CTA · Core
Seasonal CTA / Calendar-Event Sleeve
Trades that exist because of the calendar — harvest, driving season, tax dates, contract rolls — not because a 50-day MA said so.
Definition
Long-history seasonal windows (e.g. natgas winter, gasoline summer, certain grain spreads). Position is on because the date is on, with a weather or inventory override if they are grown-ups. Easy to overfit 20 years of weather.
Why it matters
Ag and energy specialists actually have seasonals. A diversified financial CTA that ‘adds seasonality’ often adds noise.
Case
A warm winter that wrecks the natgas seasonal. The date was not the weather. The override was the strategy.
How to read it
Sample length, hold-out, and whether a weather model can veto. Pure date rules after 15 published papers are a thin leftover.
No query has been run yet. Which is tragically normal for most knowledge systems, but we are trying to evolve past decorative databases.