Winnipeg - Western Barley, Domestic Wheat Feed

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AFJ Garner
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Winnipeg - Western Barley, Domestic Wheat Feed

Post by AFJ Garner » Fri Mar 03, 2006 6:45 am

There have been some long decent trends in these markets but (assuming I have the contract details correct - not a given by any means!) these contracts seem too small to produce profits out of such trends. At least in my system.

AB Contract Size 20 tonnes, Currency CAD, BPV 20
WW, Contract Size 20 tonnes, Currency CAD, BPV 20

Canola while having the same contract specs is a little better but not much.

I may have got something wrong?

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Post by sluggo » Fri Mar 03, 2006 9:42 am

My settings match yours. Also MinTick=0.1 in all three cases.

These markets might be VERY interesting to someone who wants to trade a large number of markets out of a small account. Perhaps the following article may spark some ideas: viewtopic.php?p=14152&highlight=low+volatility#14152
Last edited by sluggo on Fri Mar 03, 2006 10:02 am, edited 1 time in total.

AFJ Garner
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Post by AFJ Garner » Fri Mar 03, 2006 10:02 am

Agreed and thank you. I'm adding Canola to my portfolio for diversification.

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Canadian Grains

Post by cliffg » Sat Mar 04, 2006 5:55 pm

AFJ Garner / Sluggo,
Thought you might be interested in the following:

2005 Yearly Contracts
Canola (RS) 1.67 million cts equalling 33.4 million tonnes
Alberta Barley (AB) 133,460 cts equalling 2.67 million tonnes
Winnipeg Wheat (WW) 81,348 cts equalling 1.60 million tonnes

My company has traded both feed grains (AB and WW) on a commercial basis for the last three years. As you can see, the volume on these feed grains is not great.
At one period of time we held just under 12% of the Winnipeg Wheat market. We would be balancing our necessary positions on a weekly basis. So it is tradeable, however sometimes you would be the bid or ask for a majority of the morning before getting something done.
Barley is somewhat better.
Canola is no problem. It is highly liquid. Canola is considered the 'cinderella crop' here in western Canada because it is usually the crop that will provide the profit for farm operations.
However, right now, canola has been at historical lows. It may take a year or so to clean out the big crop volume produced in 2005. This market definitely produces some great trends.
The Winnipeg Commodity Exchange (WCE) has stopped pit trading and is all electronic managed through the CBOT. The intent was to try to increase trading volume by going electronic. We shall see as far as AB and WW are concerned. I hope so because they are good niche markets to trade.

Check out http://www.wce.ca for the Winnipeg Exchange

cliffg

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Canadian Grains

Post by cliffg » Sun Jun 04, 2006 2:22 pm

AFJ Garner,
Just curious to know if your system has signaled you to trade canola from the long side? It has had a steady run up over the last while.
Ditto for Sluggo.
CliffordG

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Post by AFJ Garner » Sun Jun 04, 2006 2:34 pm

No guvnor, not yet. But I am using a hell of a long term moving average with a wide envelope to cut out some of the noise. Not sure what Sluggo is trading. He did make some (as usual) veiled reference to his positions recently on another forum. But ya nevva know, maybe he will post here for you.

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Re: Canadian Grains

Post by BARLI » Sun Jun 04, 2006 7:33 pm

cliffg wrote: The Winnipeg Commodity Exchange (WCE) has stopped pit trading and is all electronic managed through the CBOT. The intent was to try to increase trading volume by going electronic.
cliffg
cliff, so there are no pits and locals at all now at WCE?

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Canadian Grains

Post by cliffg » Sun Jun 04, 2006 11:52 pm

Barli,
Yes that's correct. The WCE has contracted the CBOT to do it all electronic for them. (at the CBOT)
WCE has a 'Liquidity Provider Program' which goes until the end of August 2006 and was implemented when WCE went electronic on Dec 20, 2004.
See link if interested:
http://www.wce.ca/WebContent.aspx?Web_Content_Id=287
Cliff

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Post by BARLI » Mon Jun 05, 2006 3:27 pm

that only means that Canada got no pit traded financial instruments anymore

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Post by cliffg » Tue Jun 06, 2006 2:33 am

Barli,
I don't understand your last post. Please explain.
I think you are trying to tell me that the pits are gone, but the locals remain. --- I think you are correct.
cliffg

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Post by BARLI » Tue Jun 06, 2006 1:56 pm

you understood me correctly and I'll start crying if LME will shut down its pits and operate electronically only

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Re: Canadian Grains

Post by damian » Tue Jun 06, 2006 2:43 pm

cliffg wrote:AFJ Garner,
Just curious to know if your system has signaled you to trade canola from the long side? It has had a steady run up over the last while.
Ditto for Sluggo.
CliffordG
I am neither AFJ nor Sluggo, but my system is close to, but not yet signalling a long in canola. I added this little guy a while ago when CL eventually started to reflect its scarcity. Europe has a more developed biodiesel industry and I inspected it's local rapeseed contract but volume was lower. Eventually America will have the greatest bioenergy catching-up to do and so the greatest demand for feed stock. If what I say sounds like rubbish it is because I seldom think in fundamentalist terms. It may not be biodiesel, it may be something else. No hydrogen futures. Who knows what will benefit from the demise of oil. Perhaps this commodity? Who knows if or when.
http://www.cme.com/trading/prd/about_ET14167.html

damian

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Post by cliffg » Wed Jun 07, 2006 1:58 am

Damian,
That link is an interesting read. I wasn't aware that the CME had developed an ethanol contract.

