- 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.
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.
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.
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