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Seasonal Trades


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Seasonal Trades

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  #1 (permalink)
Legendary Market Wizard
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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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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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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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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.


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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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.

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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.


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

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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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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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ron99 View Post
Here is how HOz-RBz performed the last 15 years from today to Oct 30. 10 out of 15 winners.


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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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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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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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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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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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.


That leads to this drop in HO futures.



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



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

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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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The LCM Ė 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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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.

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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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myrrdin View Post
The LCM Ė 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

If you trade this trade, keep in mind that this is a bear spread (shot near/long far) in a bullish moving market. I was short the Feb/Apr spread. It was following the seasonal quite nicely until the direction of the outright market, which asserts more influence on the spread over time (as the front month becomes near active), pushed the spread in a counter seasonal manner. In addition, unlike contango markets, where the cash-and-carry trade keeps the spread in check (to some degree), fighting a backwardated market can be a tough. Learning from the Z/G and G/J spreads, I would look to take profits quickly. Checkout this chart of the Feb/Apr spread where I sold in accordance with the seasonal (didnít quite work out):

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johnsk00 View Post
If you trade this trade, keep in mind that this is a bear spread (shot near/long far) in a bullish moving market. I was short the Feb/Apr spread. It was following the seasonal quite nicely until the direction of the outright market, which asserts more influence on the spread over time (as the front month becomes near active), pushed the spread in a counter seasonal manner. In addition, unlike contango markets, where the cash-and-carry trade keeps the spread in check (to some degree), fighting a backwardated market can be a tough. Learning from the Z/G and G/J spreads, I would look to take profits quickly. Checkout this chart of the Feb/Apr spread where I sold in accordance with the seasonal (didnít quite work out):

Yes, it is a bear spread. Although in the meats contracts move more individually than in many other commodities.

I do not know when you entered the LCJ-LCG. But one difference might be that I entered the LCM-LCG spread close to the lowest value it had in the most recent 15 years. The other difference might be that the spread worked very reliably for my entry date.

But of course - the spread might move further downwards. I will not be very patient, and use a close stop. I also already placed limit orders to take profit at various levels.

Best regards, Myrrdin

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There are important reports for cattle and hogs tomorrow after the close.

The monthly Cattle on Feed-Report as well as the quarterly Hogs and Pigs Report can be market movers.

Best regards, Myrrdin

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myrrdin View Post
There are important reports for cattle and hogs tomorrow after the close.

The monthly Cattle on Feed-Report as well as the quarterly Hogs and Pigs Report can be market movers.

Best regards, Myrrdin

Just read that these reports will be released at 11 am (Chicago Time) or 18.00 (Central European Time). Whereas usually the release is after the close, this time trading will be open for 1 1/4 more hours.

Obviously the CME wants to avoid a release of these reports after the close, as the next trading day will show very low volume due to Chrimas.

Best regards, Myrrdin

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myrrdin View Post
Just read that these reports will be released at 11 am (Chicago Time) or 18.00 (Central European Time). Whereas usually the release is after the close, this time trading will be open for 1 1/4 more hours.

Obviously the CME wants to avoid a release of these reports after the close, as the next trading day will show very low volume due to Chrimas.

Best regards, Myrrdin

Here's a link to the USDA report calendar. All times listed are ET. Click on Calendar view to get future months.
https://www.usda.gov/wps/portal/usda/usdahome?navid=AGENCY_REPORTS

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I am still holding the KWH-WH spread. Nothing regarding the fundamentals has changed significantly. The spread receives support from seasonals at least until end of January

January 12th the next important USDA report on grains and beans will be published. The January report is well known for surprizes.

Best regards, Myrrdin

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myrrdin View Post
I am still holding the KWH-WH spread. Nothing regarding the fundamentals has changed significantly. The spread receives support from seasonals at least until end of January

January 12th the next important USDA report on grains and beans will be published. The January report is well known for surprizes.

Best regards, Myrrdin

How is this spread doing since the USDA report?

