Seasonal spreads

hrokling,
You have to be careful when looking at MRCI's illustration where they overlay the current spread over the 15 year seasonal. That 15 year seasonal is not simply an average of the spreads of the last 15 years. Instead they try to give a rough estimate of the potential the current spread might have if, and that is a big if, the current spread keeps correlating with the 15 year spread as measured for the last couple of month before the statistical entry date.

At least this is the way I understand it. If anybody has a better explanation please post it here.
 
Thanks for that kahai.

Today I've exited the New crop/Old crop spread in Wheat. The reason for this is twofold:

From the charts I'm somewhat worried that the current wheat is going to get a bounce and outperform the new crop.

Also, I discovered that my profit target was wrong: It was actually -115, so it's already at 150% of my target.

Now the thing is that the seasonal pattern lasts into the beginning of february, so there might be a lot more profit to come in this spread. I'm however booking this profit, although a reentry could be possible. I'm not going to include a reentry in the journal and my scorekeeping.

So here goes:

Bought 2 Mar 08, Sold 2 Jul 08 ZW Wheat @ -102.5 - CLOSED - PROFIT 38 which is usd 3.800.

Right now there's only one spread on; in Natural Gas. We'll see how that goes and if it's able to reach my profit target anytime soon.
 
I just got a fill I did not expect to go in this soon:

Bought 2 Feb 08, Sold 2 Jun 08 RB RBOB Gasoline @ -0.1450

I actually had this as a planned entry for Dec 8th, but as I was working with my spread plan today I decided to start bidding at a price I think would be a good entry. So here we are then, 3 weeks early. I'm planning to hold into early next year, but if the profit target or stop loss point is reached I'll have to say goodbye to the position.
 
I also got another Gasoline spread fill early:

Bought 1 Jan 08, Sold 1 May 08 RB RBOB Gasoline @ -0.1700

I'm looking to add another contract here.
 
Closed out the spread in Natural Gas as it fell apart completely. It tanked from the -0.100 to -0.085 area premarket and I had to salvage what profit I could.

Sold 2 March 08, Bought 2 January 08 @ -0.130 - CLOSED - PROFIT 0.035 which is 700 usd.

Max profit in this spread was as high as 1.000 usd per contract, so partial profits should probably have been secured earlier.

The last two months in energies with the Heating Oil, Crude Oil and now Natural Gas has been very so so - I've had many bad entries and exits and although there's been great potential for profits I've been struggling with this.

In this light, the rest of 2007 should be extremely interesting as I've got many more energy spreads planned for entry in December.
 
I got another fill in Gasoline today - the Jan 08 / May 08 - this time at -0.1900. With the contract from Nov 15th this makes the average of -0.1800. So for the record:

Long 2 Jan 08, Short 2 May 08 RB RBOB Gasoline @ -0.1800
 
Last week bloodied my spreads in RB - the early entry was definitely the wrong move. I will add another two contracts on Friday on the Jan/May and another two of Feb/June on Monday. The reason for this is that I hadn't done my money management calculations right, so the position size is now too small.

Here's the year so far at the end of November:

 
I've opened a new position today:

Bought 1 May 08 RB RBOB Gasoline, Sold 1 May 08 HO Heating Oil @ 0.0660

A lot more action now in December with six more spreads to be opened before Christmas. Let's hope Santa brings some nice presents to disciplined traders this year.
 
I've also opened another RB/HO spread today:

Bought 2 Apr 08 RB RBOB Gasoline, Sold 2 Apr 08 HO Heating Oil @ 0.0242

Not too happy with my trade execution here - I hate having to leg in, especially when it's with such volatility as these contracts display.
 
As if this wasn't enough:

Bought 1 Mar 08, Sold 1 Sep 08 CL Crude Oil @ 1.00

Observant readers immediately recognise this as the opposite way of my loss earlier this fall.
 
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