Energiewerks DataPro Gasoline Time Spreads Analyzer is used by quantitative / technical traders to identify profitable trend or mean reverting trades.

Twelve reports, one for each contract month of the year as the buy leg, out two years from publish date, is included in the offering.

Analysis of each spread consists of

  • statistics for the spread
  • a line plot of spread for the last ninety days
  • a histogram providing a distribution of prices
  • a box plot of prices over the same period
  • A daily email with links to the reports are sent out every business day.

    The following is an example of statistics for the March 2017 / April 2017 spread

    RB – Spread, Sell April, 2017, Buy March, 2017 :

    For the RB Spread – Sell April, 2017/Buy March, 2017, low end of the trading range over the last 90 days is 0.214 and high end of the trading range is 0.2245.

    Yesterday’s close is 0.2171. Previous close is 0.2169. Seven business days ago the contract settled at 0.2152. Fifteen business days ago the contract settled at 0.215.

    Statistical measures :

    Standard deviation is 0.0033. Variance is 0. Mean is 0.2189.

    One, two and three standard deviations above mean is 0.2222,0.2256,0.2289. One, two and three standard deviations below mean is 0.2156,0.2122,0.2089.

    The following graphs are a sample of the spread between the March 2017 / April 2017 contract ( Buy March 2017 / Sell April 2017 ) that are included in the daily report.

    Buy March 2017 / Sell April 2017

    RBBMar2017SApr2017lineplot

    RBBMar2017SApr2017histogram RBBMar2017SApr2017boxplot

    The line plot provides the historical movement of the spread over the last ninety days. The histogram provides the distribution of prices over the last 90 days with a density plot. The box plot covers the spread over the last ninety days.

    In addition to the spread, the report also includes statistics for the underlying contracts.

    Analysis of the data and graphs associated with the underlying contracts coupled with the spread analysis allows identification of profitable trading ideas around spreads.

    Representative graphs associated with individual contracts are as follows

    March 2017

    RBMar2017Lineplot

    RBMar2017Histogram RBMar2017BoxPlot
    April 2017
    RBApr2017Lineplot RBApr2017Histogram RBApr2017BoxPlot

    Individual underlying contracts analysis are available in the Energiewerks DataPro Gasoline Outrights Statistical Analyzer.

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