so these are modeling the curve to say.. this calendar is undervalued or overvalued compared to others - so go long/short or is the modeling incorporating technical analysis or both I can message you as well
When you have properly constructed and modeled a spread trade, you make an entry based upon your expectation for the delta or "spread" between the instruments to either converge or diverge. It's a game within a game.
I trade predominately futures spreads and the main influence on whether or not I enter the market – crude oil or otherwise – is how closely the spread is tracking its seasonal tendency. I look at a spread’s 15-yr. history and if it’s been correct at least 80% of the time (at least 12 of the last 15 years) within a specific period of time, I’ll take a closer look at each year to seek out any particular figures that will further influence my decision as to whether or not I enter the market. I use data from a company by the name of Moore Research Center (www.mrci.com). Moore Research (MRCI) is a registered Commodity Trading Advisor (CTA) specializing in seasonal research. I would say it would be well worth any spread trader’s time to look them up.
MRCI and Seasonalgo are based on seasonal patterns in spreads.. history is the guide here.. as any other future trader.. i like to trade the here and now and the setup I see.. hence my hesitance with this style of trading.. to me its more an educated gamble based on parameters following past history.. (these are for the ones that track the historical patterns.. of course need to weed out current trends that do not follow historical patterns).. what is probably (and i say probably since i dont have experience) is to see if there are any anomalies comparing the forward curve or other associated products for an arbitrage opportunity.... only issue here is there is no information and no systematic approach that is clearly documented for the retail trader (maybe this is what Bone and others have done using their technical indicators or automated data analysis routine).. i am trying to setup CQG data into Excel and write a macro to automate this analysis (probably easier using R or so).. reason i am posting is if there are others in the same scenario.. please reach out so we can discuss further
There’s a lot more consistent approach to Trading spreads than using “ seasonals ” in the traditional sense of the term. You can model Spread behavior. Besides - for CL the forward curve is much more supply vs demand responsive than seasonal per se.
Old thread but wondering if anyone here trading CL spreads/flys daily...not necessarily intraday to exchange thoughts on refining a relative value process
Hi i have been trading calendar spreads and flies of CL and Brent crude for the past 11 years now..Will be happy to exchange ideas ..