Commodities Seasonality Strategy 170905
Buy December 2017 KC (ICE) Coffee, hold until mid October
- Entry: 129
- Target: 150 (+21)
- Stop loss: 120 (-9)
Positive seasonality for when August is a down month - out of 18 times when Aug was down, Sep is down 7 times (39% of the time).
| Year | Aug | Sep |
| 1980 | -13.9% | 2.8% |
| 2000 | -13.8% | 11.4% |
| 1981 | -11.8% | 20.6% |
| 1977 | -8.3% | -15.3% |
| 2012 | -8.1% | 6.4% |
| 1992 | -6.5% | 3.0% |
| 1998 | -6.3% | -13.1% |
| 2013 | -5.8% | 0.1% |
| 1999 | -5.3% | -4.4% |
| 2005 | -5.2% | -4.4% |
| 2017 | -5.0% | |
| 2009 | -3.4% | 4.0% |
| 2015 | -3.3% | 0.1% |
| 1988 | -3.3% | 10.0% |
| 2003 | -3.2% | 2.4% |
| 1975 | -2.8% | -0.3% |
| 2001 | -2.8% | -4.4% |
| 1974 | -2.8% | -18.0% |
| 2007 | -1.4% | 14.2% |
August itself is the highest median return month for Coffee at 1.3%, but this August proved to be a down month losing about 5%.
September tends to be a down month, with rather large losses at times. This can be capped with a stop loss or with an option position.
August is positive 25 out of 44 times (sample size, including this year).
September is positive 22 out of 44 times, but losses tend to be large