Spreads Watch List: February 2017

Date of analysis: January 25, 2017

List of seasonal futures spreads I consider to trade at the end of January and in February.

At the beginning of January I entered into Live Cattle (LEQ17-LEM17). I am still holding the position and when I will close it there will be new post with trade summary.

 

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.

(click on image to enlarge in new window)watch list commodity seasonal futures spread trade soybean zsh17 zsn17

 

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.

(click on image to enlarge in new window)watch list commodity seasonal futures spread trade wheat zwz17 zwh17

 

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.

(click on image to enlarge in new window)watch list commodity seasonal futures spread trade soybean meal zmn17 zmz17

 

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.

(click on image to enlarge in new window)watch list commodity seasonal futures spread trade crude oil clv17 clx17

Please read the disclaimer.

 

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