Trading Energy Futures Arbs-Driven ICE GO Futures Time Spread Forecasting

24th April 2025

How Physical Flows Reveal Tradable Signals in Diesel Futures

This paper explores the predictive relationship between arbitrage margins from key diesel-exporting regions and the ICE Gasoil (GO) Futures Time Spread by monitoring major arbitrage routes into Rotterdam from the Red Sea, USGC, WCI, and AG, benchmarked against competing discharge destinations across Southeast Asia, East Africa, North America, and South America.

We also use the Levy Area method to isolate the most influential arbitrage routes from a universe of 15 candidates, identifying those with the strongest lead indicators for ICE GO spread price movements.

We conducted two distinct analyses — both translating physical market insights into robust trading strategies. The study uses these signals, showing strong out-of-sample performance with Sharpe ratios of 1.2 and 2.15.

What Traders Will Learn:

• 🔍 Discover the arb routes that consistently lead ICE Gasoil time spreads — and the market dynamics behind them

• 🛠️ Understand how seasonal patterns impact arb–spread correlations — and why routes like Jubail to New York matters more than you might think

• 🤖 Learn a straightforward strategy to convert physical market signals into systematic actionable trades

• 🗓️ See how machine learning, using only arb data, cuts through noise to identify high-confidence signals