June 2016 Spread Trading Watchlist

Date of analysis: June 01, 2016
List of seasonal futures spreads I consider to trade in June. Last two weeks of May I entered into two positions:
  • ZWN16 – ZWZ16 is already closed on break-even. I made small money management mistake, details of the trade are here.
  • CLQ16 – CLU16 position is still open.

 

Buy Lean Hogs: HEN16 – HEQ16

long July 2016 Lean Hogs and short August 2016 Lean Hogs

8 days to optimized entry but seasonality might start sooner. Backtest results are promising, 100% successfull trades in last 15 years.

(click on image to enlarge in new window)watchlist futures seasonal spread trade hen heq16 lean hogs

 

Buy Hard Red Wheat: KEN16 – KEU16

long July 2016 Hard Red Wheat and short August 2016 Hard Red Wheat

1 day to optimized entry, but signal to enter into trade still did not occur.

(click on image to enlarge in new window)watchlist futures seasonal spread trade ken16 keu16 wheat

 

Buy Natural Gas: NGG17 – NGZ16

long February 2017 Natural Gas and short December 2016 Natural Gas

17 days to optimized entry. There is no good correlation between spread and 5y, 10y, 15, 20y seasonal patterns. The backtest results are not very promising. In couple of days I will provide analysis again. I add this spread in watchlist just in case.

(click on image to enlarge in new window)watchlist futures seasonal spread trade ngg17 ngz16 natural gas

Please read the disclaimer.

 

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