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Kruger View Post
How is this spread doing since the USDA report?

The spread has moved up nicely - unfortunately without me ...

It closed at 13 on Wedenesday (day before USDA report), and closed at 23 on Friday.

Best regards, Myrrdin

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myrrdin View Post
The spread has moved up nicely - unfortunately without me ...

It closed at 13 on Wedenesday (day before USDA report), and closed at 23 on Friday.

Best regards, Myrrdin

That was quite a move, pity you were on the sideline

I am currently Long Corn - Short Wheat, May 17 contract (ZCK - ZWK)

Regards

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Kruger View Post
That was quite a move, pity you were on the sideline

I am currently Long Corn - Short Wheat, May 17 contract (ZCK - ZWK)

Regards

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

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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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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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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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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.


As you can see it got off to a rough start but has been doing decent lately.




The current open positions are doing great.



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
Register to download File Type: xlsx Seasonal Trades.xlsx (68.9 KB, 44 views)
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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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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.



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



Problem is fundamentals. Stocks are high



Demand is lower



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




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


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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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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



RBj-RBz



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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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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Sold the RBj7z7 today for 0.2324. Will reverse to being long on Friday Feb 3rd.

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Sold the RBj7z7 today for 0.2324. Will reverse to being long on Friday Feb 3rd.

Placed an order to buy the RBN-RBZ just above the January low.

Best regards, Myrrdin

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Stopped out in position trade in Pl with profit. This time......

Another way to trade is what I call double dipping. Have one account for positon trading and another for day trading. It's not unusual for me to be long and short at the same time in two accounts in same market. Will do this until markets gets slow or find another set up. Never leave a market that is making money for another one.

On radar coming up. Long CL and short ES.

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Hi Ron99, where did you get the information about stocks and demand levels?
ron99 View Post
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.



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



Problem is fundamentals. Stocks are high



Demand is lower



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




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



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Hi Ron99, where did you get the information about stocks and demand levels?

From my own online charts using EIA data. Go here https://public.tableau.com/profile/ron.h8870#!/ then click on "Energies-Weekly Data & Weekly Change".

There are other sets of charts that might interest you like DCOT or Energies Monthly Data or the ones that are titled Seasonal Futures are charts of daily futures contract price settlements over the last 10 years.

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It's not unusual for me to be long and short at the same time in two accounts in same market.


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Example. Went long in Platinum with position account. While long in position account will use day trade account in platinum if worth it. My bias is towards longs in day trading it. Will take a short as a scalp. Only did it 3 times. Two of them worked.

Platinum was a sweetheart of a market this month.....

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"long and short at the same time in two accounts in same market" = No Position
and unless they are sub-accounts...
"long and short at the same time in two accounts in same market" = Lots of Margin Requirements/Inefficient Capital Management

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Sold the RBj7z7 today for 0.2324. Will reverse to being long on Friday Feb 3rd.

Bought this position back today at 0.2335. Loss of $46.20. I should have exited on Friday.

Bought one of these spreads at 0.2335 to hold until Feb 24th.

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myrrdin View Post
Placed an order to buy the RBN-RBZ just above the January low.

Best regards, Myrrdin

Bought half a lot of the RBN-RBZ today, and will leave the order to buy the second half just above the January low. According to MRCI this spread should work until 11th of March.

Best regards, Myrrdin

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Bought the RBK-HOK, which is a seasonal trade according to MRCI after February 23rd.

The spread shows an upwards trend since August 2016, and recently showed a set-back. Looks to me to be a good entry.

Only two max. drawdowns above the average profit in 15 years (2008, 2011), only one loss in 15 years (2008). Average Profit of the winners above $2,600 per spread.

Best regards, Myrrdin

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I got killed in RBOB today. Does any have any good resources on learning to truly read the EIA report? I want to really learn to trade every markets, but I've paid for my fair share of half ass classes or the next best and greatest indicators. I don't mind doing the work or the reading if someone has a book that has added to their skill set.

