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Seasonal Commodity Spreads
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Created: by Bakes Attachments:0

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Seasonal Commodity Spreads

  #1 (permalink)
Elite Member
Brisbane/Australia
 
Futures Experience: Beginner
Platform: Jtrader.
Favorite Futures: Futures
 
Posts: 22 since Feb 2013
Thanks: 6 given, 7 received

Seasonal Commodity Spreads

Hi Guys,

I have developed a DB that essentially scans for Seasonal Spreads. Thought i would chart my progress with real time trades i will be putting on. The DB essentially looks for dates where trades have been successful in past years, i am going back 15 years with success rate at least 80%. I will post trades i choose from the DB and trade in my real account.

First trade that i have just put on is to buy the Aug/Oct soybean spread. all going well will be in the trade until the beginning Mar. This trade has been successful 90% of the time over the last 15 years.

bought Mar/Nov Soybean spread @ -10.50.


Last edited by Bakes; February 3rd, 2016 at 06:44 AM.
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  #2 (permalink)
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  #3 (permalink)
Elite Member
NYC, NY
 
Futures Experience: Intermediate
Platform: Sierra Qtrader
Broker/Data: Amp and Optimus and CQG
Favorite Futures: Mainly NG and GC, 6A, 6E
 
Posts: 410 since May 2013
Thanks: 329 given, 150 received

Any other data


Are these compiled from mrci?

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  #4 (permalink)
Elite Member
Brisbane/Australia
 
Futures Experience: Beginner
Platform: Jtrader.
Favorite Futures: Futures
 
Posts: 22 since Feb 2013
Thanks: 6 given, 7 received

No, this is something i have been working on myself for the last 18 months. I have never used mrci. It was something that started small and kept growing. i initially was looking at graphing individual years spreads all on the same chart and it just kept growing. My next feature i would like to add is correlation between different commodity spreads. I spent 6 months back testing looking for a reason why this wouldn't work. Multiple different trade management techniques etc. There were even trades in back testing that i thought were crazy and the most of the time they were profitable. been trading my real account since the beginning of the year with really pleasing results. Looking to trade more so thought i may as well post on the forum to keep myself on the straight an narrow.

I have used the data to study results on different commodities and some really interesting results. A lot flys in the face of generally accepted norms.

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  #5 (permalink)
Elite Member
NYC, NY
 
Futures Experience: Intermediate
Platform: Sierra Qtrader
Broker/Data: Amp and Optimus and CQG
Favorite Futures: Mainly NG and GC, 6A, 6E
 
Posts: 410 since May 2013
Thanks: 329 given, 150 received

Very nice

Pardon my questions new to spreads read some books and starting to dabble
How do u backrest??
Can u download cme data. For the spreads? Or can u do this in jtrader??

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  #6 (permalink)
Elite Member
Brisbane/Australia
 
Futures Experience: Beginner
Platform: Jtrader.
Favorite Futures: Futures
 
Posts: 22 since Feb 2013
Thanks: 6 given, 7 received

I am able to backtest from the DB. It provides results for each of the last 15 years with those results being charted for each individual year if i want. J-trader is just the platform i use to trade. I get the data from Quandl using their API

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  #7 (permalink)
Elite Member
Brisbane/Australia
 
Futures Experience: Beginner
Platform: Jtrader.
Favorite Futures: Futures
 
Posts: 22 since Feb 2013
Thanks: 6 given, 7 received

Last Night, Australian Time i opened a new spread. Sold the May/Oct crude spread for -4.63. This trade has been successful 85% of the time over the last 15 years. Looking to be in the trade for around a week.

A study i have done on Crude from the DB, if i run a scan once a month for each month of the year for the past 15 years and take the trade with the highest percentage success and highest win loss ratio the returns average just over 42% on margin. There are a couple of months that historically perform poorly. If i remove those months the returns showed 49% on margin.

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  #8 (permalink)
Elite Member
Cape Town South Africa
 
Futures Experience: Beginner
Platform: Zaner 360
Broker/Data: DeCarley
Favorite Futures: Commodities:Grains, Meats, Energy
 
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Posts: 19 since Jun 2015
Thanks: 79 given, 4 received

Progress?

@ Bakes
Just checking in to find out how the spreads are doing since the last post.

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