Nov – RS Canola

RS Canola (WCE) Spread Strategy

  • Sell RSN18 (Jul), Buy RSF19 (Jan)
  • Window: Nov to Feb
  • Style: Opportunistic; position scaling and discretionary profit-taking

Details:

As with the other Canola spread strategies, it's better to enter in on opportunity - when the spread has risen significantly - rather than a normal passive approach to buy and hold throughout the window.

A possible meta-strategy would be to enter in one position at start of window, and scale in one more position if spread rises by more than a % or by an absolute amount e.g. 10 points.

A less risky meta would be to enter only once during the window IF prices rise according to that criterion. Downside is that some normal years without price bumps may be missed out.

The underlying basis for this is that the window generally does exhibit a negative seasonality, but the price bumps are not easy to predict.

Exit should also be done on opportunity, as it is difficult to predict. It's best to take profits when the spread seems to be reversing either via profit target or by a tight trailing stop.

Backtest results:

  • Equity curve is not the best - mostly small gains and a few large ones, but on the flipside, drawdown and losses are small too
  • Profit factor is 9.57 which is very good
  • Data extends to only 15 years

Years# Win% PF RRR ProfitØ DDØ WinØ LossØ Total Profit Profit Loss
5 60% 3.25 1.96 117.20 -282.00 282.00 -130.00 586.00 846.00 -260.00
10 70% 5.60 1.62 141.80 -316.20 246.57 -102.67 1418.00 1726.00 -308.00
15 73% 9.57 2.67 224.00 -300.13 341.09 -98.00 3360.00 3752.00 -392.00
Year Enter date Enter price Exit date Exit price Points Profit Days# Best Date Best Worst Date Worst Drawdown
2017 2016-11-01 22.5 2017-03-01 17.0 5.5 110.00 121 2016-11-15 192.00 2016-12-07 -212.00 -404.00
2016 2015-11-02 9.8 2016-03-01 -11.6 21.4 428.00 121 2016-02-25 454.00 2015-12-02 -32.00 -160.00
2015 2014-11-03 -2.9 2015-02-27 7.8 -10.7 -214.00 117 2014-11-04 48.00 2015-01-14 -324.00 -372.00
2014 2013-11-01 -8.5 2014-02-28 -23.9 15.4 308.00 120 2014-02-13 342.00 2013-11-21 -64.00 -72.00
2013 2012-11-01 49.3 2013-03-01 51.6 -2.3 -46.00 121 2013-01-22 334.00 2013-02-28 -68.00 -402.00
2012 2011-11-01 28.9 2012-03-01 31.3 -2.4 -48.00 122 2011-12-23 320.00 2012-02-29 -72.00 -392.00
2011 2010-11-01 35.2 2011-03-01 13.5 21.7 434.00 121 2011-02-28 468.00 2011-01-06 -474.00 -524.00
2010 2009-11-02 6.6 2010-03-01 -9.8 16.4 328.00 120 2010-02-05 412.00 - 0.00 -166.00
2009 2008-11-03 -17.6 2009-02-27 -17.9 0.3 6.00 117 2008-12-16 124.00 2009-01-23 -164.00 -288.00
2008 2007-11-01 8.6 2008-02-29 3.0 5.6 112.00 121 2008-02-29 112.00 2007-12-14 -322.00 -382.00
2007 2006-11-01 11.9 2007-03-01 -10.9 22.8 456.00 121 2007-02-23 556.00 2006-11-27 -36.00 -202.00
2006 2005-11-01 -20.2 2006-03-01 -24.5 4.3 86.00 121 2006-02-28 140.00 2005-11-29 -72.00 -124.00
2005 2004-11-01 6.7 2005-03-01 -11.5 18.2 364.00 121 2005-01-21 500.00 2004-11-10 -36.00 -172.00
2004 2003-11-03 37.4 2004-03-01 41.6 -4.2 -84.00 120 2004-01-28 378.00 2004-02-24 -142.00 -520.00
2003 2002-11-01 71.5 2003-02-28 15.5 56.0 1120.00 120 2003-02-25 1194.00 2002-11-04 -70.00 -322.00

Links:

Canola front month futures, continuous

 

All data generated using SeasonAlgo
www.seasonalgo.com