Thanks all,

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Bought this position back today at 0.2335. Loss of $46.20. I should have exited on Friday.

Bought one of these spreads at 0.2335 to hold until Feb 24th.

Exited 2/23 at 0.2202 for a $558.60 loss. Reduced US gasoline demand is causing RB to drop and not follow seasonals.


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I got killed in RBOB today. Does any have any good resources on learning to truly read the EIA report? I want to really learn to trade every markets, but I've paid for my fair share of half ass classes or the next best and greatest indicators. I don't mind doing the work or the reading if someone has a book that has added to their skill set.

Thanks all,

Jason

This is from CME covering the basics. It is just OK.
Gas Prices Explained - Futures Fundamentals

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Futuresnoob View Post
I got killed in RBOB today. Does any have any good resources on learning to truly read the EIA report? I want to really learn to trade every markets, but I've paid for my fair share of half ass classes or the next best and greatest indicators. I don't mind doing the work or the reading if someone has a book that has added to their skill set.

I trade very little RBOB (but I did once work in a Gasoline blending group) and don't know whats happening right now, but let me add a couple of things to the conversation.
  • First RBOB is a derivative of crude oil, and crude oil is a much much bigger market. As such you could be in a situation where crude is going up 50c/bbl/day and RBOB is going up 1c/Gal/day (42c/bbl). On a chart this would look like RBOB is in a bullish trend. But in reality RBOB is bearish vs crude oil, but crude oil's bullish trend is overriding RBOB's bearish trend. If you plotted the RBOB Crack (RB * 42 - CL) you would see a Bearish trend. Saying that this isn't what appears to have happened the last few days - but something to consider when trading RB or HO outright from a fundamental perspective.
  • RBOB has different summer specs than it does winter specs. Specifically the required Reid Vapor Pressure ("RVP") is lower in the summer. In the winter you want a high RVP so when it's cold your car will still start, but in the summer you want a lower RVP to avoid your RBOB evaporating on hot days! The required RVP of March RBOB is 13.5, while RVP of April is 9.0. As such the March product you were trading last week, and the April product you are trading this week are different products. One obvious implication of this, is that the EIA don't publish separate stock levels for each specification. As you can imagine 22kkb of RBOB when 10kkb is winter spec, and 12kkb is summer spec, is very different than 22kkb of RBOB when 5kkb is winter spec, and 17kkb is summer spec! On a final note, I know its relatively easy to increase the RVP (add Butane) but don't think it's as easy to decrease it, hence the March-April spec change is more drastic than the Sep-Oct one.

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ron99 View Post
This is from CME covering the basics. It is just OK.
Gas Prices Explained - Futures Fundamentals

A good (and surprisingly easy) read for any aspiring energy trader is Petroleum Refining for the Non-Technical Person.
2nd Edition is quite a bit cheaper than the 3rd Edition but not sure how different they can be.

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Thank you both for the help. SMCJB I ordered the third edition. Thank you again.

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I got killed in RBOB today. Does any have any good resources on learning to truly read the EIA report? I want to really learn to trade every markets, but I've paid for my fair share of half ass classes or the next best and greatest indicators.

I'm hearing that a major factor behind the RBOB drop is a significant drop in the prices of RINS or "renewable identification numbers". Not sure exactly how this works but apparently its got something to do with the renewables that they blend into gasoline.

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I'm hearing that a major factor behind the RBOB drop is a significant drop in the prices of RINS or "renewable identification numbers". Not sure exactly how this works but apparently its got something to do with the renewables that they blend into gasoline.

Where do you go for fast energy news? I still haven't seen anything on why RBOB dropped.

Jason

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Where do you go for fast energy news? I still haven't seen anything on why RBOB dropped.
Jason

I asked a couple of traders at larger trading shops, and a couple of OTC brokers what was driving RBOBs drop. Two of the four came back and said RINS.

