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Seasonal Cycles: A Quantitative Approach to Commodity Timing

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…