Canadian Dollar Seasonal Action

So far the feedback we’ve received, besides the losing trades, has centered on the topic of, “too much testing jargon,” to quote one of our customers. Therefore, we’ll make this short and sweet. Anyone who wants more information should feel free to contact me directly. I’d be happy to discuss the technical side of things with like-minded quants.


The trade:

Sell December Canadian Dollar to initiate a new short position on Friday night’s open.

The protective buy stop will be placed 1.5% above Friday night’s opening price. I’ll follow up with the exact price for  Monday’s trade.

We’ll be following the 15-year pattern, which has produced the following out of sample results.

Average win – $1,816.

Average loss – $1,095.

Win rate – 65%.

Expected risk with December Canadian Dollar trading at $.78 to the Dollar – $1,170.

Scatterplot of all the out of sample trades generated by this strategy.

Scatter plot of all the out of sample trades generated by this strategy.

Next, we’ll follow the scatter plot up with a standard rolling trade equity of the previous years’ trades.

This is the scatter plot data laid out chronologically.

This is the scatter plot data laid out chronologically.

Finally, we’ll offer a bit of a preview for the rest of November. Our next trade will be a buy signal in the mini S&P 500. This was a bit harder to separate the seasonality from the trend due to the stock market’s decade-long roar. Not unexpectedly, the winning percentage for this trade is quite high. More importantly, the risk to reward metrics are quite robust with an average win of more than $2,000 and a standard deviation of returns that is less than one-fourth of the mean.

Sign Up for Seasonal Analysis – $35 per/mo.

Our last trade for the month will be in the March copper futures. This trade takes advantage of both the roll from the December to March contract as well as the early construction inventory build for the coming year. Copper is a big ticket market, which creates lots of risk and reward. We’ll be risking 2% on the trade. This is equal to $1,575 with copper futures trading at $3.15 per pound. This strategy has won about two-thirds of its trades, with an average winning trade of more than $3,200.

This material has been prepared by a sales or trading employee or agent of Commodity & Derivative Advisors and is, or is in the nature of, a solicitation. This material is not a research report prepared by Commodity & Derivative Advisors’ Research Department. By accepting this communication, you agree that you are an experienced user of the futures markets, capable of making independent trading decisions, and agree that you are not, and will not, rely solely on this communication in making trading decisions.

The risk of loss in trading futures and/or options is substantial and each investor and/or trader must consider whether this is a suitable investment. Past performance, whether actual or indicated by simulated historical tests of strategies, is not indicative of future results. Trading advice is based on information taken from trades and statistical services and other sources that Commodity & Derivative Advisors believes are reliable. We do not guarantee that such information is accurate or complete and it should not be relied upon as such. Trading advice reflects our good faith judgment at a specific time and is subject to change without notice. There is no guarantee that the advice we give will result in profitable trades.