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MRCI's Spread Strategy #36

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Buy Jul Wheat(KCBT) / Sell May Wheat(KCBT)
Enter on approximately 10/23 - Exit on approximately 02/04
 
Cont
Year		  
Entry
Date		  
Entry
Price		  
Exit
Date		  
Exit
Price		  
 
Profit		  
Profit
Amount		 Best
Equity
Date		 Best
Equity
Amount		 Worst
Equity
Date		 Worst
Equity
Amount
2011 10/25/10 5.50 02/04/11 8.75 3.25 162.50 01/12/11 187.50 12/03/10 -562.50
2010 10/23/09 11.25 02/04/10 11.50 0.25 12.50 11/25/09 87.50 10/26/09 -37.50
2009 10/23/08 9.25 02/04/09 11.00 1.75 87.50 11/11/08 162.50 12/03/08 -137.50
2008 10/23/07 -151.75 02/04/08 -41.25 110.50 5525.00 01/31/08 5737.50 12/17/07 -1625.00
2007 10/23/06 -58.00 02/02/07 1.00 59.00 2950.00 01/30/07 3150.00    
2006 10/24/05 -5.50 02/03/06 1.00 6.50 325.00 01/25/06 325.00 11/18/05 -125.00
2005 10/25/04 -2.75 02/04/05 -10.50 -7.75 -387.50 11/29/04 200.00 01/14/05 -462.50
2004 10/23/03 -23.25 02/04/04 0.00 23.25 1162.50 02/04/04 1162.50 10/28/03 -62.50
2003 10/23/02 -60.75 02/04/03 -7.00 53.75 2687.50 01/13/03 2975.00    
2002 10/23/01 5.25 02/04/02 6.00 0.75 37.50 12/31/01 112.50 10/26/01 -62.50
2001 10/23/00 4.75 02/02/01 9.75 5.00 250.00 01/24/01 275.00    
2000 10/25/99 10.50 02/04/00 11.25 0.75 37.50 02/01/00 37.50 11/29/99 -75.00
1999 10/23/98 6.50 02/04/99 9.75 3.25 162.50 01/27/99 187.50 11/18/98 -125.00
1998 10/23/97 4.00 02/04/98 8.50 4.50 225.00 01/02/98 312.50 11/04/97 -75.00
1997 10/23/96 -18.50 02/04/97 -18.25 0.25 12.50 10/31/96 575.00 12/19/96 -500.00
Percentage Correct 93      
Average Profit on Winning Trades 19.48 974.11   Winners 14
Average Loss on Trades -7.75 -387.50   Losers 1
Average Net Profit Per Trade 17.67 883.33   Total trades 15
SEASONAL TENDENCIES ARE A COMPOSITE OF SOME OF THE MORE CONSISTENT COMMODITY FUTURES SEASONALS THAT HAVE OCCURRED OVER THE PAST 15 YEARS. THERE ARE USUALLY UNDERLYING FUNDAMENTAL CIRCUMSTANCES THAT OCCUR ANNUALLY THAT TEND TO CAUSE THE FUTURES MARKETS TO REACT IN A SIMILAR DIRECTIONAL MANNER DURING A CERTAIN CALENDAR PERIOD OF THE YEAR. EVEN IF A SEASONAL TENDENCY OCCURS IN THE FUTURE, IT MAY NOT RESULT IN A PROFITABLE TRANSACTION AS FEES, AND THE TIMING OF THE ENTRY AND LIQUIDATION MAY IMPACT ON THE RESULTS. NO REPRESENTATION IS BEING MADE THAT ANY ACCOUNT HAS IN THE PAST OR WILL IN THE FUTURE ACHIEVE PROFITS UTILIZING THESE STRATEGIES. NO REPRESENTATION IS BEING MADE THAT PRICE PATTERNS WILL RECUR IN THE FUTURE. HYPOTHETICAL PERFORMANCE RESULTS HAVE MANY INHERENT LIMITATIONS, SOME OF WHICH ARE DESCRIBED BELOW. NO REPRESENTATION IS BEING MADE THAT ANY ACCOUNT WILL OR IS LIKELY TO ACHIEVE PROFITS OR LOSSES SIMILAR TO THOSE SHOWN. IN FACT, THERE ARE FREQUENTLY SHARP DIFFERENCES BETWEEN HYPOTHETICAL PERFORMANCE RESULTS AND THE ACTUAL RESULTS SUBSEQUENTLY ACHIEVED BY ANY PARTICULAR TRADING PROGRAM. ONE OF THE LIMITATIONS OF HYPOTHETICAL PERFORMANCE RESULTS IS THAT THEY ARE GENERALLY PREPARED WITH THE BENEFIT OF HINDSIGHT. IN ADDITION, HYPOTHETICAL TRADING DOES NOT INVOLVE FINANCIAL RISK, AND NO HYPOTHETICAL TRADING RECORD CAN COMPLETELY ACCOUNT FOR THE IMPACT OF FINANCIAL RISK IN ACTUAL TRADING. FOR EXAMPLE, THE ABILITY TO WITHSTAND LOSSES OR ADHERE TO A PARTICULAR TRADING PROGRAM IN SPITE OF TRADING LOSSES ARE MATERIAL POINTS WHICH CAN ALSO ADVERSELY AFFECT ACTUAL TRADING RESULTS. THERE ARE NUMEROUS OTHER FACTORS RELATED TO THE MARKETS IN GENERAL OR TO THE IMPLEMENTATION OF ANY SPECIFIC TRADING PROGRAM WHICH CANNOT BE FULLY ACCOUNTED FOR IN THE PREPARATION OF HYPOTHETICAL PERFORMANCE RESULTS AND ALL OF WHICH CAN ADVERSELY AFFECT ACTUAL TRADING RESULTS. RESULTS NOT ADJUSTED FOR COMMISSION AND SLIPPAGE.
Copyright © 1989- Moore Research Center, Inc.
Some data provided by Commodity Research Bureau

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