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Seasonal Trades


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Seasonal Trades

  #141 (permalink)
zxcv64
London, UK
 
Posts: 74 since Jan 2018
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Thanks guys for the clarification.

Meanwhile, I have entered my first futures spread :

Trade : ZCZ18-ZCU18 (Long Dec corn, short Sep corn) for a debit of 11.75

Rationale : Seasonalgo has this as a recommended trade. I am a few days late entering, but the charts look
convincing and there is still potential.
Trade was a winner 9 years out of 10.
Ave profit (including the 1 loss) : $590
Ave drawdown : $425
Ave days in trade : 65 (I hope to close earlier if profitable)
In theory, this spread should increase in price nicely between now and mid Aug.

Fundamentals : Well, here, I have to confess my naiveness -I read the Hightower report daily, have looked at the
COT etc, but don't yet understand the fundamentals, what they truly mean or how to interpret the mass
of opinion and data out there. I do know that having a spread, as opposed to an outright, lessens
any extreme reactions to fundamentals and provides a dampening effect, which is ideal for a newbie.

I find that paper-trading is not for me as I need to have real money in a trade for me to actually focus and learn quickly
and this provided a decent entry.

I welcome any constructive criticism, guidance, advice, or tips, or well-natured abuse.

z

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  #142 (permalink)
 myrrdin 
Linz Austria
 
Experience: Advanced
Platform: TWS
Broker: Interactive Brokers
Trading: Commodities
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zxcv64 View Post
Thanks guys for the clarification.

Meanwhile, I have entered my first futures spread :

Trade : ZCZ18-ZCU18 (Long Dec corn, short Sep corn) for a debit of 11.75

Rationale : Seasonalgo has this as a recommended trade. I am a few days late entering, but the charts look
convincing and there is still potential.
Trade was a winner 9 years out of 10.
Ave profit (including the 1 loss) : $590
Ave drawdown : $425
Ave days in trade : 65 (I hope to close earlier if profitable)
In theory, this spread should increase in price nicely between now and mid Aug.

Fundamentals : Well, here, I have to confess my naiveness -I read the Hightower report daily, have looked at the
COT etc, but don't yet understand the fundamentals, what they truly mean or how to interpret the mass
of opinion and data out there. I do know that having a spread, as opposed to an outright, lessens
any extreme reactions to fundamentals and provides a dampening effect, which is ideal for a newbie.

I find that paper-trading is not for me as I need to have real money in a trade for me to actually focus and learn quickly
and this provided a decent entry.

I welcome any constructive criticism, guidance, advice, or tips, or well-natured abuse.

z


MRCI also recommend this trade. Some comments from my side regarding fundamentals:

At this time of the year it is (almost) all about the weather. Pollination period in the US for corn is in July, and current weather reports for this period are not yet reliable. Currently supply for corn is more critical than for beans or wheat, thus, weather cooperating will be essential.

It is a good idea to enter this trade today (and not earlier), as yesterday a USDA report was published. Although this specific report in mid-June usually is not a game changer, it always can inlcude surprizes.

There are two good things about this trade:
1. The chart follows the seasonal chart nicely this year.
2. The maximum drawdown for this trade in the most recent 15 years is only $1225 (in 2012).

Best regards, Myrrdin

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  #143 (permalink)
 ron99 
Cleveland, OH
 
Experience: Advanced
Platform: QST
Broker: QST, DeCarley Trading, Gain
Trading: Options on Futures
Posts: 3,081 since Jul 2011
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Back on Jan 16, 2017 I posted my list of my seasonal trades.


Here are the results of those seasonal trades (one contract per trade. $4,000 stop loss). It is only 4 months in 2016.




Over the years I have deleted some trades that quit working. But I left the losses in before deleting in the trades.

It is doing OK. In 2018 it had 54% winners.

For myself I am picking and choosing which ones to trade. Some are obvious, like not getting long ES in Dec 2018. Others I miss.

Sometimes I use these to pick which OTM short option spreads I enter.

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  #144 (permalink)
 ron99 
Cleveland, OH
 
Experience: Advanced
Platform: QST
Broker: QST, DeCarley Trading, Gain
Trading: Options on Futures
Posts: 3,081 since Jul 2011
Thanks Given: 980
Thanks Received: 5,785

@Forex37
Quoting 
Ron, what is the account size required for this / ROI on reserved margin? And could you add a link to the explanation of this strategy?

Thanks

Link to post that has spreadsheet.


I used $4,000 stop loss. So you should have Initial Margin plus $5,000 for each position currently open. Extra $1,000 over stop loss to cover if you weren't able to exit right at $4,000 loss.

