May 2016 Seasonal Spreads Watchlist Update

Date of analysis: May 16, 2016
The follow-up analysis of list of seasonal futures spreads I consider to trade in May. First two weeks of May were without trades.

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.

(click on image to enlarge)watchlist futures seasonal spread hez16 hen16 lean hogs

 

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.

(click on image to enlarge)watchlist futures seasonal spread clu16 clq16 crude oil

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.

(click on image to enlarge)watchlist futures seasonal spread zwz16 zwn16 wheat commodity

Please read the disclaimer.

 

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