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Agrimoney.com | US biofuel rumours send grains prices on a dizzy ride

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The real question now is how do we use this information to make money. My first thought is to go long RBOB as the rumor fades but be ready to exit and go long soybeans if Trump does sign the executive order. But even if he signs it and they increase the use of corn and soybean(lowering demand for rbob) in fuels wouldn't it take a while for something like that to be implemented? Anyone have thoughts?

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Futuresnoob View Post
The real question now is how do we use this information to make money. My first thought is to go long RBOB as the rumor fades but be ready to exit and go long soybeans if Trump does sign the executive order. But even if he signs it and they increase the use of corn and soybean(lowering demand for rbob) in fuels wouldn't it take a while for something like that to be implemented? Anyone have thoughts?

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I held two seasonal trades including RB. I had closed the RBN-RBZ profitable some time ago. I closed the RBK-HOK early with a loss. And decided not to enter it again this spring.

I quit seasonal trades when fundamentals obviously are different than in previous years. And this seems to be the case for RB in March of 2017.

There are many other promising trades around. I am not good in trading short-term political discussions and decisions such as this one.

Best regards, Myrrdin

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myrrdin View Post
I held two seasonal trades including RB. I had closed the RBN-RBZ profitable some time ago. I closed the RBK-HOK early with a loss. And decided not to enter it again this spring.

I quit seasonal trades when fundamentals obviously are different than in previous years. And this seems to be the case for RB in March of 2017.

There are many other promising trades around. I am not good in trading short-term political discussions and decisions such as this one.

Best regards, Myrrdin

I do think you may have a point about staying out of the way and finding trades that are keeping with the seasonal trend. This makes me think about risk management (mine is struggling at best). When in a seasonal trade how do you manage your risk? Is it a per contract loss amount? Say $500 per contract. Or is it a break of a technical trend or level?

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I do think you may have a point about staying out of the way and finding trades that are keeping with the seasonal trend. This makes me think about risk management (mine is struggling at best). When in a seasonal trade how do you manage your risk? Is it a per contract loss amount? Say $500 per contract. Or is it a break of a technical trend or level?

I use $4,000 per contract/spread. If you use $500, you will exit many trades that eventually become profitable.

Also watch the fundamentals. If they change I exit.

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I do think you may have a point about staying out of the way and finding trades that are keeping with the seasonal trend. This makes me think about risk management (mine is struggling at best). When in a seasonal trade how do you manage your risk? Is it a per contract loss amount? Say $500 per contract. Or is it a break of a technical trend or level?

Generally I exit a seasonal trade, when fundamentals change significantly. No matter if the trade has made money or not. Additionally I have a stop loss, when a technical level is broken at the end of the trading day. And I prefer to keep lot size small. This allows you to give the trade more room, and still risk only a small percentage of your account.

Best regards, Myrrdin

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Thank you everyone from a guy that wants to keep what money he hasn't managed to loose. I thought by trading with a seasonal trend (MCRI.COM) that I would have much better success. In looking at gold and how it behaved in January and through February now possibly weaker in March I may have been right on the concept but wrong on the product. I used Fib to develop a support level in gold back in January and was really close but this was before I knew anything about seasonal trends and had just started learning Fib. I will be trying to get out of Rbob with at least my pants and a lesson learned. I still want to learn energy trading but next time I will slow down on my decision making and evaluate the current technicals and fundamentals.


Jason

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I believe in sharing information if I think it will add value. I am in the energy field and I found the website that has some timely enery news. Seems the possible drop in Rbob was being mentioned back in late February. I may have not been able to predict the future with these articles but it may have been enough to make me question my position and size.

DownstreamToday.com - News and Information for the Downstream Oil and Gas Industry

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Futuresnoob View Post
I will be trying to get out of Rbob with at least my pants and a lesson learned.

If your in a position you either don't like or don't want, get out. "Trying" to get out, aka waiting for losses to reduce, is a formula for blowing an account up.

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If your in a position you either don't like or don't want, get out. "Trying" to get out, aka waiting for losses to reduce, is a formula for blowing an account up.

