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Ag commodity futures recent profit probability
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Don Smith
Posted 3/2/2019 11:00 (#7353983)
Subject: Ag commodity futures recent profit probability



Central Pennsylvania, USA
First 3 tables below show historic profit probability for long and short positions in soybean (SOYB ETF), corn (CORN ETF), and wheat (WEAT ETF) futures over the most recent 60 market day period.

For comparison, 4th table shows historic profit probability for long and short positions in US stock market proxy (SPY ETF) over the most recent 60 market day period.

Profit (loss) were computed from mark to market price at end of each trading day in the 60 day period. All probabilities shown were compute from a moving n day position over the most recent 60 market day period, where n = [1,2,3,4,5].

Although historic profit probability can be (easily) computed for any number of market days, the most recent 60 market day period was chosen to minimize changes in volatility (statistical stationarity changes) within the data time series (daily market close price bars).


SOYB most recent 60 market day profit probability history
________________ profit probability
position__________ long____short
1 day____________0.58_____0.42
2 day____________0.43_____0.57
3 day____________0.48_____0.52
4 day____________0.53_____0.47
5 day____________0.50_____0.50


CORN most recent 60 market day profit probability history
________________ profit probability
position__________ long____short
1 day____________0.50_____0.50
2 day____________0.43_____0.57
3 day____________0.45_____0.55
4 day____________0.48_____0.52
5 day____________0.42_____0.58


WEAT most recent 60 market day profit probability history
________________ profit probability
position__________ long____short
1 day____________0.40_____0.60
2 day____________0.45_____0.55
3 day____________0.37_____0.63
4 day____________0.42_____0.58
5 day____________0.42_____0.58


SPY most recent 60 market day profit probability history
________________ profit probability
position__________ long____short
1 day____________0.60_____0.40
2 day____________0.65_____0.35
3 day____________0.65_____0.35
4 day____________0.67_____0.33
5 day____________0.70_____0.30
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