Seasonal spreads

At hrokling's request his thread has been further edited and many posts removed that were either off-topic, in violation of ET policy, or a distraction from his discussion of Seasonal Spreads. Some other posts were simply edited to remove ET violations. If your posts were caught up in the "sweep" and deleted/edited I apologize, but hrokling felt his thread was getting destroyed by the bickering, off-topic conversations, etc. and wanted to return things as they were. Please do NOT respond to this post here, and if you want to discuss it further send me a PM. Thanks.

Magna
 
Quote from kahai:

hrokling,
I once mentioned previously that the way MRCI suggests the interest spreads is not based on a rational quantitative basis,however, they work and that is what counts.

I also took the ZNZ7/ZFZ7 spread because it was profitable 12 times out of the last 15 years. In addition, Time & Timing also recommends this particular spread.

In addition, in a declining interest environment the long term maturities should gain over the short ones. That is why I am not buying the NOB spread, MRCI instead is recommending ZBZ7/ZFZ7 - it will be interesting to see who is right.
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Kahai:

I am responding to you as a courtesy to help hrokling and indirectly you also. The profit on the September or December NOB Spread is much higher than the profit on the September or December Notes only Spreads. I do not talk theory, we are trading these NOB Spreads this very moment.

Furthermore, I just cross-checked the returns on ZBZ7-ZBN7 and ZBZ7-ZFZ7 Spreads. They are very similar but the former is slightly more profitable. Hence, it makes no difference which one you choose.

Do not be entrapped by past records. They are simply guides. If you are intent on trading the ZNZ7-ZFZ7 Spread, then watch out for a reversal and then flip your spread to ZFZ7-ZNZ7. Don't trade in only one direction. Just follow the price.
 
SupremeTrader,
As I said before, any pointers or constructive criticism is always welcome but please keep in mind what this thread is all about. Hrokling started this as an experiment to see how he would do by following for one year the trade ideas he learned from MCRI's Encyclopedia published last year and we are all interested to see how it turns out. I took the easier road and subscribed to their service and selectively pick the trades which look good to me, although, for the last two month I wish I had followed it blindly - their monthly report (for which I figure you need a capital of about $50,000) for August alone is up over $20,000.

Before somebody reading this jumps in thinking this is the holy grail be forewarned - there going to be huge drawdowns, last year there was a $20,000 and in 1999 a $50,000 drawdown. And how can it be otherwise, if you want oversized returns you have to take oversized risks. Remember, Amaranth went bankrupt on a natural gas spread and I read an article about some floor traders who went bankrupt on a simple wheat spread within one week because they did not get out right away.
 
Would most everybody be charting these spreads on the IB workstation or using Track and Trade or some other software? I assume the trades are programmed into the software in advance, then monitored for awhile prior to execution. Or, are you just taking the MCRI recommendations verbatim, going for it, and then waiting for the exit date (dam the torpedoes and all that stuff)?

(For some reason I can't imagine this is all totally for science.)

Cheers.
 
Remember, I said I wanted to add to the CAD U7/AUD U7 on a pull back, well I waited too long and when I saw during the night session an unrealized profit of $4,120 I took it - the highest profit during the last 15 years on this spread has been $1,590!

Medowz,
I try to monitor a recommended spread at least one week before the suggested entry date and often enter or exit on other than the suggested dates - sofar I cannot tell if I am winning or loosing this way. Since I do mostly MCRI spreads I don't need any additional charting software and there are some available for free.
 
Thanks for that.

So it helps to have the subscription to MRCI first - got the idea. Since these all seem to be position trades, I plan to paper trade these awhile with my Track and Trade.

I appreciate the feedback.

Good Trading!
 
Would anyone have a quick overview of the current open trades? I'm mainly looking for positions and entry dates. If possible, I'd like to get on the same page as everybody else.
 
The Eurodollar spread which I started to build on May 30th today reached my profit-target:

Sold 3 Mar 08 GE Eurodollars, Bought 3 Sep 07 GE Eurodollars @ 0.735 - CLOSED - PROFIT 0.637 or 4.775 usd.

I can only say: Wow! This spread has accellerated over the last couple of weeks, and today it reached the profit-target. Again: Wow!
 
Quote from SupremeTrader:
hrokling:
Your ZNZ7-ZFZ7 Spread above is not a recognized spread. The trading ratio is 2:3 on eCBOT. You are on the right trend though. If I were you, I'll trade what is called the NOB Spread or 10 year Treasury Notes over 30 year Treasury Bonds. Presently, the September '07 NOB or ZNU7-ZBU7 is what is at play. It is a very profitable Spread but always use effective stops to protect your funds.

This is my last help to you. Goodluck in your trades.

For those of you on this Forum trading with $20,000 or less, do not trade the Petroleum Spreads like Heating Oil, Gasoline, Crude Oil and Natural Gas. They are just too volatile for your accounts, even if you are trading single contracts. Build up your funds patiently and gradually with Sugar spreads, corn spreads, etc until you have at least $50,000 to trade. Then jump into the oil sector. The markets will always be there for you. Just a friendly suggestion.
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Much appreciated, SupremeTrader. If you find the opportunity or change your mind I would be glad if you continued to contribute to the thread - or at least checked in on it once in a while.

Yes, I realize the ZNZ7-ZFZ7 isn't recognized - but at least the contracts are the same size which wasn't the case with my trade in May.

For "casual" trading, although that might be a somewhat disrespectful way of putting it, I don't have the proper software to trade the NOB - as it's not possible with Interactive Brokers' TWS. I admit I trade sometimes in the agri spreads for fun, as there are some good opportunities there.

Good luck and happy trading.
 
Quote from Medowz:
Would most everybody be charting these spreads on the IB workstation or using Track and Trade or some other software? I assume the trades are programmed into the software in advance, then monitored for awhile prior to execution. Or, are you just taking the MCRI recommendations verbatim, going for it, and then waiting for the exit date (dam the torpedoes and all that stuff)?
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I use TWS-charting, and then chart a bit with scarrtrading.com and barchart.com. I haven't tried Track and Trade although I've ogled it.

I started out blindly following, not MRCIs dates in their encyclopedia but dates I figured were better than theirs just from looking at seasonality. However, I've established that blindly following dates, either MRCIs or your own, isn't a good idea. Instead you have to use normal entry techniques - breakouts and such. When I don't have a position before my planned entry date I try to put on a contract just to be in.
 
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