I will be taking your advice and placed the stop I should have placed on my crack spread to begin with right here. If takes me out then I'm out. If it continues higher then I will pull the stop up. I truly broke every rule with this trade. From an emotional bad entry to not having a stop for fear of having a stop to tight. Over leveraged and emotional is a good way to donate your money.

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I've been allowing myself to learn the phrase "better late than never" doesn't apply very well to successful trading. I was wondering when using a trailing stop how do smart traders determine how tight to trail your stop? I'm on a 30 minute chart of RBOB with a 7 ema, 21 ema, and a 150 ema. My current strategy is to exit if it breaks my trend line. I don't consider myself to be worlds greatest scalper hence why I liked seasonal trade idea. As previously mentioned I did ever thing wrong on this one and the trailing stop is not about making a profit it is about keeping most of the money that the market is willing to let me have back then stepping back for a reboot and reflection so I don't end up here again.


Update: I got stopped out of the trade. I could have made a better exit keeping more money that I was down but I will just be grateful for what I got back.

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CME :- Is Crude Oil Taking Cue from Vegetable Oils?

Not a great piece but does talk about the impact Biofuels could be having on both Oil products

Is Crude Oil Taking Cue from Vegetable Oils? - CME Group

Apologies for the double/cross post but seems relevant to the recent RBOB discussion as well as the CL thread.

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I was considering buying /ZLK7. According to MRCI the trade kicks off soon. It currently sits right about the 78 retracement after just toucing it. It is at 100%of the last measured move. Also price is resting on the longer trend line. I won't be able to take the trade since TD never mentioned when moving my capital from my personal to an LLC none of my account upgrades came with it. Any thoughts? How did I do? Hopefully I will have my permissions cleared by the time /PL sets up at the end of the month if that little pop doesn't trigger the start.



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Futuresnoob View Post
I was considering buying /ZLK7. According to MRCI the trade kicks off soon. It currently sits right about the 78 retracement after just toucing it. It is at 100%of the last measured move. Also price is resting on the longer trend line. I won't be able to take the trade since TD never mentioned when moving my capital from my personal to an LLC none of my account upgrades came with it. Any thoughts? How did I do? Hopefully I will have my permissions cleared by the time /PL sets up at the end of the month if that little pop doesn't trigger the start.

There are some reasons why I am careful this year regarding this trade:

CL is weak against the seasonal trend,

S is weak against the seasonal trend,

the seasonals for the most recent 5 years period is significantly weaker than for the 15 years period.

Best regards, Myrrdin

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MRCI recommend going long CL in June. 13/15 winners. I figured I'd sell short the Aug puts (around 15 delta) instead of going long the futures. More bang for the buck and also more managable if CL doesnt rally. What dou you guys think?

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volramp View Post
MRCI recommend going long CL in June. 13/15 winners. I figured I'd sell short the Aug puts (around 15 delta) instead of going long the futures. More bang for the buck and also more managable if CL doesnt rally. What dou you guys think?

MRCI suggests to buy the October contract. Average profit is approx. $ 2800. Since 2006 there were 4 years with drawdowns of more than $ 3,000. I do not like seasonal trades where max. drawdown is higher than average profit in a couple of years.

COT data is more bearish than bullish.

I am not interested in selling puts at this time of the year. I intend to sell calls, but only if the price gets to a higher level.

Best regards, Myrrdin

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There is an interesting seasonal trade, suggested by MRCI until end of October.

Buy ADZ / sell CDZ .

The daily chart follows the seasonal chart quite well for all of 2017.

Average Profit is above $1300 for the most reent 15 years, there are only 2 years with a drawdown of more than $1000.

The chart seems to form a bottom right now, and a stopped can be place nearby.

As always, questions and comments are highly welcome.

Best regards, Myrrdin

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myrrdin View Post
There is an interesting seasonal trade, suggested by MRCI until end of October.

Buy ADZ / sell CDZ .

