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Seasonal Trades
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Created: by myrrdin Attachments:22

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Seasonal Trades

  #31 (permalink)
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myrrdin View Post
I like the CK-WK at this time of the year. According to MRCI data, the trade should work until end of February.

A problem is that this spread already has run quite far. Not often did this spread move significantly below 50. But there are several examples in recent years (2011, 2012, 2013).

Best regards, Myrrdin

One of my favorite seasonal trades is the late Dec/early Jan long in Pl. Worked again this year. Still have runners going. Way ahead in wins to losses.

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  #32 (permalink)
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dbarno View Post
One of my favorite seasonal trades is the late Dec/early Jan long in Pl. Worked again this year. Still have runners going. Way ahead in wins to losses.

Yes, it works in many years. But there are difficult years, too - eg. 2016.

Which other trades are you going to buy / sell in the near future ?

Best regards, Myrrdin

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  #33 (permalink)
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dbarno View Post
One of my favorite seasonal trades is the late Dec/early Jan long in Pl. Worked again this year. Still have runners going. Way ahead in wins to losses.

PLj17?

If you entered Dec 23, 2016 it is +$4,570 so far.

Worked 17 of last 20 years but didn't work last year. Big profits 2009-2015. Any idea why it didn't work last year?

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Last edited by ron99; January 16th, 2017 at 02:05 PM.
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  #34 (permalink)
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ron99 View Post
I am refining my list of seasonals. I will post it when I am done. Have about 100 trades per year right now. 32 of them are spreads but I probably will be adding more of them while doing research at Seasonalgo.com.

I am wondering how this list will perform in the future. My current list has 81.6% winners the past 10 years (a trade is considered a loser if it has a EOD draw down of >$4,000 even if it ends profitable). I am wondering how much that % winners will drop in the future.

Sorry but finally here is my list of seasonals I picked in attached excel. It has 115 trades.

I have been paper trading and made some actual trades from this list since I made it Sep 1st. Here is how all of the closed trades have done since Sep 1, 2015. No commissions or fees included.
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As you can see it got off to a rough start but has been doing decent lately.
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The current open positions are doing great.
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It was interesting how it played Gold almost perfectly. Was short Dec 4 to Dec 19 and made $3,510. Got long Dec 20 and is currently up $6,260 on that position. The actual bottom was Dec 22.

There have been 3 positions that hit my loss limit of $4,000. Two of them were getting short HO & NG on Nov 25 which obviously wouldn't have been the thing to do this year with the cold weather coming. I also have 3 on my original list that I will be deleting because now I think that they aren't worth doing anymore.

The ROI on the closed positions using $5,000 excess per position is +21.9% in 4 months. Including open positions it is +33.7%. Not bad.

It will be interesting to see what the performance is over 12 months.

Note If the starting or exit date is a day there isn't trading I use the last trading day before that date.

Attached Files
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Last edited by ron99; January 16th, 2017 at 07:48 PM.
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  #35 (permalink)
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I re-entered the KWH-WH spread, after I had liquidated this position before the USDA Report, and it moved upwards without me. The current set-back looks to be a good entry point.

I expect this spread to trade between 20 and 30 cents in spring.

Best regards, Myrrdin

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  #36 (permalink)
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I'm looking at doing the RBj-RBz spread starting Feb 4th to Feb 25th. It worked 10 of last 10 years. Has consistent best start and exit dates. Averages +$1,988 per year.

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Seasonally gasoline stocks decline in Feb and March as refiners start switching from winter grade to summer grade.

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Problem is fundamentals. Stocks are high

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Demand is lower

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Not sure if fundamentals are bearish enough to triumph seasonals and lower inventories. DCOT shows specs extremely long RB.

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There is also a dip in this spread from 1/30 to 2/4. Worked 9 of last 10 years.

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  #37 (permalink)
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ron99 View Post
I'm looking at doing the RBj-RBz spread starting Feb 4th to Feb 25th.

I agree, and, according to a suggestion of MRCI, I am looking at the RBN-RBZ from 6th of February until 11th of March. Only winners in recent 15 years, moderate drawdowns, price following seasonal quite well during recent months.

Fundamentals are well known for a while, and, thus, I am optimistic for this spread.

Best regards, Myrrdin

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  #38 (permalink)
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myrrdin View Post
I agree, and, according to a suggestion of MRCI, I am looking at the RBN-RBZ from 6th of February until 11th of March. Only winners in recent 15 years, moderate drawdowns, price following seasonal quite well during recent months.

Fundamentals are well known for a while, and, thus, I am optimistic for this spread.

Best regards, Myrrdin

Here is data for each of those spreads over the last 10 years

RBn-RBz

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RBj-RBz

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The RBj-RBz makes almost double the profit the last 5 years. Average Profit Per Day (APPD) is $39.05 for the RBn-RBz vs $112.83 for the RBj-RBz.

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  #39 (permalink)
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ron99 View Post
Here is data for each of those spreads over the last 10 years

The RBj-RBz makes almost double the profit the last 5 years. Average Profit Per Day (APPD) is $39.05 for the RBn-RBz vs $112.83 for the RBj-RBz.

Thank you for your very helpful comment.

One additional remark: Margin for the RBJ-RBZ is $1065, for the RBN-RBZ $505. Thus, profit per margin is still better for the April spread, but the difference is significantly smaller than for profit per day. I would assume that the RBJ-RBZ is more volatile.

MRCI often choses the trades with many months to go, as for the shorter dated futures there are one or two years with slightly negative results due to price fluctuations. And it is their intention to show trades that worked for 15 years in a row - no matter of the drawdown or of the fact that some years showed only minimum profits.

Best regards, Myrrdin

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  #40 (permalink)
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Sold the RBj7z7 today for 0.2324. Will reverse to being long on Friday Feb 3rd.

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