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commodity spreads
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Created: by brentf Attachments:15

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commodity spreads

  #31 (permalink)
Trading Apprentice
Bradenton, FL
 
Futures Experience: Advanced
Platform: tradestation
Favorite Futures: commodity futures
 
Posts: 7 since Aug 2013
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Interested


brentf View Post
I have traded commodity spreads for the past 30 years, looking to collaborate with another party to incorporate strategies into algorythims..any interest ?

Hi,

I've been trading off and on for a long time but am retired and am now trading full-time. I studied seasonals years ago and actually bought and used Jake Bernstein's seasonal studies books in the 90's.

I started using MRCI data several months ago and have traded about 75 spreads in the last six months. I use Tradestation and in the course of my spread trading have devised a few Easylanguage indicators that help me keep track of the spread performance. So far I am very pleased with the performance.

I'm always looking for someone to kick ideas around with and would be interested to see if we could complement each other.

Looking forward to hearing from you.

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  #32 (permalink)
Market Wizard
Houston, TX
 
Futures Experience: Advanced
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Kurtas View Post
Here is trading plan:
- risk per trade 2-5% (less risky = more risk), for this Soybean spread I will use 3%
- I allways open the spread position with BUY only at MAJOR SUPPORT LEVEL, I add another contracts when position goes against me, but with respect to risk per trade. (so in this case I have first buy limit at -65, last at -72 / SL -74)
- I simply skip this spread, when it don't reach major support level (entry)
- I use 1/2 of contracts for "scalping", where I take profit around 50-200$ per contract - then I'm waiting for retracement back to entry level where I buy whole position once again.
Spreads moves slowly most of the time and you can observe local ranges at intraday charts, by this way I can collect nice profits. It covers commissions and also sometime it may cover whole expected SL, then I have risk free trade.

You can argue that by this way I can miss some nice spreads, but I don't need to trade every seasonal moves.
SeasonAlgo has hundreds of seasonal strategies for each month and using their scanner I can simply find other spreads which currently moving in ranges.

I suspect that you didn't participate in this spread, since it never got close to your targets. I did scale in some between 52.75 and 58.75 but it never really got to the levels where I wanted to add more size. Not only are we now well past this spreads typical seasonal peak but historically tomorrow (expiry-72) is when the (intermediate) low occurs. I think I'm going to take half my position off here. If we widen again over the next week I will probably add it back again. Given that the season low normally occurs between expiry -66 and -61 I plan to be out completely by the end of next week.

Thanks for the trade idea.

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  #33 (permalink)
Market Wizard
Houston, TX
 
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Kurtas View Post
Very nice seasonal movement coming at sugar
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Interesting.
Again just looking at the last 5 years, I think you will see your 5 year average is very skewed by 2 (2010 & 2011) of the 5 years. Even so -1 does seem to be a decent historical floor.
Just like the Soybean Sep-Nov spread you highlighted last month, 2010 & 2011 behaved very differently than 2009, 2012 & 2013. Need to check if there is a fundamental (weather?) reason for that.

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  #34 (permalink)
Market Wizard
Houston, TX
 
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SMCJB View Post
... Not only are we now well past this spreads typical seasonal peak but historically tomorrow (expiry-72) is when the (intermediate) low occurs. I think I'm going to take half my position off here...

After saying all that it traded as tight as 49s today before widening back out and closing almost unchanged. After taking half the position off overnight in the 51s, I lightened even more today.

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  #35 (permalink)
Market Wizard
Houston, TX
 
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ZS U-X widened early trading out to -55 before settling at -52.25 (+0.75). Added a little back on.

SB V-K also widened trading out to -1.05 before settling -1.04 (-0.11). Opened a small position.

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  #36 (permalink)
Market Wizard
Houston, TX
 
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More on the SB V-K spread.

Since seasonalgo.com's analyze shows that the optimal entry date is June 6th I ran some charts that showed the change in the V-K spread from June 6th to n days later. (where n is plotted on the x axis)

In the last ten years, 2 great years (2010 & 2011), 5-6 good trades, and 2-3 breakeven/poor trades.

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When you take those two great years out, the returns look far less impressive - still not bad, but definitely not as great. Even so the downside looks very limited based upon historical's. Even excluding the two good years, the 8 year average MINUS one standard deviation is breakeven or close to breakeven for much of the impending trade window.


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  #37 (permalink)
Market Wizard
Houston, TX
 
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SMCJB View Post
ZS U-X widened early trading out to -55 before settling at -52.25 (+0.75). Added a little back on.

SB V-K also widened trading out to -1.05 before settling -1.04 (-0.11). Opened a small position.

Fri 6/6
ZS U-X settled at -45 exactly the type of move we were hoping for last week. Thankfully still had about half of position left but exited last of position at 48. Still good trade, 5 1/4 points.
SB V-K widened further and settled on its low at -1.08. Now have my full desirable position on, so 'hope' * it start's reversing soon. Slightly underwater here.

*Hate that word in trading!

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  #38 (permalink)
Trading Apprentice
Brno/Czech Republic
 
Futures Experience: Advanced
Platform: Sierra,IB, MBT, SeasonAlgo, TnT, Expirence with various API
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@SMCJB
Hi,

sorry for delay, I had a small vacation. About Soybeans, sure I'm not in position, I'm buying spread only at support levels. Also this spread isn't so good, there is much better.

About sugar, SeasonAlgo gave the same spread as free strategy for July, so you can see backtest for each year - see below table at Futures spread stategy for June, 2014 - Buy Sugar October 2014 / Sell Sugar May 2015 | SeasonAlgo.com - SA

When you compare Best & Worst columns then you will notice that this spread had very small maximal losses during seasonal window. RRR is over 10 for last 15y. This spread is very safe for me, sure there could be some fundamentals problems.
I don't care about fundamentals, I only monitoring release time for reports like wasde, crop production etc..
You will never have access to all necessary information, you are not hedger or producer, they are specialized in some specific commodity and it's their core bussiness.


Last edited by Kurtas; June 9th, 2014 at 05:26 AM.
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  #39 (permalink)
Trading Apprentice
winnipeg canada
 
Futures Experience: Master
Platform: cts
Favorite Futures: commodity futures
 
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Re bean spreads ; the bean spreads have the potential to change significantly due to the shift in global production. The point that I am trying to make is that this won't show up in technical analysis (5 year charts). Be careful.

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  #40 (permalink)
Market Wizard
Houston, TX
 
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Favorite Futures: Energy
 
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brentf View Post
Re bean spreads ; the bean spreads have the potential to change significantly due to the shift in global production. The point that I am trying to make is that this won't show up in technical analysis (5 year charts). Be careful.

Thanks brentf for the info. I've got in and out of my bean spread and have no plans to re-enter currently.

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