Commodity Futures Spread Strategy for July, 2014 - Buy GOX14-GOZ14

You can also browse other Free Futures Spread Trading Strategies, we publish a free trading strategy each month.

Commodity Futures Spread Strategy for July, 2014 - Buy GOX14-GOZ14

This futures spread combines several conditions to create good trading opportunity.

  • 100% Win in last 20 years
  • Seasonal patterns correlation over 92%
  • Spread moves in a narrow range
  • Possible to entry at support and use a small stop-loss
  • Close legs with expected lower volatility
  • Long seasonal window - A lot of time for seasonality to kick in. Possibility to take profit earlier

Backtest BUY GOX14-GOZ14 Entry: 2014-07-24 Exit: 2014-10-06

Years# Win% Win# Loss# APW% Days# APPD PF SL RRR ProfitØ DDØ WinØ LossØ BestØ WorstØ Total Profit Profit Loss SL ProfitØ
5 100% 5 0 60% 75 5.33 9999 50.00 8.54 400.00 -250.00 500.00 0.00 555.00 -65.00 2000.00 2000.00 0.00 25.00
10 100% 10 0 80% 75 4.60 9999 300.00 5.02 345.00 -412.50 383.33 0.00 590.00 -117.50 3450.00 3450.00 0.00 175.00
15 100% 15 0 87% 75 3.53 9999 300.00 4.82 265.00 -406.67 305.77 0.00 521.67 -108.33 3975.00 3975.00 0.00 175.00
20 100% 20 0 75% 75 3.25 9999 300.00 5.04 243.75 -343.75 286.76 0.00 466.25 -92.50 4875.00 4875.00 0.00 300.00
30 87% 26 4 67% 75 2.87 13.29 300.00 4.24 215.00 -340.00 303.26 -75.00 441.67 -104.17 6450.00 6975.00 -525.00 300.00
33 82% 27 6 67% 75 2.58 11.20 300.00 3.36 193.18 -344.70 291.67 -69.44 412.12 -122.73 6375.00 7000.00 -625.00 300.00
Equity for backtest
Year Enter date Enter price Exit date Exit price Points Profit Days# Best Date Best Worst Date Worst Drawdown
2013 2013-07-24 4.00 2013-10-04 4.00 0.00 0.00 73 2013-08-29 325.00 2013-09-24 -200.00 -525.00
2012 2012-07-24 2.75 2012-10-05 11.00 8.25 825.00 74 2012-10-04 900.00 - 0.00 -150.00
2011 2011-07-25 -1.50 2011-10-06 7.00 8.50 850.00 74 2011-10-04 950.00 2011-07-27 -25.00 -225.00
2010 2010-07-26 -4.00 2010-10-06 -1.00 3.00 300.00 73 2010-10-04 400.00 2010-08-11 -50.00 -100.00
2009 2009-07-24 -8.25 2009-10-06 -8.00 0.25 25.00 75 2009-08-25 200.00 2009-07-31 -50.00 -250.00
2008 2008-07-24 -5.25 2008-10-06 -2.75 2.50 250.00 75 2008-09-24 700.00 2008-08-22 -300.00 -600.00
2007 2007-07-24 -4.00 2007-10-05 0.00 4.00 400.00 74 2007-09-10 850.00 - 0.00 -500.00
2006 2006-07-24 -9.50 2006-10-06 -6.50 3.00 300.00 75 2006-08-31 500.00 2006-09-14 -125.00 -625.00
2005 2005-07-25 -3.25 2005-10-06 -2.25 1.00 100.00 74 2005-09-01 625.00 2005-08-04 -250.00 -825.00
2004 2004-07-26 5.50 2004-10-06 9.50 4.00 400.00 73 2004-10-01 450.00 2004-08-31 -175.00 -325.00
2003 2003-07-24 0.75 2003-10-06 1.75 1.00 100.00 75 2003-08-05 175.00 2003-09-19 -225.00 -400.00
2002 2002-07-24 -0.50 2002-10-04 1.00 1.50 150.00 73 2002-09-23 275.00 2002-08-02 -25.00 -125.00
2001 2001-07-24 0.00 2001-10-05 0.00 0.00 0.00 74 2001-09-14 400.00 2001-09-25 -125.00 -525.00
2000 2000-07-24 2.75 2000-10-06 3.25 0.50 50.00 75 2000-09-12 750.00 2000-07-31 -75.00 -700.00
1999 1999-07-26 -1.00 1999-10-06 1.25 2.25 225.00 73 1999-09-09 325.00 - 0.00 -225.00
1998 1998-07-24 -3.50 1998-10-06 -2.75 0.75 75.00 75 1998-09-18 175.00 1998-08-10 -25.00 -100.00
1997 1997-07-24 -1.50 1997-10-06 -1.50 0.00 0.00 75 1997-08-05 150.00 1997-09-15 -75.00 -225.00
1996 1996-07-24 1.25 1996-10-04 8.75 7.50 750.00 73 1996-10-03 850.00 1996-07-25 -25.00 -125.00
1995 1995-07-24 -1.25 1995-10-06 -0.75 0.50 50.00 75 1995-09-04 250.00 1995-07-31 -50.00 -200.00
1994 1994-07-25 -2.25 1994-10-06 -2.00 0.25 25.00 74 1994-08-03 75.00 1994-09-26 -50.00 -125.00
1993 1993-07-26 -2.25 1993-10-06 -0.50 1.75 175.00 73 1993-09-30 225.00 1993-08-03 -25.00 -75.00
1992 1992-07-24 -1.25 1992-10-06 -2.50 -1.25 -125.00 75 1992-07-31 25.00 1992-08-26 -150.00 -175.00
1991 1991-07-24 -0.50 1991-10-04 -1.25 -0.75 -75.00 73 1991-08-19 200.00 1991-08-08 -100.00 -300.00
1990 1990-07-24 -0.75 1990-10-05 9.75 10.50 1050.00 74 1990-10-05 1050.00 1990-07-30 -125.00 -350.00
1989 1989-07-24 -0.75 1989-10-06 1.50 2.25 225.00 75 1989-10-02 275.00 1989-07-27 -100.00 -125.00
1988 1988-07-25 -1.75 1988-10-06 -1.50 0.25 25.00 74 1988-07-26 150.00 1988-08-30 -100.00 -250.00
1987 1987-07-24 -2.25 1987-10-06 -2.00 0.25 25.00 75 1987-08-26 125.00 1987-08-03 -175.00 -200.00
1986 1986-07-24 -2.00 1986-10-06 -4.50 -2.50 -250.00 75 1986-08-04 1100.00 1986-09-12 -300.00 -1400.00
1985 1985-07-24 -1.50 1985-10-04 4.50 6.00 600.00 73 1985-10-02 625.00 1985-07-26 -50.00 -150.00
1984 1984-07-24 -2.75 1984-10-05 -3.50 -0.75 -75.00 74 1984-08-03 150.00 1984-08-17 -150.00 -300.00
1983 1983-07-25 -3.00 1983-10-06 -3.50 -0.50 -50.00 74 1983-09-01 175.00 1983-07-26 -125.00 -300.00
1982 1982-07-26 -0.75 1982-10-06 -1.25 -0.50 -50.00 73 1982-07-29 25.00 1982-09-06 -650.00 -675.00
1981 1981-07-24 -3.50 1981-10-06 -3.25 0.25 25.00 75 1981-09-14 150.00 1981-07-28 -150.00 -200.00