I want to make a portfolio in the commodity futures market. Which indicators are better for choosing a contract? Is it correlation coefficient or mean square deviation?
Don't use the method of stock allotment to make futures. There is an essential difference between the two. There are many ways to choose a contract, such as single-variety arbitrage, cross-variety arbitrage, or direct unilateral speculation. Correlation coefficient and mean square error are only methods of stock, which are not applicable to futures. I suggest you learn risk-free arbitrage, or directly speculate in futures unilaterally.