Harnessing Seasonal Cycles: A Practical Guide to Robust Commodity-Market Timing
1 | Introduction
Commodity prices are never static…
2 | Why Seasonality Matters in Commodities
Seasonality in commodities arises from biological…
3 | Mapping the Macro Drivers
3.1 Agricultural Calendars
Corn, soy and wheat all follow a planting–growing–harvest cadence…
3.2 Energy Demand
Crude-linked products exhibit twin demand peaks…
3.3 Metals and Industrial Activity
Copper and aluminum display fiscal-year seasonality…
4 | Quantifying Seasonality
4.1 Historical Return Analysis
Download at least 20 years of monthly futures data…
4.2 Seasonal Indices & Heatmaps
For intramonth structure, build a ‘seasonal index’…
4.3 Statistical Significance
Run bootstrapped t-tests to ensure apparent edges exceed randomness…
5 | Building a Robust Seasonal-Timing Model
Data Preparation – Adjust for roll gaps…
6 | Case Study: Corn’s Spring Rally
Over 1990-2024, corn futures returned an average…
7 | Pitfalls & Mitigations
Structural Shifts – Ethanol mandates or Chinese demand surges…
8 | Conclusion
Seasonality is one of the rare commodity edges anchored in real-world cycles…
