Seasonal Agricultural Futures Selling with Moving Average and ATR Levels

Summary

This model describes a seasonal approach to selling agricultural commodity futures, originally presented by Perry J. Kaufman to commodity producers. Its premise is that prices for crops with one annual harvest may tend to be weakest around harvest and strongest during peak growing season. The strategy therefore schedules short entries within a crop-year window rather than trading continuously.

It calculates a simple moving average and adds a multiple of average true range to define a sell level. When price reaches that level during the active period, it opens a short position, then allows additional sales after a specified number of days, up to the configured pyramiding limit. Trading is suspended and open positions are covered at harvest. The supplied script and explanation illustrate the rules, but the text provides no performance results or empirical validation. The seasonal price pattern may vary by crop, market, and year, and the schedule and indicator settings require testing before practical use.

Key ideas

• The strategy uses harvest timing to define when agricultural futures sales may begin and end.
• A moving average plus an ATR-based buffer sets the price threshold for short entries.
• Additional short entries are spaced by a minimum number of days and capped by the strategy settings.
• Open positions are covered when the strategy enters its inactive harvest period.
• The document gives no backtest evidence, and seasonal behavior may differ across crops and years.

Tags

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