Spreads removed from May 2016 watchlist
- Corn ZCH17 – ZCH16: seasonality did not start and there were no signal to enter. I tried to optimize trading window but without suitable results.
- Gas Oil and Heating Oil spreads: all curves are bearish opposite to historical seasonal behavior.
Buy Lean Hogs: HEZ16 – HEN16
long December 2016 Lean Hogs and short July 2016 Lean Hogs
Seasonal trading window is tight and now head and shoulder occured in sell direction. I am cautious, but spread will remain in watch list anyway.
Buy Crude Oil: CLU16 – CLQ16
long September 2016 Crude Oil and short August 2016 Crude Oil
3 days to optimized entry, finger is on trigger prepared to trade.
Buy Wheat: ZWZ16 – ZWN16
long December 2016 Wheat and short July 2016 Wheat
Correlation between spread and 5y, 10y, 15 and 20y seasonal patterns is higher than 60%. On the other side the backtest results are not very promising. I will see in couple of days whether the spread will continue to follow historical patterns and whether the entry signal occurs.
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