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Home Help Pages Frequently Asked Questions Spread Questions Encyclopedia of Commodity and Financial Spreads

Encyclopedia of Commodity and Financial Spreads

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1.  I purchased the Encyclopedia of Commodity and Financial Spreads textbook and have some follow up questions regarding the strategy sheets:

  • Figure 2-3 Buy Nov Crude Oil / Sell Apr Crude Oil (page 17) - Does this refer to contracts for two different calendar years (ie. Nov 2010 vs. April 2011)?
  • Figure 3-6 Buy Dec Corn / Sell July Corn (page 90) - Does this refer to contracts for the identical crop year (ie. Dec 2010 vs. July 2010)?

How can I tell whether the second month (ie. the one on the right side of the "/") is for the same calendar year as the first month or not?

The delivery month to use is always determined by entry date.  For example, the Nov/Apr Crude Oil spread entry is July 8.  Thus, on July 8, 2010, this year's spread would be between Nov 2010 and Apr 2011.  If the strategy was for Nov 2011 and Apr 2011, we would have had to designate it as such by referring to Nov 2011 as "Red" Nov --- a delivery month one year deferred from a more nearby of the same month.  In other words, at entry, the spread will always be between the nearest delivery of that month unless explicitly referred to as "Red" or, sometimes in the case of Eurodollars, "Green" (which designates two years deferred).

Similarly for the corn spread you cite.  The entry date for the Dec/July Corn strategy is May 21.  On May 21, 2010, the December 2010 is the nearby of that delivery month while the December 2011 would be designated as "Red."  Thus, that strategy is one between deliveries of the same calendar year but different crop years --- it is a "new-crop/old-crop" spread.

 

2. I’m looking for an updated version of the data in your book, The Encyclopedia of Commodity and Financial Spreads .
Does the website track that information and have updated data beyond 2004? If so- where do I purchase it and can I get it in a hard copy?

We're sorry, but unfortunately we do not currently have the updated data from our book. Years ago, we created the following files, that you are welcome to check out.
2005: http://www.mrci.com/client/wiley/wiley05.htm
2006:  http://www.mrci.com/client/wiley/wiley06.htm
If you want to custom order more updated data, please email us. Unfortunately, it is a time intensive task, so the cost would most likely start at $250.

We're sorry but there are no plans to update and revise this book.

 

3. When comparing MRCI ONLINE spreads recommendations/analysis with TheEncyclopedia of Commodity and Financial Spreads (MRCI, published 2006 by JohnWiley, ..) there are some spreads with excellent bilance stated in the Encyclopedia but not within MRCI ONLINE. Can you please explain why?

Some trading strategies listed one place but not another, different publications have different audiences and different limitations.  The Encyclopedia was meant for the public at large and to be comprehensive across all major futures and to explain seasonal factors that drive seasonal movement.  We also wanted to see how strategies that were successful over 15 years held up over 20 years.  So, whenever we found a strategy that had succeeded in 20 of the last 20 years, we were excited to present it.  But also remember that book was published five years ago.
The monthly MRCI strategies are limited to 15 each month.  That means that even a 15/15 strategy must have more going for it than 100% reliability.  Because we try to diversify those 15 strategies across several market complexes, each strategy must compete in terms of average profit (av pft) and average profit per day (av-pft/day).  For example, would you rather see a strategy that is 15/15 but has averaged only $180 over a period of 10 weeks -- or one that is only 13/15 but averaged $2,000 in 10 days?  It's a judgment call.
The former we tend more often to place in our series of special reports --- such as the Historical Soy Complex report, for those who have a special interest in a particular complex.
And lastly, there is not a "master list" of seasonal strategies from which we choose over and over.  Whenever we generate a new publication, all simulations are rerun so that the data is as fresh as possible.  We then choose from that new raw list --- and choices will depend on the audience, the purpose, and the limitation of the publication.  And it is (allegedly) a human being who makes those choices.

Last Updated on Thursday, 05 December 2013 12:21  
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