The daily chart follows the seasonal chart quite well for all of 2017.

Average Profit is above $1300 for the most reent 15 years, there are only 2 years with a drawdown of more than $1000.

The chart seems to form a bottom right now, and a stopped can be place nearby.

As always, questions and comments are highly welcome.

Best regards, Myrrdin

I am glad to follow your thread.I started years ago with the grains, then left that to follow the minis.Still struggling with daytrading, but have hopes of one day following the grains again.Any chance you could post charts every now and then?
thanks, Bob

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bobarian View Post
I am glad to follow your thread.I started years ago with the grains, then left that to follow the minis.Still struggling with daytrading, but have hopes of one day following the grains again.Any chance you could post charts every now and then?
thanks, Bob

If your request is regarding charts, including support, resistance etc, I have to apologize. I know a lot about fundamentals, but am not a good chartist. But if one of the visitors hear has experience in this field he or she is invited to add some charts.

If your request is regarding seasonal charts, I have to apologize again. These charts are part of a paid subscription of MRCI, and I do not think it is fair to publish their content. As far as I know MRCI and Seasonalgo offer free trial subscriptions.

Best regards, Myrrdin

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myrrdin View Post
There is an interesting seasonal trade, suggested by MRCI until end of October.

Buy ADZ / sell CDZ .

So basically the AUD:CAD cross?

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SMCJB View Post
So basically the AUD:CAD cross?

Yes, it is the AUD:CAD cross. I do not trade Forex, thus I trade it via futures.

Best regards, Myrrdin

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  #81 (permalink)
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I decided to enter the CLJ-CLF spread. A little risky but it seems to be close to support level.

Average profit for last 15 years is $1722 and margin is a low $300.

This spread has had 1 loss in the last 15 years (in 2011) of $530, but drawdown was $1150

Let's see how this goes!

Regards

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Kruger View Post
I decided to enter the CLJ-CLF spread. A little risky but it seems to be close to support level.

Average profit for last 15 years is $1722 and margin is a low $300.

This spread has had 1 loss in the last 15 years (in 2011) of $530, but drawdown was $1150

Let's see how this goes!

Regards

I guess you traded (CL J18 - CLF18).
Did you long or short it?

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  #83 (permalink)
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maxinger View Post
I guess you traded (CL J18 - CLF18).
Did you long or short it?

I bought CLJ18 and sold CLF18

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Kruger View Post
I bought CLJ18 and sold CLF18

In my opinion the main risk for this trade is La Nina. The probability is currently estimated at 60 %. In this case the seasonals for CL show upwards towards the end of the year.

For this reason I currently do not trade CL from the short side.

Best regards, Myrrdin

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You guys are rockstars. I hope to learn more about spreads and seasonality from you.

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StopHunter View Post
You guys are rockstars. I hope to learn more about spreads and seasonality from you.

You are welome. Please feel free to ask your questions here. Good questions are important contributions to this forum and keep it alive.

Best regards, Myrrdin

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Anyone trading seasonals can comment on season algo for trade recommendations and accuracy (I know it's a good for analysis but just starting and would like to get a feel for accuracy) thanks


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Awesome thread here. @myrrdin it seems that your criteria to take a seasonal trade are:

1. It has followed the seasonal trend throughout the year
2. It has a max drawdown in the last 15 years that rarely or never hits the average profit of the same period
3. Fundamentals are consistent with years past

Correct me if i'm wrong here.

Thanks,

Brett

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Dabears2322 View Post
Awesome thread here. @myrrdin it seems that your criteria to take a seasonal trade are:

1. It has followed the seasonal trend throughout the year
2. It has a max drawdown in the last 15 years that rarely or never hits the average profit of the same period
3. Fundamentals are consistent with years past

Correct me if i'm wrong here.

Thanks,

Brett

Correct. In my opinion, the first one is the most important one. Usually, if the first criteria is fulfilled, the third one is fulfilled, too.

