hard red spring wheat trade seasonal futures commodity spreads kez16 mwu16

Hard Red/Spring Wheat Spread: Hypothetical entry

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.

(click on image to enlarge)hard red spring wheat trade seasonal futures commodity spreads kez16 mwu16

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

Hypothetical entry:

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.

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