List of seasonal futures spreads I consider to trade in November.
Buy Crude Oil: CLG17 – CLF17
long February 2017 Crude Oil and short January 2017 Crude Oil.
Optimized entry date is November 1st, but significant move on October 21st may indicate, that seasonality just started. The correlation between spread and seasonal patterns within last 15 years is stable and in last 15 years there were 100% winning trades.
Buy Live Cattle: LEJ17 – LEG17
long April 2017 Live Cattle and short February 2017 Live Cattle.
Trading window is almost two months and finish after Christmas. If I will enter into trade I will try to close the position before holidays. Another spread combination LEM17 – LEG17 is on my radar with optimized entry date at the end of November.
Buy Lean Hogs: HEZ16 – HEG17
long December 2016 Lean Hogs and short February 2016 Lean Hogs
Hence there are 28 days to optimized entry date I will provide analysis again in the middle of November. Currently, the seasonal statistics and back tests passed my analysis with good results.
Buy Corn: ZCZ16 – ZCK17
long December 2016 Corn and short May 2017 Corn
This one is less favorite. Historically average profits are small around 50 USD – 115 USD, it just covers the fees. Right now the market is choppy.
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