Nov – W – Wheat

Wheat (CBOT) Spread Strategy

  • Sell WU18 (Sep), buy WZ18 (Dec)
  • Window: Nov to Aug (10 months)
  • Style: Hold till maturity, or when profit comes fast on a spike

* Year 2011 excluded, spike to the downside gave a one-time boost to the strategy results

General down trending pattern across most years. High win rate with losses small ≈ 200 per contract, and gains small too but high in count, with some years giving a bonus >500 profit.

Stop loss is at 0 - most years do not get close to that, and for those that do, it only remains there for a short while, suggesting that it is better to hold than to cut.

Distribution of returns, WU-WZ strategy
Backtest results

 

All data generated using SeasonAlgo
www.seasonalgo.com