Seasonal Agricultural Futures Selling with Moving Average and ATR Levels

Summary

This seasonal model describes a short-selling schedule for agricultural commodity futures, intended to help producers sell at prices above the seasonal average. It assumes prices tend to be relatively low around harvest and stronger during the growing season. The strategy waits a configurable number of months after harvest before allowing sales, then enters short positions when the bar’s high reaches a threshold above a simple moving average. The threshold adds a multiple of Average True Range to the moving average, adapting the target to recent volatility.

Sales are spaced by a minimum number of days, with up to three contract entries, and open positions are covered when the next harvest period begins. The supplied TradingView description says the model was originally presented in 1978 and identifies corn futures as the parameter reference; it recommends tuning the average length, ATR settings, harvest month, and delay for the instrument. No performance results are included here. Seasonal patterns can vary by crop and year, and the contract values, commissions, slippage, and calendar assumptions need adjustment before applying the model elsewhere.

Key ideas

• The model schedules short sales around crop seasonality, delaying entries after harvest and covering at harvest.
• A simple moving average plus an ATR multiple defines the price threshold for a sale.
• A minimum interval between entries spaces sales, with the strategy allowing up to three contracts.
• Harvest timing and indicator parameters are configurable and require tuning for each commodity.
• The document provides no performance evidence, and its corn-specific assumptions may not transfer to other markets.

Tags

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.