Sitting around number crunching
I’m running some number crunching right now, and am looking at some interesting grain spreads. I have a couple of very high probability trades that I’m testing and trying to tweak. I think I will put the spreads on tomorrow as a whole, not legging into them, as I am lacking the discipline to accept risk at this juncture in life. I’m also interested in sugar, thinking it might have seen a bottom, just from the fundamentals. I still have my covered “free” long position in sugar that’s good for a couple more months.. However, the USD seems to be the kicker for all commodities, and I’m trying to match market scenarios with possible levels of the USD. Luckily, the grain spreads are pretty immune from currency fluctuations, except for the export factors. The export factors might move the spreads a little for a small period of time, just noise actually, but won’t change the overall direction of the spreads.
I will note that the art market has been perking up.
I haven’t been spending much time on the internet as of late. I’ve been going to places that have wifi, but have only checked into the internet about once a day.
I have managed to do a very rough outline for my book, and I am looking forward to getting this project going in ernest.
Hi Jeff,
I think my oil and gas shorts will work out soon - I’m actually hoping for higher prices on both so I can really latch for the sharp correction I expect. It was interesting, on Friday a guy came on BNN showing an aggregated seasonal chart on crude oil. Since 1984, oil has had a big seasonal move from Dec to early May (the guy pegged this Friday May 9 as the top). The reason is a refinery buildup of gasoline inventories for the summer. There’s a comparitively smaller but significant July to Sep seasonal when refiners switch to building heating oil inventories. It doesn’t mean the current bull run will stop instantly, but it may make it more vulnerable to a sharp correction.
Gold has an interesting seasonal as well - a big move up also starting in August or so for 2-3 months building up to India’s “wedding season”. Apparently they use a lot of gold jewelry. The May through July seasonal showed a decline, flattening out into August. Combine that with a stabilized US dollar, possibly a rising one, and gold could see some more downside in the next couple of months.
Re the grains, I don’t really care which way they move, just that corn, soybeans, and wheat correlate for a little while so I can get some volatility out of the ETFs.
I think gold, oil, natural gas and grains/beans are all going to have an interesting summer - mainly because of all the money that’s tied up in them at the moment. Couple that with weather news and you’ve quite the cocktail for volatility.
Cheers,
George
Comment by allocator — May 12, 2008 @ 2:30 am
HI Jeff, I was curious do you use tradestation for number crunching, or just for execution?
Comment by nathan — May 13, 2008 @ 5:37 pm
Nathan,
I use TS for mainly execution, but I get my executions done other places, too. I use some of the number crunching programs on TS, but use lots of other programs also. I’ve got about 100 years of tick by tick data of just about everything that has ever traded and like to play with it. With this data, I’ve made some amazing discoveries, that may or may not coorelate with future action…..still amazing. I’m not a technical analyst, but prefer statistical and counting methods, combined with fundamentals.
Jeff
Comment by masteroftheuniverse — May 13, 2008 @ 11:19 pm