A seasonal pattern in two related markets is only useful if the same trade can be reconstructed across years. Dated contracts, weights and synchronized observations come before the attractive average curve.
Build comparable historical baskets
Define each leg by commodity, delivery month and year offset. Apply the same mapping and ratio in each historical year. When an entry window crosses January, preserve the relative year offset rather than accidentally pairing a new-crop future with a different harvest year.
Require synchronized observations
Use dates on which both legs have valid prices. Do not interpret a one-market holiday or missing historical quote as a zero-price move. Record the number of valid years for the selected entry and exit, rather than displaying a lookback setting as though it were the completed trade count.
Read individual results
Calculate the basket on entry and exit for each year and use the same direction throughout. Compare average P&L, median outcome, win count and worst year. Also inspect interim drawdown: a trade that ended positive might have required much more capital along the way. Fees, slippage and financing are separate from the clean historical move.
Challenge the selected window
Optimizing dates on the full historical sample can overstate confidence. Test adjacent windows, remove the strongest year, compare shorter and longer lookbacks and leave later years untouched for an out-of-sample check. A normal-looking mean can conceal an unstable economic relationship.
Test the exact dated structure
Inspect the leg months, historical years and selected window before drawing a conclusion from an average curve.
Open Futures Spread Analyzer →Frequently asked questions
Is the average curve a prediction?
No. It summarizes historical observations under a particular mapping and normalization.
Why can the sample be smaller than 15 years?
Both dated contracts need valid prices at the required dates, so a 15-year setting may yield fewer complete observations.
Exchange references
Use the exchange material for product definitions and confirm current specifications, listed combinations and margins with your broker.
Continue the Intercommodity Spreads series
Also read Futures Spread Trading and Calendar Spread Trading.
Bring the formula to the chart
Compare a defined structure across historical years and review every leg before making a decision.
Explore the Analyzer →Educational material only, not investment advice. Examples are illustrative. Historical results do not guarantee future performance. Trading costs and slippage are excluded unless explicitly stated.