date (YYYY-MM-DD). |
| open | Opening price for the trading day. |
| high | Highest traded price during the session. |
| low | Lowest traded price during the session. |
| close | Closing settlement or reference price. |
| volume | Zero for 61 of the 63 symbols. The generic continuous contracts carry no volume of their own. |
What This Data Does Not Cover
Half the file is not a front-month future. Of the 63 symbols, 32 are generic continuous front-month contracts, the ones with a 1 suffix such as CL1, GC1 and W1. The rest are spot prices, physical benchmarks and indices, and three of them are not commodities at all: INDU:IDX, NDX:IDX and FUTU:US are equity series. INDU:IDX is also what makes the file start in 1927; no commodity series here begins before 1983.
Continuous series carry the roll. A generic front-month contract is stitched from successive expiries, so its long-run return includes the roll and is not the return of holding the physical.
Access
Browsing the card and the schema is open to anyone. Downloading the files needs an approved request, tied to a subscription: what each plan includes. The same subscription covers the other datasets in this organisation.
Elsewhere
- Dataset page and coverage charts
- The strategy catalogue, 3,806 papers and 4,837 replicated strategies
pwb-toolbox, the loader used in the snippet aboveawesome-systematic-trading, the replicated strategies with their measured Sharpe- Every dataset in this organisation
Papers With Backtest publishes 32 datasets on the Hub and codes the papers that use them. Every strategy in the catalogue is run over its own full history before it is published, which is where the numbers above come from.
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