Account size? Here is chart for Sep 2016 to Dec 2017 amount of initial margin required plus the $5,000 extra per day per position.



Right now I don't have ROI calculated.

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  #145 (permalink)
Ozquant
Brisbane Queensland Australia
 
Posts: 220 since Aug 2017
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Havent read this whole thread yet but i will . I have and do trade seasonals but only if there is some logic behind it . I dont know anything about Silver but for some reason Silver ' appears ' to perform well in January . Can anyone out there offer some logic as to why this may be .

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  #146 (permalink)
 myrrdin 
Linz Austria
 
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Trading: Commodities
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Ozquant View Post
Havent read this whole thread yet but i will . I have and do trade seasonals but only if there is some logic behind it . I dont know anything about Silver but for some reason Silver ' appears ' to perform well in January . Can anyone out there offer some logic as to why this may be .

I also prefer to understand the logics behind a seasonal trade. But in this case I do not.

Additionally to the seasonal data the COT data looks bullish.

Currently I am long Silver as well as Gold via outright futures for a while.

Best regards, Myrrdin

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  #147 (permalink)
 
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 SMCJB 
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Ozquant View Post
Havent read this whole thread yet but i will . I have and do trade seasonals but only if there is some logic behind it . I dont know anything about Silver but for some reason Silver ' appears ' to perform well in January . Can anyone out there offer some logic as to why this may be .

There's a large community of people, with several commercial dedicated website's, that trade seasonal's purely based upon historical patterns with no fundamental factors at all. Of course there are other things that can effect markets than supply/demand fundamentals (see below)


myrrdin View Post
I also prefer to understand the logics behind a seasonal trade. But in this case I do not.

Additionally to the seasonal data the COT data looks bullish.

Currently I am long Silver as well as Gold via outright futures for a while.

I was planning to buy Gold, Silver and Palladium in December but was trying to come up with a systematic rather discretionary way to determine, when to actually buy. I never got round to it, so never bought anything. I believe all 3 have strong consistent year end patterns, that I have heard explained by manufacturers planning or hedging the next years requirements.

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  #148 (permalink)
Ozquant
Brisbane Queensland Australia
 
Posts: 220 since Aug 2017
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SMCJB View Post
There's a large community of people, with several commercial dedicated website's, that trade seasonal's purely based upon historical patterns with no fundamental factors at all. Of course there are other things that can effect markets than supply/demand fundamentals (see below)

I was planning to buy Gold, Silver and Palladium in December but was trying to come up with a systematic rather discretionary way to determine, when to actually buy. I never got round to it, so never bought anything. I believe all 3 have strong consistent year end patterns, that I have heard explained by manufacturers planning or hedging the next years requirements.


60 day lows with a 2 or 3 bar reversal looks to pick the spot most decembers and an else buy Jan 1 covers the lot , Pretty basic but its a start . The stats are pretty compelling for Jan bullishness , ive witten some code to rank best months and even weeks to identify seasonals and ive found some that are almost like free money that are logic based . Anyway stats for silver below

PS i will write a code on the above premise to see how it performs against a simple buysell Jan strat . Might even do the exit side as well





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  #149 (permalink)
Ozquant
Brisbane Queensland Australia
 
Posts: 220 since Aug 2017
Thanks Given: 167
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Ozquant View Post
60 day lows with a 2 or 3 bar reversal looks to pick the spot most decembers and an else buy Jan 1 covers the lot , Pretty basic but its a start . The stats are pretty compelling for Jan bullishness , ive witten some code to rank best months and even weeks to identify seasonals and ive found some that are almost like free money that are logic based . Anyway stats for silver below

PS i will write a code on the above premise to see how it performs against a simple buysell Jan strat . Might even do the exit side as well

Pretty happy with these stats , using technicals to buy the dips into the seasonal month or just buy Jan 1 and using technical to exit during Jan or month after with or/else rules . One parameter technicals as well , super simple . Almsot averaging 10% return in real silver returns over 38 years , compound these returns next task ... Average time in market 43 days


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  #150 (permalink)
Ozquant
Brisbane Queensland Australia
 
Posts: 220 since Aug 2017
Thanks Given: 167
Thanks Received: 380



Ozquant View Post
Pretty happy with these stats , using technicals to buy the dips into the seasonal month or just buy Jan 1 and using technical to exit during Jan or month after with or/else rules . One parameter technicals as well , super simple . Almsot averaging 10% return in real silver returns over 38 years , compound these returns next task ... Average time in market 43 days

OK this is net returns profits compounded back into position size for the entire period . totally unleveraged . Best case scenario of course but given the minimal work ive put into it i am pretty impressed tbh



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