Here's some fundamental gibblygook:
Brazil produces 50 billion gallons of ethanol per year and sells 10% of that to foreign markets.
USA only buys 70 million gallons from Brazil and still has import tariffs in place. (that's the USA's good old free trade agreement at work :lol: )
Bush's plan is to increase to a usage of 15 billion g/year by 2015.

Our local canola crusher (Bunge) has crushed canola into biodiesel for the first time at this locale (Alberta) and is shipping it over to Europe ---- possibly you may have filled your car with some. :wink:

Damian, do you trade a long term or shorter term system?
cliffg

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Post by damian » Wed Jun 07, 2006 5:39 am

Hi Cliff, I drive very frequently all around certain parts of continental Europe and you do see quite a bit of biodiesel on sale. It was after all 'invented' here by a German fellow quite a long time ago (Herr Diesel, no less).

I trade a whole range of system tenors, but in the context of this commodity, I trade a very long term trend following system. I am yet to have a position in canola. When I added it to the portfolio my system was already was short, which actually went against my increased demand logic. The short trade was profitable but I did not enter it mid-trade.

Another feedstock for bioenergy is some kind of green algae that can be produced quite rapidly in huge man made shallow salty ponds in the American desert. The overnight cold is an unfortunate algae growth inhibitor, but none the less, the slime itself is apparently the most efficient biofuel feedstock available. Keep your eyes out of a CME Green Slime contract in the coming years.

cheers
damian

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Post by cliffg » Wed Jun 07, 2006 11:22 am

Damian,
This may be somewhat off topic --- other than it relates to canola.

The June 5th, 2006 closes for canola were:
Jul06 @ 283.90 Nov06 @ 302.00
This is an $18.10 per tonne carry. This carry is at historically high levels. The Jul contract is still old crop whereas the Nov contract is new crop.

My question is:
Say nothing changes between now and first notice day (June 30) with regards to the carry or price levels. Won't your system give you a signal to buy just due to the carry factor (+18.10)?
If so, how do you handle this?

[I'm just not understanding this rolling idea across crop year ends]

cliffg

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Post by damian » Wed Jun 07, 2006 12:58 pm

cliffg wrote: Won't your system give you a signal to buy just due to the carry factor (+18.10)?
No. The entire continuous synthetic time series will be (was) back adjusted by the amount 18.1

If I simply chained the contracts together then your concerns would be valid and my time series quite useless.

(was) = based on OI my RS data already rolled from July06 to Nov06 last week.

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Post by BARLI » Wed Jun 07, 2006 3:40 pm

cliffg wrote:Damian,
This may be somewhat off topic --- other than it relates to canola.

The June 5th, 2006 closes for canola were:
Jul06 @ 283.90 Nov06 @ 302.00
This is an $18.10 per tonne carry. This carry is at historically high levels. The Jul contract is still old crop whereas the Nov contract is new crop.

My question is:
Say nothing changes between now and first notice day (June 30) with regards to the carry or price levels. Won't your system give you a signal to buy just due to the carry factor (+18.10)?
If so, how do you handle this?

[I'm just not understanding this rolling idea across crop year ends]

cliffg
cliif, I am wondering why you ask about anyone's signals on canadian canola when you , as I've understood it, know all of your crop fundamentals and so on?

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Post by cliffg » Thu Jun 08, 2006 2:16 am

Damian,
Thank you, that clears it up for me.

Barli,
I am just interested to see what kind of a price rise it takes to initiate a signal for someone who trades via a LTTF system. Even though I don't know their system parameters it just gives me a sense of it --- that's all. I am more familiar with canola than other commodities.

Fundamentals - Smundamentals. With canola, it's just something that I'm aware of. Rather, I hedge canola (short only) for our farm operation based on what the futures price equates into for our bottomline profit. We'll 'step out ' hedging the higher the profit goes. Currently, for new crop I am basis only with open futures.

cliffg

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Post by BARLI » Thu Jun 08, 2006 4:46 pm

they might be using EMA crosses of 70/20 and 140/20 120/30 330/90 just to give you an idea. plot these values and see where possible entried would be of the LTTF followers

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Post by AFJ Garner » Fri Jun 30, 2006 4:57 am

I was looking through my charts today and, noticing the recent slide in canola, thought I would just point out that my very long term system remains short. The short was taken in the fall of 2004.

Elephantine and slow it may be but it does have its advantages. One of which is that because of the relatively low number of contracts taken on with a wide stop system, it makes liquidity less of an issue. Which should prove an advantage as an account size grows.

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