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Click here to go
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David's
Chartbook.
In it, we hope you'll find
more information from which to develop your trading education as well as
your trading plans and strategies. As always, you should consult
your broker or licensed trading advisor before entering into real money
trades.
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Seasonal Trade
Recommendation |
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for August 18,
2004 |
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The following is
are just two of the more than a dozen Seasonal tendencies in the August 2004
Issue of the TNT Seasonal Strategies newsletter. For more information
on subscribing to this publication visit
click here
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PLEASE NOTE: there are 2 TRADE RECS ON THIS PAGE
November ’04 Soybean
Seasonal Strategy (S2004X)
Trade Rule: Buy
1 November Soybean MOC on the 10th to last trading
day of August and cover the position MOC on the 6th
trading day of September. Use a -21 cent/bushel stop loss.
Seasonal Logic:
Tight supplies and an over done market to the downside usually
supports soy complex futures this time of the year.
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In early
August, the new crop US soybean crop sets pods! Couple the
potential for damage with the fact that physical supplies are at
their tightest of the year and one can see why Soy complex
futures tend to rally. With the season of heaviest consumption
for soymeal approaching, processors tend to temporarily shut
down crushing plants to perform maintenance and take vacations,
further limiting supplies.
August has
tended to undo a lot of the damage done to the grains in July.
With July having seen the grain markets “slaughtered” this year,
this tendency may provide the impetus for the rallies in Wheat
and Soy complex futures as well as providing a better set-up for
the long slow decline that Corn experiences into harvest
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Since 1985,
December Corn futures have rallied in August 11 times, with 7 of
these rallies occurring after a weak July. November Soybeans
have rallied in August 10 times, with 8 of the 10 occurring
following a weak July. Similarly, December CBOT Wheat futures
have posted 5 of their 13 strong Augusts following a weak July.
|
Entry |
Entry |
Exit |
Exit |
Closed |
Closed |
High |
High |
Low |
Low |
|
Date |
Price |
Date |
Price |
P&L (pts) |
P&L ($) |
Price |
Date |
Price |
Date |
|
8/18/2003 |
580.50 |
9/9/2003 |
598.50 |
18.00 |
$900.00 |
601.00 |
9/9/2003 |
568.00 |
8/26/2003 |
|
8/19/2002 |
549.75 |
9/10/2002 |
577.25 |
27.50 |
$1,375.00 |
580.00 |
9/9/2002 |
530.25 |
8/22/2002 |
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8/20/2001 |
486.75 |
9/13/2001 |
482.00 |
-4.75 |
($237.50) |
494.00 |
8/21/2001 |
466.25 |
9/10/2001 |
|
8/18/2000 |
467.00 |
9/11/2000 |
506.00 |
39.00 |
$1,950.00 |
515.50 |
9/5/2000 |
463.00 |
8/21/2000 |
|
8/18/1999 |
469.50 |
9/9/1999 |
507.25 |
37.75 |
$1,887.50 |
521.50 |
9/7/1999 |
459.00 |
8/23/1999 |
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8/18/1998 |
538.50 |
9/9/1998 |
517.00 |
-21.50 |
($1,075.00) |
543.50 |
8/19/1998 |
508.50 |
9/1/1998 |
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8/18/1997 |
608.00 |
9/9/1997 |
645.25 |
37.25 |
$1,862.50 |
652.00 |
9/5/1997 |
604.00 |
9/2/1997 |
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8/19/1996 |
771.00 |
9/10/1996 |
807.00 |
36.00 |
$1,800.00 |
808.00 |
9/10/1996 |
755.00 |
9/3/1996 |
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8/18/1995 |
604.50 |
9/11/1995 |
627.50 |
23.00 |
$1,150.00 |
633.00 |
9/8/1995 |
603.50 |
9/1/1995 |
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8/18/1994 |
568.00 |
9/9/1994 |
575.50 |
7.50 |
$375.00 |
587.00 |
9/6/1994 |
563.00 |
8/22/1994 |
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8/18/1993 |
