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Hi Bob G
Sorry ... I was rushed yesterday and didn't answer your questions. You
wrote:
"... To get those
figures I look at a number of contracts for each commodity I trade to
arrive at a figure for that market. What is the corresponding mechanism
in a spread trade? Do you calculate MFE for both contracts you are
looking at? Do you only trade calendar spreads of the same commodity? ..."
MRCI has the last 15 years of the spread already calculated for you. However
it is only calculated on the close and is subject to spike highs. The MFE is
the Best equity column (of the spread not each contract because sometimes
you have complicated spreads). To get MinFE you calculate the spread using
lows.
MRCI lists about 20 spreads per month plus I look at an additional 60 to 70
spreads per month from trader friends.
The spreads are inter-months, inter-commodities and inter-markets (i.e., KC
wheat and Chicago corn). I don't do hedges because I'm not in the cash
markets.
Metastock is fine for the charting but my analysis of spreads in Excel is
historical and statistical. The bulk of the work is up front installing the
data base and calculating the probabilities. The successive years is entry
and exit plus portfolio management. It's your basic boring business. The
major danger is lifting one leg carelessly (through greed or whatever) and
getting carelessly caught on the remaining naked position.
Best regards
Walter
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