If the second one is not fulfilled, you should look for the reason. Eg. during the economic crisis 2008/2009 some commodities showed severe drawdowns. But this was not a typical year. Another example: Meat markets show untypical behaviour in years that were influenced by major deseases.

Best regards, Myrrdin

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myrrdin View Post
Correct. In my opinion, the first one is the most important one. Usually, if the first criteria is fulfilled, the third one is fulfilled, too.

If the second one is not fulfilled, you should look for the reason. Eg. during the economic crisis 2008/2009 some commodities showed severe drawdowns. But this was not a typical year. Another example: Meat markets show untypical behaviour in years that were influenced by major deseases.

Best regards, Myrrdin

Makes sense. Thanks!

Brett

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Just got the 14 day free trial at MRCI. A lot of interesting stuff. What do you guys think about April Platinum buy around Christmas? Has a 100% win, no max DD greater than average win, and price has followed the seasonal pattern pretty close all year.

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myrrdin View Post
Correct. In my opinion, the first one is the most important one. Usually, if the first criteria is fulfilled, the third one is fulfilled, too.

If the second one is not fulfilled, you should look for the reason. Eg. during the economic crisis 2008/2009 some commodities showed severe drawdowns. But this was not a typical year. Another example: Meat markets show untypical behaviour in years that were influenced by major deseases.

Best regards, Myrrdin

I recently started really exploring my MRCI. I figured out some fuctions. Like the one that allows you to track current price action to see how well it is keeping on track seasonally.

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Dabears2322 View Post
Just got the 14 day free trial at MRCI. A lot of interesting stuff. What do you guys think about April Platinum buy around Christmas? Has a 100% win, no max DD greater than average win, and price has followed the seasonal pattern pretty close all year.

The Platinum trade from December onwards looks good this year.

Platinum follows its seasonal chart since end of May nicely.

Unfortunately COT data is only neutral to slightly bullish.

A lot of weakness in recent time (compared to Palladium) stems from the fact that Platinum is used in catalysators for Diesel engines, and these engines are not very popular in these days.

The largest drawdowns since 2003 were approx. $5,000 and $8,000 in 2013 and 2012, but these trades started above 1,500. Still it is recommended to keep the lot size in a fair relation to the size of the account.

Average profit in the most recent 15 years was $3,800. In twelve of these years Best Equity Amount was approx. $3,000 or higher.

Best regards, Myrrdin

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I yesterday got IQfeeds COT feature. I haven't looked at it but can you recommend a good source on learning how to use the COT in general correctly and to my advantage? ie if commercials are buying as price is going down does that signal a possible move to the upside in the near future. Or do I focus of swaps? That sort of thing.

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Futuresnoob View Post
I yesterday got IQfeeds COT feature. I haven't looked at it but can you recommend a good source on learning how to use the COT in general correctly and to my advantage? ie if commercials are buying as price is going down does that signal a possible move to the upside in the near future. Or do I focus of swaps? That sort of thing.

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I learnt a lot from the book of Floyd Upperman, and was customer of his services for a while.

Best regards, Myrrdin

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myrrdin View Post
I learnt a lot from the book of Floyd Upperman, and was customer of his services for a while.

Best regards, Myrrdin

Myrrdin,

Is this the one?

Commitments of Traders : Strategies for Tracking the Market and Trading Profitably

Jason

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Futuresnoob View Post
Myrrdin,

Is this the one?

Commitments of Traders : Strategies for Tracking the Market and Trading Profitably

Jason

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It is a long time ago I read the book. But I do not think Floyd has written books on trading without connex to COT data. I would take the most recent book on COT data he has written.

Best regards, Myrrdin

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You guys have any upcoming trades you are looking at? I think I'm gonna pull the trigger on the platinum trade on 12/22. Going to use a platinum ETF to lower the risk a bit as it will be my first live seasonal trade.

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I am waiting for the the gold trade.

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Seasonalgo has a free webinar tomorrow it's on their site I'm gonna check it out and see


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