Calendar gates for outright seasonal portfolios

A calendar window as a permission to trade

Seasonal-trading is a calendar-window procedure that treats entry, exit and abstention as one testable routine for a named contract. Editorial view: the calendar is not being asked to forecast the year. It is being asked only whether a named contract has earned a seat inside a historically recurring window.

Once that seat is granted, the same idea still has to name an exit and a stop-loss. Outside the accepted dates the contract is left unused unless another window is found.

The same tools on outright contracts

The same two tools used on spread seasonals, quarter-month seasonal trade analysis and a seasonal history printout, were applied unchanged to outright commodity contracts.

Commodity-spread-trading is a paired-leg seasonal workflow whose windowing tools, history listing and stop logic are reused without change on single-contract trades. The quarter-month window is a start-date by exit-date matrix used to isolate one accepted calendar cell for a specified contract month. The seasonal history printout is a year-by-year listing of that isolated window, used to judge consistency and to set the abort.

How a focused period is chosen

The procedure searches for a limited calendar window that has historically combined a sizable average move with year-after-year recurrence, then leaves that market unused outside the window unless another seasonal is identified. That accepted calendar interval is the focused period.

Named candidate windows include winter heating oil, summer gasoline, crop pre-harvest rises and post-harvest declines, spring Treasury-bill strength around tax-payment season, year-end currency effects from foreign-earnings repatriation, and a mid-year lumber decline.

The March corn case

The worked case is March corn over the 19 years from 1969 through 1987. The quarter-month matrix isolates 7 November through 28 February on that contract as a declining-price window.

The case listing singles out 1973 as a large contra-seasonal outcome and 1974 as a large following-year move in the seasonal direction, presenting that sequence as a recurring seasonal pattern. A contra-seasonal year is a year in which the isolated window moved against the historical direction, sometimes followed by an outsized year back in that direction.

What a completed slot names

A completed seasonal slot is described as naming the market, the dates, the expected direction and extent of the move, the contract month that best expresses it, and a stop level that ends the idea.

After the 19 March-corn window trades were inspected, a stop of $1,100 was specified as the bound on that idea. Stop-loss is a precommitted abort that bounds a seasonal idea before entry and through the holding period.

A filter on top of the calendar

An independent trading method can be layered on the seasonal calendar as an extra filter, in the same way filters were already applied to spread trades. The calendar still decides whether the contract has a seat. The extra method only decides whether that seat is taken.

Why unused months stay idle

A diversified stack of seasonal windows is the stated reason a single commodity can sit idle in non-focused periods: other calendar slots keep funds allocated so off-window trades need not be chased. A seasonal portfolio is that diversified stack of accepted windows, sized by trade count and peak margin, so funds stay allocated across the year.

Editorial view: unused months are idle by design. The book is kept occupied by many gated slots, not by forcing a trade in a market whose focused period has closed.

Three books from quarter-month sheets

Quarter-month sheets were used to assemble three books: more than 250 trades with a $60,000 peak margin need; more than 100 trades needing $30,000; and just over 70 trades in nine commodities needing $15,000.

The small book is gold, bonds, lumber, heating oil, pork bellies, soybeans, wheat, sugar and the Deutschemark. The medium book adds coffee and the S&P 500.