Time to start looking at the next month. Let’s start with the top five performing futures (ordered by winning percentage):
| Future | Total Months | Winning Months | Mean Return | Median Return |
|---|---|---|---|---|
| 30-Year Bond | 37 | 68% (25) | 9.62% | 1.57% |
| Canadian Dollar | 37 | 68% (25) | 0.07% | 0.53% |
| 10-Year Note | 32 | 63% (20) | 9.46% | 1.45% |
| Feeder Cattle | 37 | 62% (23) | 0.83% | 0.90% |
| Copper | 26 | 62% (16) | 0.44% | 1.75% |
Looks like June is usually good for US treasury instruments. The high mean return indicates some major events have happened in June, however, the median supports the thesis that, overall, June is a good month for financials. Sell in May and go away?
| Future | Total Months | Winning Months | Mean Return | Median Return |
|---|---|---|---|---|
| Coffee | 41 | 24% (10) | -1.43% | -2.42% |
| Dow Jones | 13 | 31% (4) | -1.70% | -1.27% |
| Silver | 42 | 33% (14) | -1.54% | -0.84% |
| Wheat | 46 | 35% (16) | -0.63% | -0.24% |
| Gold | 40 | 35% (14) | -0.46% | -0.31% |
| Corn | 45 | 38% (17) | -0.74% | -0.53% |
Extreme caution with coffee. I don’t trade it since it’s a big and very volatile contract. The above table pretty much suggests that in June Coffee should be traded only from the short side. June also seems to be convincingly bad for US large caps, and precious metals. Sell in May and go away? 🙂