IDEAS home Printed from https://ideas.repec.org/p/ags/nc8191/285759.html

A Calendar Spread Trading Simulation of Seasonal Processing Spreads

Author

Listed:
  • Cole, Christine A.
  • Kastens, Terry L.
  • Hampel, Frederick A.

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.

Suggested Citation

  • Cole, Christine A. & Kastens, Terry L. & Hampel, Frederick A., 1999. "A Calendar Spread Trading Simulation of Seasonal Processing Spreads," 1981-1999 Conference Archive 285759, NCR-134/ NCCC-134 Applied Commodity Price Analysis, Forecasting, and Market Risk Management.
    • Handle: RePEc:ags:nc8191:285759
    DOI: 10.22004/ag.econ.285759
    as

    Download full text from publisher

    File URL: https://ageconsearch.umn.edu/record/285759/files/confp14-99.pdf
    Download Restriction: no
    File URL: https://libkey.io/10.22004/ag.econ.285759?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    More about this item

    Keywords

    ;

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:ags:nc8191:285759. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: AgEcon Search (email available below). General contact details of provider: http://www.farmdoc.illinois.edu/nccc134/ .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.