Today I entered into a reverse of the RB spread I held from end of May until last week: Bought 1 Aug 07, Sold 1 Dec 07 RB Unleaded Gasoline @ 0.29 Other than that, it's good to see the NG spread being in the green again, lousy entrypoint there. And I love my long Oats/short Corn spread. It's working like a charm.
Here is a recap of both open and closed trades, with open trades as of their last traded price just about now (after the close): Closed trades Open trades I should add that the margins quoted are not quite correct, I have sometimes been unsure about the margin calculation and other times actually used old quoted spread margins from Vantage Futures margin list (I was too lazy to visit all exchange sites and look it up). I would be VERY grateful for any corrections to margins on the trades, and helpful guidance on how to calculate if I'm totally off base.
Although I'm sticking with my initial plan, I feel like this is working out and I've decided to put some more effort into researching seasonal strategies and developing a clearer trading plan. I thought I'd share with you what I'm planning to do in the next couple of months (I have a lazy July holiday coming up, so not much research will be done until August): POSITION SIZING / MONEY MANAGEMENT Getting the position sizing right is something I'm thinking a lot about right now. Obviously tradesize has not been properly balanced with regards to risk, but due to the small account size this hasn't been possible. I've started to toy around a bit with larger amounts, historic average MAE and volatility - as well as looking at this in context of margin requirements. The good thing is quite a bit of diversification in non-correlated markets, although there are some correlation trades as well. ENTRIES AND EXITS I've mentioned before that I'm an equities trader, and after these two months I feel it's appropriate to treat the seasonal patterns as high-probablity smooth moves with pretty nice trends (if the seasonality works, that is). I plan to look more closely into techniques for entries and exits, this includes profit targets and both normal and trailing stoploss. I also have to get better charting, right now I'm using IBs weak charting of spreads way too much - I'll have to get these markets added to my eSignal-subscription. ADDING/REFINING STRATEGIES Although I've used MRCIs Encyclopedia to start my research and get ideas - the trades are not exact duplicates - I plan to read a few more of the books on seasonals lying in my much too large stack of books waiting to be read, as well as ordering a few more. I will also probably get a subscription to MRCIs spread newsletter when we're getting close to year-end. I hope to have a larger arsenal of researched strategies, as well as a comprehensive and detailed trading plan a couple of months into 2008. If the trades continue to work for the next few months as well, I'll probably look to increase the account size somewhat - although the account size should take care of itself as well (the beauty of futures leverage). We'll see - right now it's been the excitement of learning something new and seeing it work (or examining why something isn't working) that's been the key driver for me.
hrokling, great to see the outstanding results you achieved so far, this will motivate me as well to look into some books about seasonal spreads. I have to say though, if I had followed exactly the recommendations of MCRI's weekly newsletter I would have had similar results. This must be truly an unusually profitable month for anybody following MCRI - almost 50% return on the $20,000 capital I figure is required for this strategy. We must keep in mind though that there have been large drawdowns in the past and likely will be in the future. I am looking forward to your research findings, especially how to come up with a good position sizing strategy - keep up the good work.
Today is another outstanding day with Corn continuing down and energies ticking the right way - current open profits are well over 11k usd. I'm curious whether the Soybean spread will turn profitable again, historically it has a huge move in the first half of July and I'm set to close it next week.
I've added yet another contract to the GE-spread: Long 1 Mar 08 GE Eurodollars, Short 1 Sep 07 GE Eurodollars @ 0.075 The position size is now 3, with an average of 0.098333.
I left an order in, and to my surprise I got filled afterhours today: Bought 1 Dec, Sold 1 Aug RB Unleaded Gasoline @ 0.3150 - CLOSED - PROFIT 0.0250 which is 1.050 usd. Like I've mentioned, I've worked a lot with profit targets - to try and figure out what I can reasonably expect to get out of a seasonal trade when the seasonality works. This particular strategy was a play on the aftermath of the RB seasonality from around May 20th to June 20th. I'll write some more on my work with profit targets, as well as positions sizing of the trades, when I find time - hopefully next week.
That made me look at my RB Aug 07/HO Aug 07 spread where I am sitting on a $2,000 profit (avg. profit 1148) but since the chart looks good and since there were two years where it reached almost $4,000 I am staying in a little bit longer. That should compensate me for a relatively (hopefully) small loss in the HE Oct 07/Feb 08 which I am supposed to close on 7/9. I used to have some money with a CTA who did nothing but trading lean hogs and had fantastic returns in 2005 and 2006 but pretty much stopped trading this year saying this market had turned upside down.
Do *not* try Man. Wow, what a terrible experience. If you're doing floor trades (or intermarket trades), you might get better from a floor broker. Otherwise, it's hard to beat knowing exactly what you're going to get filled at ahead of time with IB. Trading spreads with IB has worked great for me. It was a catastrophe with Man. http://www.elitetrader.com/br/?action=view&R_FirmID=177 (see my post--the second one down)