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Home Explanation Pages Seasonal Spread Review

MRCI's Seasonal Spread Review Description - Explanation

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MRCI publishes two reports, updated daily, with the same format, but differ in content. The Seasonal Spread Review is a dynamic listing of current and future MRCI trading strategies. Much like a daily worksheet, it briefly summarizes the status of open positions and pertinent facts for immediately upcoming strategies. The Spread Portfolio Review is a listing of trading strategies which have closed within the last 30 days.

Spread Strategies included herein do not constitute buy or sell recommendations. They are instead quantified historical facts which suggest market tendencies. Such potential trading ideas are often best entered only with the assistance of fundamental and/or technical analysis, for instance, with indicators which confirm seasonal movement or timing signals which trigger entry.

Some listings may be similar to others but illustrate a longer or shorter trade window (a reliable segment within a reliable trend). Others may be coincident with first delivery and should be approached accordingly. To be consistent with principles of sound money management, Moore Research Center, Inc. suggests risking no greater dollar amount than that calculated as 1.3 x "ave. profit", executed on a close-only basis, for any given spread strategy. To appreciate the wealth of valuable information the Seasonal Spread Review has to offer, let's review it column by column.

Col # Explanation
1 Trade Number: MRCI publishes approximately 15 seasonal strategies each month in the MRCI Monthly Report and MRCI Online. These trades are numbered consecutively from the first publication of the MRCI Monthly Report in July 1989. This is a clickable link to a year by year history of the strategy as well as current charts.
2 Spread: To save space MRCI uses a shortened symbology format akin to a quote machine to represent the market for each seasonal strategy. The symbol breaks down into 3 parts. A breakdown of the format and symbols is available. This text is a clickable link to a daily chart which also shows seasonal patterns.
3 Status: The current state of the position (open, closed). The strategies on the Seasonal Spread Review would reflect current and pending spreads, whereas the Spread Portfolio Review contains closed spreads. On the day a particular strategy closes out it will be represented on both reports.
4 Entry date: The entry date for the current market year. MRCI's seasonal strategies are originally simulated using a seven day calendar. Therefore on any given year the optimized entry date may be on a weekend. MRCI always adjusts the entry date to the first valid trading day following the optimized entry. (Hence a weekend entry for a given year would adjust to the following Monday, or later if it is a holiday)
5 Entry Prices: All MRCI seasonal research is based on settlement prices. This value is the settlement price for each of the contracts on the entry date.
6 Entry Spread: All MRCI seasonal research is based on settlement prices. This value is the value of the spread on the entry date. When the two markets are of differing contract sizes, MRCI computes the spread as an equity difference.
7 Exit date: The exit date for the current market year. Since the same issue arises for the exit date as the entry, MRCI always adjusts the exit date to the last valid trading day prior to the optimized exit. (Hence a weekend exit for a given year would adjust to the previous Friday, or earlier if it is a holiday)
8 Last prices: The last settlement prices of each contract for a currently open strategy or the settlement prices on the exit date for a closed spread.
9 Last Spread: The value of the spread on the entry date. When the two markets are of differing contract sizes, MRCI computes the spread as an equity difference.
10 Last Equity: On the Seasonal Spread Review this is the current open profit/loss for the strategy. For the Spread Portfolio Review this is the ending profit/loss.
11 Best Equity: The greatest open profit, on a daily settlement basis, since the entry (blank if it was never profitable)
12 Worst Equity: The greatest open loss, on a daily settlement basis, since the entry (blank if it was never at a loss)
13 Win Pct: The historical winning percentage of this strategy.
14 Win Yrs: The number of winning years in the sample.
15 Tot Yrs: The total number of years in the sample. MRCI typically uses 15 years as the maximum number of years for a seasonal strategy. If a particular market has not traded for 15 years this number would reflect the maximum number of years available.
16 Hist Avg: The average profit per year in the sample. ie. total profits + total losses divided by number of years.
Last Updated on Wednesday, 07 November 2012 06:36  

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