Seasonals

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The Best Choice in Seasonal and Cycles Trading Software: ( this AAPL example is Seasonal for Stocks )

One such trader is Kurt Sakaeda. I do not know Kurt, but I do know he has consistently won trading championships in the Robbin’s World Cup by using simple seasonal models. He has, as I recall, returned over 900% in some years using seasonals in the championship

Sakaeda, a data analyst, has developed a "Blue Book" of nearly 300 annual trade set-ups that cover all futures market segments. He suggests picking up on all his recommendations for optimal results. “It’s like riding a bicycle,” he says. “The faster you go the more stable you become. If you pick and choose positions, you will not have any diversity.”


asr: in TS it is easy to find out 'seasonal' pattern using this piece of TS code

Input:BS(-1),Stp(999),Mnth(1),Hold(14);
vars:BSe(1),Mnthe(9),holde(20),TrdDayofYear(189);
If next3rdfriday(0)=0 then value1=c;

{++++++++++++++++++++++++++++ ENTRY AT EXPIRATION DAY ++++++++++++++++++++++++}
if BSe=1 and TrddayofYEar=0 and Month(d)=Mnthe and Next3rdFriday(0)=0 then buy next bar 1 contracts market;
if BSe=-1 and TrddayofYEar=0 and Month(d)=Mnthe and Next3rdFriday(0)=0 then sell short next bar 1 contracts market;
{the above line trades from expiration to expiration-- exit lines below will exit based on
a certain number of hold days (holde), exit at next expiration, or exit at stp % from entry }

{+++++++++++++++++++++++ ENTRY FOR TRADE DAY OF YEAR +++++++++++++++++++++}
if TrddayofYEar<>0 and BSe=1 and tdoy=TrdDayofYear then buy next bar 1 contracts market;
if TrddayofYEar<>0 and BSe=-1 and tdoy=TrdDayofYear then sell short next bar 1 contracts market;
{the above line trades from expiration to expiration-- exit lines below will exit based on
a certain number of hold days (holde), exit at next expiration, or exit at stp % from entry }

{++++++++++++++++++++++++++++ EXITS FOR LONG ENTRIES ++++++++++++++++++++++++++}
If marketposition=1 and c < entryprice-(value1*Stp) then sell this bar c;
If marketposition=1 and barssinceentry=Holde then sell this bar c;
if holde=-1 and next3rdfriday(0)=0 then sell this bar c;

{++++++++++++++++++++++++++++ EXITS FOR SHORT ENTRIES ++++++++++++++++++++++++++}
If marketposition=-1 and c < entryprice-(value1*Stp) then buytocover this bar c;
If marketposition=-1 and barssinceentry=Holde then buytocover this bar c;
if holde=-1 and next3rdfriday(0)=0 then buytocover this bar c;

Print(date,time,",",tdoy);

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on MRCI performance results
see MRCI web site for 2008 performance and it gave all the years.
- performance % right is about 60% , got 270k profits in 2008 , but in march bigdraw down, there are years with 0% , but needs withstand big drawdown.
- certainly helps with direction in case of GOLD we see from 9/21 to +40 days it is down. if we get another analyst ( see GOLD heading) saying short GOLD then it adds as one more point of research.
- so they give about 15 out right trades and 15 spreads per month in ONLINE verison.
- if we get the yearly seasonal version then we get about 60 outright/20 spreads per commodity.
- we need to get these yearly report to catch and see what is the bias in each month , this info may be used in other trades .
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GLD chart : this seasonal worked for GOLD In 2009

for above gold see profit factor , for simplicity calc profit factor from point x wins
profit factor = 24 (avg.win pts) x 13 ( #wins ) / 12 (avg.loss pts) x 2 ( #loss )
profit factor = 24 (pts) x 13 / (12 x 2 ) = 13 wow. this is great Profit factor .

note: 1) look at worst equity also 2) this profit factor is with no STOP LOSS

Seasonal trading theory 1:
see in 2006 , 2008 look at worst drawdown of 6k , 4k then they truned as porfits. so with this good proft factor cases entering DOUBLE contracts on those worst darw down days gives much better edge.
- if not future contracts ( due to high risk) from those 6k, 4k down positions , one can buy CALLS to minimize risk.


In these charts 0 means contract lowest, 100 means contract highest price - this is what is mentioned in charts some where I need to find and talk to Jerry etc.
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This sample report
http://www.mrci.com/catalog/product_info.php?products_id=146

Nearly all markets — real estate, interest rates, fuel
oil, gasoline futures — are affected by various
fundamental forces, many of which are seasonal in
nature. Such forces as weather, fiscal calendars, European vacations and
specific characteristics of futures contracts (such as
delivery and expiration) tend to recur and influence, to
one degree or another, certain markets every year. As
any market or spread relationship responds to a series of
annually recurring factors, seasonal price patterns tend
to evolve.

Daily seasonal patterns, both the 15- and most recent 5-year, are derived from and a composite of historical
daily price activity in the specific contract, spread, or cash market. The numerical index to the right reflects a historical tendency to reach its seasonal high (100) orlow (0) at a given time.
( asr: what is given time ask Jerry )


"Pattern" implies a degree of predictability. Future prices move when anticipating change and adjust when that change is realized. When those changes are annual in nature, a recurring cycle of anticipation/realization evolves. This recurring phenomenon is intrinsic to the seasonal approach in trading, for it is designed to anticipate, enter, and capture recurrent trends as they emerge and exit as they are realized.

See Nice OIL, RBOB , Tresuary bills seasonal charts
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Seasonal trading theroy 2
Natural Gas:
look at these Nat. gas seasonal Dates, even though in 2009 Nat. Gas is in big DOWN turn in 2009 , following these historic seasional dates indicate best exit dates are by 4/15 - to 4/21 , so even in down trend in 2009 after 4/15 APR 15 much further down in Nat. Gas . so one can enter SHORT around 4/15 even in 2009 ( correlated theroy )

5 Buy Natural Gas(NYM)-June 2/25 4/15 100 13 0 13 2862
6 Buy Natural Gas(NYM)-July 2/25 4/21 92 12 1 13 3108
7 Buy Natural Gas(NYM)-May 3/14 4/21 92 12 1 13 2638

UNG chart -- to verify 2009 4/21 Short theory above
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Report scheduling -- good they gave for 2 weeks

Historical nearby contract prices
http://www.mrci.com/pdf/charts.php


Seasonal Trade Review Sample

Seasonal Spread Review

MRCI's Spread Tutorial

MRCI's Inter-Market Correlations(prev 160 trading days) - Sep 17, 2009


Scenario analysis -- great reserach

2008 Hypothetical Seasonal Results by Complex & More.
http://www.mrci.com/pdf/hypo08.pdf

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