Recent content by BorsBamse

Added to my position at -51.25

Back in at -45.25

Liquidated half of position at 33.25 Been a tough one to hold. Better position sizing next time.

Any thoughts on how far US corn prices can go relative to world prices? How important is the deterioration of wheat quality? (Ie. being used to replace corn as animal feed instead?)

Thought this was interesting. Much higher spread action in HRW than SRW

1. Picked the pair of expiries that looked most extreme on a historical basis, perhaps not worth the extra uncertainty 2. I find warehouse stocks difficult in figuring out what's priced in and what's not - but implications of higher stocks being that HRW potentially less susceptible to weather...

I'll barge in on your thread here with my first trade: Long KEN19-ZWU19 @ -37.75 - Seasonals - Stretched CoT positioning, slightly more so in Kansas vs. Chicago contract - Spread close to all-time lows Anything I'm missing?

How do you typically size your positions?

Do you have any views on Feeder Cattle calendar spreads at the moment? They seem to have blown out substantially (with April/May spread showing very different characteristics from May/August spread). Can you point to any resources that would be helpful in understanding this discrepancy?

Fair enough. I suppose I was more asking about best practices with regard to looking at historical spread prices, as opposed to 'back-testing'. Given the broad choices regarding roll dates and price adjustments, I was just wondering whether the same guidelines that typically apply for charting...

Thank you Bone, lots to think about - certainly with regard to fading With regard to back-testing spreads, what is considered best practice? Is there any literature you can point to that would be helpful?

Thank you for your lengthy reply, So either people have had a look-back period that's been too short (poor modelling) or spikes in spread volatility have become larger/more frequent/less normally distributed across the commodity space? Or a combination of both? To what degree can the...

Bone, Previously you mentioned that mean-reverting futures spread strategies haven't worked well in the past years. Why is that?

https://www.nytimes.com/2017/09/13/business/dealbook/market-volatility.html Also saw that Chris Cole's Artemis Capital Vega Fund is a constituent of the index. He's been prolific writer about the vol complex blowing up and ought to have made substantial amounts of money from this?

Any ideas as to why the Eurkehedge Long Vol index has been performing so poorly as of late? Despite vol being elevated this year. http://www.eurekahedge.com/Indices/IndexView/Eurekahedge/640/CBOE_Eurekahedge_Long_Volatility_Hedge_Fund_Index