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Seasonal Trades
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Created: by myrrdin Attachments:22

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Seasonal Trades

  #11 (permalink)
Trading Apprentice
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ron99 View Post
Here is how HOz-RBz performed the last 15 years from today to Oct 30. 10 out of 15 winners.
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The performance of this spread from early Aug to late Oct is a very low profit per day average of $19.

The LHv6-LHz6 performed very well. I have had it on since 8/31.

Interesting, I never really believed in seasonal trades but there seems to be quite a few opportunities.

Quick dumb question..... why don't you backtest that since 1950 ? Surely you can find basic futures since at least 1980, that'd give you 35 years instead of 15, quite a bit more data to build your idea on....

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  #12 (permalink)
Market Wizard
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wintergasp View Post
Quick dumb question..... why don't you backtest that since 1950 ?

Fundamentals changed significantly since 1950, and so did seasonals. A simple example:

1950 there were not many exports of soybeans from Brazil , and seasonals were determinded more or less only by the crop cycle in the US. Today Brazil is a large exporter. Seasonals for soybeans now include the South American crop cycle, which obviously is different from the North American one.

Similar changes exist for many commodities. Thus, it makes sense to limit the number of years in backtests for seasonals.

Best regards, Myrrdin

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  #13 (permalink)
Market Wizard
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One of my favorite seasonal trades is the RB-HO at this time of the year. The acual entry data suggested by MRCI for the March contracts is the 17th of November.

Currently this spread shows a very high value. Only once since 2006 the spread showed a higher entry value than this year (it was in 2010). This seems to be caused by the warm weather and corresponding weather forecasts for the foreseeable future.

I intend to wait for a cold snap in the weather forecasts, and then enter this spread. In case there is no such
cold snap, the spread might move upwards without me.

Another option worth considering might be to hedge the RB-HO spreads with some long NGH call options.

Best regards, Myrrdin

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  #14 (permalink)
Market Wizard
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myrrdin View Post
One of my favorite seasonal trades is the RB-HO at this time of the year. The acual entry data suggested by MRCI for the March contracts is the 17th of November.

Currently this spread shows a very high value. Only once since 2006 the spread showed a higher entry value than this year (it was in 2010). This seems to be caused by the warm weather and corresponding weather forecasts for the foreseeable future.

I intend to wait for a cold snap in the weather forecasts, and then enter this spread. In case there is no such
cold snap, the spread might move upwards without me.

Another option worth considering might be to hedge the RB-HO spreads with some long NGH call options.

Best regards, Myrrdin

You should mention which side you are selling and which side you are buying.

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  #15 (permalink)
Market Wizard
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ron99 View Post
You should mention which side you are selling and which side you are buying.

Sorry for not being clear enough. The "-" was meant as a "minus".

I intend to buy RB and to sell HO.

Best regards, Myrrdin

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  #16 (permalink)
Market Wizard
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myrrdin View Post
One of my favorite seasonal trades is the RB-HO at this time of the year. The acual entry data suggested by MRCI for the March contracts is the 17th of November.

Currently this spread shows a very high value. Only once since 2006 the spread showed a higher entry value than this year (it was in 2010). This seems to be caused by the warm weather and corresponding weather forecasts for the foreseeable future.

I intend to wait for a cold snap in the weather forecasts, and then enter this spread. In case there is no such
cold snap, the spread might move upwards without me.

Another option worth considering might be to hedge the RB-HO spreads with some long NGH call options.

Best regards, Myrrdin

The next 2 EIA inventory reports for the last 5 years (weeks 47 & 48) have shown a large gain in distillate stocks every year.
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That leads to this drop in HO futures.

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Also the 8-14 weather temps are forecast to be above normal in the eastern half of US.

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So being short HO the next 3 weeks is usually a good idea.

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  #17 (permalink)
Market Wizard
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I like the KWH-WH at this time of the year. The spread is recommended by MRCI from early January until end of January.

The spread was profitable 14 of 15 recent years. Maximum drawdowns were (slightly) larger than average profits only once.

As the spread turned around at the current level in October and November I entered early.

Best regards, Myrrdin

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  #18 (permalink)
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The LCM – LCG attracted my attention.

This spread is recommended by MRCI from end of December until middle of January.

The spread worked for 13 of the most recent 15 years, shows a drawdown of more than $200 for only three years, and only shows one drawdown which is higher as the average profit.

Above all, the spread closed at -11.2 yesterday after recovering from its lowest value this year -12.25 . The lowest entry value since 2002 was 11.25 in 2004.

I intend to by this spread today.

Best regards, Myrrdin

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  #19 (permalink)
Market Wizard
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myrrdin View Post
The LCM – LCG attracted my attention.

This spread is recommended by MRCI from end of December until middle of January.

The spread worked for 13 of the most recent 15 years, shows a drawdown of more than $200 for only three years, and only shows one drawdown which is higher as the average profit.

Above all, the spread closed at -11.2 yesterday after recovering from its lowest value this year -12.25 . The lowest entry value since 2002 was 11.25 in 2004.

I intend to by this spread today.

Best regards, Myrrdin

Both of those contracts have not been following prior seasonal patterns this year.

Seasonally they usually peak in mid Oct. This year they bottomed in mid Oct. They usually go down the first 2 weeks of Dec. This year they were up.

The spread seasonally rises from mid Oct to early Dec. This year it dropped.

I will say that the spread in Dec has performed seasonally.

I have found that your excellent prior advice that if a contract/spread has not been following normal seasonal patterns that the likelihood of it following the seasonal pattern in the future are small.


Last edited by ron99; December 21st, 2016 at 09:00 AM.
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  #20 (permalink)
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ron99 View Post
Both of those contracts have not been following prior seasonal patterns this year.

Seasonally they usually peak in mid Oct. This year they bottomed in mid Oct. They usually go down the first 2 weeks of Dec. This year they were up.

The spread seasonally rises from mid Oct to early Dec. This year it dropped.

I will say that the spread in Dec has performed seasonally.

I have found that your excellent prior advice that if a contract/spread has not been following normal seasonal patterns that the likelihood of it following the seasonal pattern in the future are small.

I assume that there is a difference in the seasonal charts we use. MRCI uses the most recent 15 years.

These charts show a high for the seasonal (15 years and 5 years) as well as for the current chart at approx. 10th of October. The spread moves down for seasonal and current chart from this top until end of November. The December high occured 10 days earlier than in the seasonal and was not as significant as usual.

To me the correlation between the seasonal chart and the current chart looks to be reasonable.

Best regards, Myrrdin

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