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Abstract

This study examined the potential reliability of seasonality in intermarket incremental margin calendar crushes, expected margin calendar crushes, and deferred crushes for application in real-time futures trading. Seasonal rolling averages were used to select the expected high (sell) and buy (low) points for out-of-sample trading simulations of four processing spreads: the heating oil crush, the unleaded gasoline crush, the soybean complex crush, and the cattle crush. Results suggest that simply buy (sell) and holding trading strategies based on historical seasonality do not generally produce positive profits that re significantly different from zero. Results indicate that of the twelve crush combinations examined, only the incremental cattle and the May deferred cattle crushes exhibited statistically significant profits. Furthermore, results suggest that although seasonal recurring patterns allude to profit opportunities, these opportunities erode quickly due to rolling and trading transactions costs.

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