Buy KEZ16 – MWU16: long December 2016 Hard Red Wheat and short September 2016 Spring Wheat
Today I found interesting inter-exchange spread which I would like to share with you.
The statistics are promising:
- correlation between spread and 5y, 10y, 15y, 20y seasonal patterns is higher than 70%
- 93% of winning trades in last 15 years with stable profits
- current price level compared to the history is quite low
I would entry today in long position when 1-2-3 pattern occurred at price -54.25. Stop loss would be set at -61.0 which is 337.5 USD per 1 contract.
I do not trade inter-exchange spreads, that’s why it is just hypothetical trade.