Seasonal spreads

Discussion in 'Journals' started by hrokling, Apr 23, 2007.

  1. Guys, sorry for the long holdup. I'll shortly come back and...
    - write a quick explanation for my absence
    - track what happened to the open positions
    - describe the remaining positions I were to have opened (I didn't)
    - how those positions would have been managed
    - provide a detailed P&L account etc
    - draw some conclusions from my seasonal trading journey

    Within a week or so I should have this accomplished. Until then, happy trading.
     
    #371     Jun 8, 2008
  2. J-Law

    J-Law

    ?????
     
    #372     Jun 13, 2008
  3. J-Trade

    J-Trade

    hrokling - I would be very interested to hear your conclusions etc, should you care to post them.

    J.
     
    #373     Aug 5, 2008
  4. Hrokling,

    Are you still trading spreads based on the seasonality information from MRCI?

    Walt
     
    #374     Jan 12, 2009
  5. Hrockling?
     
    #375     Jul 18, 2009
  6. I suspect he blew out on the seasonal spreads... He hasn't posted since Sept 08...
     
    #376     Jul 27, 2009
  7. J-Law

    J-Law

    Spreading is a great "risk adjusted" way to trade.
    But at the end of the day.....Guess what?

    It's still trading & bird poop & volatility will happen.
     
    #377     Jul 28, 2009
  8. anything in the ag wouldn't be so hot this year based on the seasonality studies in the Encyclopedia of Commodity and Financial Spreads...:(
     
    #378     Jul 28, 2009
  9. Guys, apologies for the "downtime". I'm still around ET with another nick, and am currently trying to set a new World Record of Procrastination (Guiness Book of World Records are monitoring). I'll try to get the final spreadsheet of my seasonal spread trades uploaded tonight.

    If my memory serves me right, the experiment ended with about +100% - there was a huge loss in energies when I didn't check on my spreads for a few days for different reasons. I'll write more this evening. I'm still trading currencies and equities, but have been doing very little futures in the last year or so.
     
    #379     Jul 28, 2009
  10. After spending quite a lot of time last night deciding on how to present this, I'm doing the following. First, this is the trades as they are.

    [​IMG]

    I closed out the two RB/HO spreads with quite large losses, much larger than the stoploss point at about -2.000 USD per position. I unfortunately had to assume some more responsibilities for my baby daughter at the time, and I ended up only checking up on the position about two times a week.

    The final spreads from my original plan were not traded, and I've included the entry/exit prices at the pre-planned dates. If you remember from the early days of the journal, I pretty quickly arrived at the conclusion that trading on specific dates alone is not a good strategy, and that you need to look at overbought/sold conditions as well. Furthermore, several of the last spreads on the list were "bought" at tops - in particular the spreads in beans and meal.

    So, +19.860 is the final tally, which is a return of 132% during the course of a year. However this does not take into account commissions, exchange and clearing fees - which reduces the return more than you would think. (A quick count shows 322 contracts traded, which puts this cost at close to 1.000 usd with IB).

    Three things struck me yesterday as I was putting the final numbers into my spreadsheet:

    - The lack of discipline regarding position sizing has reduced the return quite a lot for the first 9 months of the campaign.

    - It would be interesting to see what the results would be if I had the discipline (and at the end, time) to take all trades at the right sizes.

    - The numbers of the final spreads are so bad, that the discretionary part of trading the first spreads must be a significant contribution to the positive results achieved. But also, these spreads would have been stopped pretty quickly, as no stoploss was applied to what you see here.

    The first is an interestin observation, but I plan to entertain the second and third item with an imaginary P&L - a sort of "what if" which includes both correct position size, taking all spreads, and full trade management of the final spreads. I'm very interested in seeing what that brings, and will share it with you here - of course.
     
    #380     Jul 29, 2009