List of seasonal futures spreads I consider to trade at the end of January and in February.
Buy Soybeans: ZSH17 – ZSN17
long March 2017 Soybeans and short July 2017 Soybeans.
Optimized entry date is February 2nd. The correlation between spread and seasonal patterns within last 15 years is higher than 60% and in last 15 years there were 80% winning trades. ZSH17-ZSX17 is in game as well.
Buy Wheat: ZWH17 – ZWZ17
long March 2017 Wheat and short December 2017 Wheat.
I am waiting when price breaks the resistance level at -60 in order to enter into long position.
Buy Soybean Meal: ZMN17- ZMZ17
long July 2017 Soybean Meal and short December 2017 Soybean Meal.
This one is less favourite – spread is not very well correlated with seasonal patterns. The trading window is quite large (3 months), if traded I will consider re-optimization of trading window.
Buy Crude Oil: CLV17– CLX17
long October 2017 Crude Oil and short November 2017 Crude Oil.
This one is less favorite. The seasonality is not good but backtest results are promising. I’ll be very cautious.
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