656.50 |
9/9/1993 |
641.50 |
-15.00 |
($750.00) |
681.00 |
8/30/1993 |
639.00 |
9/7/1993 |
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8/18/1992 |
542.25 |
9/9/1992 |
557.00 |
14.75 |
$737.50 |
562.00 |
9/8/1992 |
537.50 |
8/31/1992 |
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8/19/1991 |
540.50 |
9/10/1991 |
582.00 |
41.50 |
$2,075.00 |
598.50 |
8/26/1991 |
529.00 |
8/30/1991 |
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8/20/1990 |
624.50 |
9/11/1990 |
638.75 |
14.25 |
$712.50 |
645.75 |
8/24/1990 |
613.00 |
8/31/1990 |
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8/18/1989 |
577.75 |
9/11/1989 |
591.00 |
13.25 |
$662.50 |
599.50 |
8/23/1989 |
566.50 |
8/28/1989 |
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In
points |
In $'s |
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In
points |
In $'s |
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#
Trades |
15 |
Total
P&L |
268.50 |
$
13,425.00 |
Maximum Draw |
-30.00 |
($1,500.00) |
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# Win
|
12 |
Average P&L |
17.90 |
$ 895.00 |
Average Draw |
-11.97 |
($598.33) |
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# Loss
|
3 |
Average Win |
25.81 |
$
1,290.63 |
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|
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% Win
|
80% |
Average Loss |
-13.75 |
$ (687.50) |
Worst
Draw on Win |
-19.50 |
($975.00) |
GRAIN SPREADS:
The end of the U.S. wheat harvest in August means US supply can
only decline for another seven months. Export demand tends to
increase into December, when the Southern Hemisphere wheat
harvest begins. Hard red winter wheat – the type traded on the
KCBT - has been the most sought after wheat type in export
markets in recent years. Thus, though all Wheat markets tend to
favor Bull Spreads – long front month/short deferred contracts –
we will highlight the tendency in the KCBT market.
In the
last 15 years, December KCBT Wheat has gained relative to the
May contract 12 times from the end of August through to the end
of November (August 29th and November 26th,
respectively).
HYPOTHETICAL SPREAD TRADE
HISTORY
LONG DECEMBER / SHORT MAY KCBT WHEAT
ENTER ON 08/29 AND EXIT 11/26 - (we may enter this trade early
as it is now very attractively priced)
|
Entry |
Spread |
Exit |
Spread |
P&L |
P&L |
High |
Low |
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Date |
Entry |
Date |
Exit |
in
Points |
in
$'s |
Price |
Price |
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8/29/2003 |
6.50 |
11/26/2003 |
7.25 |
0.75 |
$ 37.50 |
7.25 |
-12.25 |
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8/29/2002 |
19.50 |
11/26/2002 |
33.50 |
14.00 |
$ 700.00 |
49.00 |
18.00 |
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8/29/2001 |
-19.25 |
11/26/2001 |
-13.25 |
6.00 |
$ 300.00 |
-10.75 |
-20.75 |
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8/29/2000 |
-22.75 |
11/24/2000 |
-23.50 |
-0.75 |
$ (37.50) |
-17.25 |
-25.25 |
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8/30/1999 |
-21.75 |
11/26/1999 |
-25.25 |
-3.50 |
$
(175.00) |
-21.75 |
-26.00 |
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8/31/1998 |
-22.25 |
11/25/1998 |
-19.25 |
3.00 |
$ 150.00 |
-14.00 |
-22.25 |
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8/29/1997 |
-6.50 |
11/26/1997 |
-19.50 |
-13.00 |
$
(650.00) |
-6.50 |
-21.50 |
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8/29/1996 |
21.00 |
11/26/1996 |
74.75 |
53.75 |
$
2,687.50 |
76.25 |
16.50 |
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8/29/1995 |
35.25 |
11/24/1995 |
48.00 |
12.75 |
$ 637.50 |
48.00 |
27.75 |
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8/29/1994 |
9.50 |
11/25/1994 |
12.00 |
2.50 |
$ 125.00 |
25.50 |
4.50 |
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8/30/1993 |
6.25 |
11/26/1993 |
36.50 |
30.25 |
$
1,512.50 |
36.50 |
4.25 |
|
8/31/1992 |
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