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2001issue C031-2

February soybean high breakout and June trailing stop

A long-only soybean procedure allows a fifty-day high breakout only in February, can withhold the trade after a prior-year major high, and shortens a trailing stop after June 1.

  • The soybean procedure is long-only and may enter only in February, when a fifty-day high breakout is allowed inside that seasonal permission window.
  • A prior-year major high veto can withhold the February long even when the fifty-day high breakout appears.
  • The time-stepped trailing stop starts at the fifty-day low and, after June 1, follows a ten-day low as information-date tightening.
  • The long condition does not trigger in every year, and an out-of-the-money call overlay is described as one alternative when the buy condition appears.
Entries in this reading3 entries
Current trackBreakout system74 readingsSeasonal trading90 readingsTrailing stop97 readings

A February-only long procedure

The soybean procedure is specified as long-only and may enter only in February. February is the seasonal permission window: a calendar interval during which an otherwise identical price event is allowed to generate a signal.

Entry requires a fifty-day high breakout in February. That long trigger fires only when price makes a new high versus the prior fifty daily highs. The February long is withheld if the prior year already posted a major high. The prior-year major high veto therefore blocks the trade even when the breakout appears.

The protective stop is a time-stepped trailing stop. It starts at the fifty-day low and, after June 1, follows a ten-day low.

The rule set was examined on a continuous contract series of soybean prices. The long condition does not trigger in every year.

Cumulative profit of the February soybean 50-day high breakout

Eleven long-only February soybean trades from 1961 through 1997 left $70,900 of closed profit. Most of the equity came from a handful of years without a prior-year major high; two February entries were losers and one more barely paid. Numbers are the TradeStation trade list printed with the article, not a redrawn curve.
Eleven long-only February soybean trades from 1961 through 1997 left $70,900 of closed profit. Most of the equity came from a handful of years without a prior-year major high; two February entries were losers and one more barely paid. Numbers are the TradeStation trade list printed with the article, not a redrawn curve.Soybean continuous futures · Daily · 1961-02-02T00:00:00.000Z to 1997-06-04T00:00:00.000Z

Continuous soybean futures, one contract, no commission. Longs only: buy a 50-day high in February unless the prior year made a major high; initial stop is the 50-day low, tightened to a 10-day low after June 1. Cumulative profit is the closed-trade running total reported in the list.

Seasonal path and the June tightening

A typical November-contract seasonal path advances into spring and then declines more sharply in summer. February strength is treated as an early price summary of crop-stress and demand conditions that are widely known by June, which is why the stop is tightened after June 1.

That later change is information-date tightening: stop distance is shortened once crop and demand news are treated as widely known rather than early and private.

A listed alternative to the futures signal

When the buy condition appears, one alternative to following the futures signal is an out-of-the-money call overlay. That overlay buys a call struck above the market instead of holding only the futures signal. Those calls are described as usually cheaper in winter.

Educational research material, not investment advice. Historical source context does not establish present-day performance.
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20051-2 pp.Next on Breakout systemBox-and-breakout states written as ordered entry and exit rulesA confirmed range high needs a three-bar delay and a lookback-window comparison. A confirmed range low needs a three-bar delay, later lows that stay above it and later highs that stay under the confirmed range high.
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  6. 1998A noise-offset breakout judged after walk-forward re-estimation
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  8. 1998Moving-average candidates gated by support and resistance
  9. 2000Constructing next-close envelope targets for breakout stops
  10. 2001February soybean high breakout and June trailing stop
  11. 2005Box-and-breakout states written as ordered entry and exit rules
  12. 2007Match trend and breakout rules to the market condition
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  17. 2017Four-day green candle breakout as one swing procedure
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