Financialmarkets are markets in which financial assets whose values depend on the valueof products and services provided by their issuing companies are exchanged. Inthe field of market forecasting inmodern financial sciences, a lot of researches have been done to explain thepredictive components of the financial markets. Over the past decade, futuresthat are considered as derivatives financial instruments have experienced animpressive increase in financial investor demand and in addition they haveprovided high liquidity markets for attracting short-term investors. Hence inthis thesis, we study whether simple technical trading strategies enjoyinglarge popularity among practitioners can be employed profitably in the contextof hedge portfolios for gold coin futures market on the Tehran Stock Exchange. Thesestrategies are based on mean-reverting calendar spread portfolios. Since theseprice anomalies that lead to mean-reversion rarely occur in the data and thisalso leads to a reduction in the number of transactions, therefore to use thismethod efficiently, it's necessary to keep away as much as possible the valueof the asset from the mean and for this purpose to formulate this strategy it'salso necessary to form a portfolio in the next step. Calendar spread portfoliosare the trading tools that use the arbitrage opportunities due to temporarypricing abnormalities between the same assets but with different futurematurities and it's necessary to form this portfolio, creating colander spreadportfolios with dynamic hedge ratios. This rate is presented in this study withthe Kalman filter tool, which is one of the most widely used means forestimating the hedge ratio. In the following entry exit signals aregenerated by Bollinger bands. The significance of results is evaluated with a Bootstraptest in which randomly generated orders are compared to orders placed by thetrading algorithm. Ultimately, obtained results show that all used colanderspreads with different signaling systems have a better ratio in compare to buy hold strategy. Therefore, the result of this study will confirm, profitabilityof all calendar spreads and also inefficiency for gold coin futures market onthe Tehran Stock Exchange in the short term.