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Seasonal Trades
Started: by myrrdin Views / Replies:1,122 / 33
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Seasonal Trades

  #1 (permalink)
Market Wizard
Linz Austria
 
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Seasonal Trades

I just entered the NGH-NGF spread. This spread makes profit according to MRCI in the most recent 15 years if entered on September 30th, and held until 1st of December.

The spread is at approx. -0.04, and moved up to + 0.04 in all recent years during the fourth quarter.

I entered early this year, as the spread moved to the lower bound of ist recent trading range. I do not expect much higher NG prices in the near future.

Best regards, Myrrdin

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  #2 (permalink)
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  #3 (permalink)
Market Wizard
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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.

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  #4 (permalink)
Market Wizard
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I currently hold the following positions in relation to seasonal trading:

NGH7-NGF7: see below,

HOZ-RBZ: According to MRCI (they use the January contract), this spread was successful in 13 of the most recent 15 years, if entered early August and exited late October. Only once there is a loss of more than $4,000, Ron's exit criterium. Looks like an interesting time to enter this spread with a rather close stop below the January or April low.

LHG7-LHZ6, LHV6-LHZ6: The latter I will enter at the open today, according to MRCI it is successful in 14 of the most recent 15 years. The first one was recommended by MRCI for many years, but failed during the hog desease some years ago.

The December contract looks much weaker than the other contracts. I am bearish for the December contract this year for fundamental reasons. There is a high probability that hog supplies will exceed expectations this fall. And low cattle prices might draw some supply to this market.

Best regards, Myrrdin

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  #5 (permalink)
Market Wizard
Cleveland, OH
 
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Futures Edge on FIO

myrrdin View Post
I currently hold the following positions in relation to seasonal trading:

NGH7-NGF7: see below,

HOZ-RBZ: According to MRCI (they use the January contract), this spread was successful in 13 of the most recent 15 years, if entered early August and exited late October. Only once there is a loss of more than $4,000, Ron's exit criterium. Looks like an interesting time to enter this spread with a rather close stop below the January or April low.

LHG7-LHZ6, LHV6-LHZ6: The latter I will enter at the open today, according to MRCI it is successful in 14 of the most recent 15 years. The first one was recommended by MRCI for many years, but failed during the hog desease some years ago.

The December contract looks much weaker than the other contracts. I am bearish for the December contract this year for fundamental reasons. There is a high probability that hog supplies will exceed expectations this fall. And low cattle prices might draw some supply to this market.

Best regards, Myrrdin

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.

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  #6 (permalink)
Market Wizard
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Sold ESz6 today. It usually drops starting the morning of the 3rd Friday when futures contract expires (ESu6). Planning on keeping until Oct 3.

Edit Actually I just see that selling at the close on Thu is better than selling at open on Friday. Average +5.75 per quarter the last 6 quarters.


Last edited by ron99; September 16th, 2016 at 03:15 PM.
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  #7 (permalink)
Market Wizard
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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.

I agree that it does not make sense to include the HOZ-RBZ in an automatic trading system. Performance is not good enough.

What I like abouot this trade:

1. The seasonal is still upwards.

2. There is a near stop, based on the chart (annual low). The risk is in the order of magnitude of $ 1500 per spread.

3. The spread has not been this low in September since 2010.

Unfortunately I did not get into the LHV-LHZ in early September. Today the price was higher.

Best regards, Myrrdin

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  #8 (permalink)
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Have had better results using Jake Bernsteins data than MRCI. He also shows you how to use it correctly.

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  #9 (permalink)
Market Wizard
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dbarno View Post
Have had better results using Jake Bernsteins data than MRCI. He also shows you how to use it correctly.

MRCI also offers a consulting service. They select individual trades from their data base, and explain how to trade them in the actual year. You have to pay for this information. I do not use this service.

Best regards, Myrrdin

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  #10 (permalink)
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I've been a subscriber to MRCI for many, many years and find their info very valuable.

However, seasonal trades are never a guarantee for profits. Although a trade may have been profitable 14 of the last 15 years, this could be the year it's a loser. Also, you have to really look at the yearly stats on each trade rec they give.

For example, they may show an average profit of $1200 on a trade but the drawdown may have been $3500. Most traders I know would not hold on to a trade like that and thus, would never have profited.

As I said I do like the service but you have to use it in conjunction with your other traders tools. I use their recommendations as a starting point and then apply my own analysis to determine if I'm going to take the trade or not.

Best wishes,


Joe

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