After reading Fly’s Post, Myth or Fact: Sell Refiners in the Spring? my curiosity was piqued by The PPT seasonality runs and I wanted to see exactly how the Refiners traded from the Spring in the Summer. In order to dig deeper, I needed a refiners index to test. My search for a refiners index led me to this article: Oil’s March Madness A Boost for Refiners. The article contains a nifty little seasonality graph (really, the best part of the article). Keep in mind the author of the article is using tools which are similar to the tools offered by The PPT.
I decided to use $SPXENRM, which is the S&P 500 Oil & Gas Refining & Marketing Sub Index. Unfortunately the index only goes back until 2006, but I think it works for a preliminary exploration of Refiners seasonality.
Buy Rules:
- Buy the index on the open the 1st day of April
- Sell the index at the close the last day of June
- No commissions or slippage
- All $SPXENRM history used
Results:
With approximately 22 trading days in a month, it appears the optimum time to sell this index as been at the end of April or the end of May. As Fly noted, “The results say sell in June, if you are interested in taking profits.”
I have watched Fly trade the refiners seasonality for about 5 years, and he nails the trade every time. Seasonality can be a powerful tool to add to any trader’s toolbox.
Your charts are always interesting. Are you using a special software to create?
Thanks. I use AmiBroker to process the data and I export the results to Excel for the charts. AmiBroker does charting too, but not for these seasonality type of tests.