Seasonal spreads

Quote from lifegauge:
Hello and thank you for sharing your spreads trading journal. I have a question if you do not mind - What do you think of the seasonals research done by MRCI and do you actually understand how those charts are being constructed?

There are a few other calendar spreads that MRCI apprently does not have, so I wonder for those particular spreads ... how else can we try and find the seasonalities.
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I'm not a subscriber to MRCI, but I see their work a lot. I think they do a good job selecting spreads, and displaying the spread in a pretty accessible way. The charts are made using historical data over 20 years, with the dates moved around a bit to account for weekends/holidays being on different dates each year. They then construct a chart of the average movement throughout the year of a spread.

To look for seasonality: You can for instance use www.scarrtrading.com (it's free right now). Load up the May and Jul wheat for example, and look at the pattern. From this you can construct your own spreads :)

There are a couple of webpages which allows you to hunt for seasonality with databases - seasonex.com is one of them.

I'm currently for this journal using trades planned after reading the Encyclopedia of Commodity and Financial Spreads which you can buy off Amazon.
 
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<i>Quote from lifegauge</i>
<b>There are a few other calendar spreads that MRCI apprently does not have, ...
... how else can we try and find the seasonalities.</b>
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http://www.timeandtiming.com
states
"T&T has checked just under half a billion spread possibilities"

Of course, the downside is the possibility of data mining.

I do not have a subscription.
 
I tried the one month free trial since their web page promises terrific search options - and they would be great if they actually would be working as promised. Many of the spread searches I tried did not work and worse, they did not return my e-mail inquiries regarding this failure.

Is anybody else using it and what is your experience?
 
I did try timeandtiming, but more to take a look at it than to put it to practical use. I think I'll give it another shot in the new year. The downside is it gives med a DOS-feeling (which I don't like). Might be useful, but I have a better feeling for seasonex since they group days together into 3 (or is it 5) which I think makes sense.
 
Hello all, thank you very much for your replies on the seasonal spreads database sources.

I have just placed an order to buy Moore's book from Amazon and hope to receive it in a few days.

Regarding brokers, I wonder if there are others besides IB who uses SPAN margin (i.e. margin credits) ...

Thanks very much for your replies again and good luck with your trading!
 
hrokling,

I am surprised you did not take the lean hog Feb08/Dec07 spread. 15 winners out of the last 15 years and the way the spread follows the 15 year seasonal chart looks very good, entry date was 8/10, I was late but still show a big profit so far - because of the great statistic I took 12 contracts - but I actually expect to at least double it until 11/6.

What is your experience with using the combo window for globex intermarket spreads? I used it twice already for HE/LE spreads by dragging the contracts into the window and entered and exited it through spread limit orders (both were loosers). But the one I am trying to put on now, LE Dec07/HE Dec07, even though I can establish the spread and place a limit order (not filled so far), is deleted at the end of the trading day by IB with the note that it is not supported - strange.
 
The meats are not part of my strategy, although I sometimes trade them on the side without including it here.

I've noticed the same thing with intermarket spreads: You need to create the combo again every day, and orders are deleted.
 
Can you recommend any books on Spread Trading? Also, when you enter spread orders on IB do you just buy one and sell the other, or do you enter it as 1 order to be executed at a certain spread value?
I'm a spread noob but I've been looking at Dec07 Wheat and July08 Wheat. The spread is huge. Any thoughts on it? I have no handle on how wide Wheat spreads have gotten historically.
 
The strangest thing happened:

I've left an order to sell the HO spread at -0.0600 for many days now - GTC. My position is 2 contracts, and the order was for two. This morning, at 14:11, I got executed 1 contract. Looking at Interactive Broker's chart of the spread I see it's been around the -0.0550 to -0.0600 area from 8pm to 8.30am Eastern. I'm just puzzled why I didn't get filled on both. I'll make an IB ticket, but I doubt they'll fix it.

Anyway, I'll delay any P&L until I'm out of the other contract. Currently I'm:

Long 1 May 08, Short 1 Dec 07 HO Heating Oil @ -0.0900
 
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