This article examines whether momentum‐based trading strategies work in the commodity futures markets. Using a wide range of moving average trading rules, commodities are ranked from best‐ to worst‐performing. Then investors are allowed to take long positions in best‐performing commodities and a short position in the least attractive commodity. Findings suggest that investors can earn statistically significant profits from the commodity futures markets. Moreover, it is found that short‐selling improves commodity profits and profits are both data frequency and sub‐sample dependent. © 2014 Wiley Periodicals, Inc. Jrl Fut Mark