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Seasonal Trades
Started:September 14th, 2016 (12:03 PM) by myrrdin Views / Replies:418 / 11
Last Reply:October 2nd, 2016 (11:18 AM) Attachments:1

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Seasonal Trades

Old October 2nd, 2016, 10:39 AM   #11 (permalink)
Trading Apprentice
London, UK
Futures Experience: Master
Platform: London hedge fund
Broker/Data: Goldman Sachs
Favorite Futures: Crude CL
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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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Old October 2nd, 2016, 11:18 AM   #12 (permalink)
Market Wizard
Linz Austria
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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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