Futures Spread Strategy For July, 2019 - Buy -RBU19+2*RBV19-RBX19

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Futures Spread Strategy For July, 2019 - Buy -RBU19+2*RBV19-RBX19

This spread combines several conditions to create good trading opportunity.

  • Butterfly spread, better hedge
  • 93% Win in last 15 years
  • Seasonal Patterns correlation in trading window is over 90%
  • The spread is currently moving arround historical lows
Warning: The spread went through local support, wait for confirmation before going to the long position.
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% 46 14.43 9999 588.00 3.30 663.60 -625.80 663.60 0.00 1060.92 -321.72 3318.00 3318.00 0.00 504.00
10 90% 9 1 60% 46 18.37 13.50 1360.80 1.91 845.04 -989.94 1014.07 -676.20 1179.78 -616.14 8450.40 9126.60 -676.20 1360.80
15 93% 14 1 47% 46 29.31 30.91 1360.80 3.59 1348.20 -983.08 1492.80 -676.20 1666.28 -464.52 20223.00 20899.20 -676.20 604.80
20 80% 16 4 50% 46 18.04 4.62 1360.80 2.03 829.71 -1054.20 1323.26 -1144.50 1295.91 -638.19 16594.20 21172.20 -4578.00 1360.80
30 63% 19 11 50% 46 10.41 2.94 1360.80 1.37 478.66 -1008.98 1146.16 -674.29 931.84 -679.70 14359.80 21777.00 -7417.20 1360.80
34 68% 23 11 44% 46 9.50 3.00 1642.20 1.28 437.05 -973.04 968.56 -674.29 851.98 -663.35 14859.60 22276.80 -7417.20 1360.80
Equity for backtest
Year Enter date Enter price Exit date Exit price Points Profit Days# Best Date Best Worst Date Worst Drawdown
2018 2018-07-09 -0.0864 2018-08-21 -0.0807 0.0057 239.40 44 2018-08-17 625.80 2018-08-07 -277.20 -386.40
2017 2017-07-07 -0.0757 2017-08-21 -0.0572 0.0185 777.00 46 2017-08-21 777.00 2017-07-19 -504.00 -512.40
2016 2016-07-07 -0.0688 2016-08-19 -0.0621 0.0067 281.40 44 2016-08-17 567.00 2016-08-02 -588.00 -709.80
2015 2015-07-07 -0.1459 2015-08-21 -0.1082 0.0377 1583.40 46 2015-08-19 2196.60 2015-07-09 -226.80 -819.00
2014 2014-07-07 -0.1222 2014-08-21 -0.1118 0.0104 436.80 46 2014-08-18 1138.20 2014-07-08 -12.60 -701.40
2013 2013-07-08 -0.0982 2013-08-21 -0.0774 0.0208 873.60 45 2013-08-20 1058.40 2013-07-12 -1163.40 -1163.40
2012 2012-07-09 -0.1515 2012-08-21 -0.0967 0.0548 2301.60 44 2012-08-21 2301.60 2012-08-02 -604.80 -1755.60
2011 2011-07-07 -0.1036 2011-08-19 -0.0810 0.0226 949.20 44 2011-08-19 949.20 2011-08-11 -1360.80 -1864.80
2010 2010-07-07 -0.0994 2010-08-20 -0.0593 0.0401 1684.20 45 2010-08-11 2175.60 - 0.00 -554.40
2009 2009-07-07 -0.0852 2009-08-21 -0.1013 -0.0161 -676.20 46 2009-07-08 8.40 2009-08-18 -1423.80 -1432.20
2008 2008-07-07 -0.1090 2008-08-21 -0.0929 0.0161 676.20 46 2008-08-19 714.00 2008-07-09 -399.00 -462.00
2007 2007-07-09 -0.1030 2007-08-21 -0.0385 0.0645 2709.00 44 2007-08-21 2709.00 - 0.00 -1155.00
2006 2006-07-07 -0.1275 2006-08-21 -0.0420 0.0855 3591.00 46 2006-08-09 4095.00 2006-07-19 -168.00 -1810.20
2005 2005-07-07 -0.1275 2005-08-19 -0.0529 0.0746 3133.20 44 2005-08-08 4015.20 - 0.00 -1180.20
2004 2004-07-07 -0.0270 2004-08-20 0.0126 0.0396 1663.20 45 2004-08-20 1663.20 2004-07-09 -239.40 -239.40
2003 2003-07-07 -0.0185 2003-08-21 -0.0756 -0.0571 -2398.20 46 2003-08-11 424.20 2003-08-21 -2398.20 -2822.40
2002 2002-07-08 -0.0115 2002-08-21 -0.0059 0.0056 235.20 45 2002-08-19 327.60 2002-07-25 -756.00 -756.00
2001 2001-07-09 -0.0090 2001-08-21 -0.0293 -0.0203 -852.60 44 2001-07-10 63.00 2001-08-21 -852.60 -915.60
2000 2000-07-07 -0.0235 2000-08-21 -0.0390 -0.0155 -651.00 46 - 0.00 2000-08-01 -1407.00 -1407.00
1999 1999-07-07 -0.0062 1999-08-20 -0.0053 0.0009 37.80 45 1999-08-19 109.20 1999-08-04 -382.20 -436.80
1998 1998-07-07 -0.0085 1998-08-21 -0.0081 0.0004 16.80 46 1998-08-03 189.00 1998-07-14 -126.00 -226.80
1997 1997-07-07 -0.0059 1997-08-21 -0.0436 -0.0377 -1583.40 46 - 0.00 1997-08-20 -1764.00 -1764.00
1996 1996-07-08 -0.0091 1996-08-21 0.0015 0.0106 445.20 45 1996-08-12 495.60 1996-07-11 -88.20 -193.20
1995 1995-07-07 -0.0105 1995-08-21 -0.0117 -0.0012 -50.40 46 1995-07-26 315.00 1995-08-18 -63.00 -378.00
1994 1994-07-07 -0.0023 1994-08-19 -0.0105 -0.0082 -344.40 44 1994-07-22 180.60 1994-08-17 -646.80 -827.40
1993 1993-07-07 -0.0055 1993-08-20 -0.0057 -0.0002 -8.40 45 1993-08-03 151.20 1993-08-11 -369.60 -520.80
1992 1992-07-07 -0.0005 1992-08-21 -0.0071 -0.0066 -277.20 46 1992-07-10 126.00 1992-08-06 -390.60 -516.60
1991 1991-07-08 -0.0118 1991-08-21 -0.0129 -0.0011 -46.20 45 1991-07-19 189.00 1991-08-09 -415.80 -604.80
1990 1990-07-09 -0.0130 1990-08-21 -0.0256 -0.0126 -529.20 44 1990-07-18 218.40 1990-08-06 -3494.40 -3712.80
1989 1989-07-07 -0.0080 1989-08-21 -0.0046 0.0034 142.80 46 1989-07-20 172.20 1989-08-08 -268.80 -441.00
1988 1988-07-07 -0.0124 1988-08-19 -0.0121 0.0003 12.60 44 1988-07-20 336.00 1988-08-12 -134.40 -470.40
1987 1987-07-07 0.0001 1987-08-21 0.0014 0.0013 54.60 46 1987-08-21 54.60 1987-07-24 -163.80 -163.80
1986 1986-07-07 0.0016 1986-08-21 0.0030 0.0014 58.80 46 1986-08-15 247.80 1986-08-05 -1642.20 -1793.40
1985 1985-07-08 -0.0069 1985-08-21 0.0020 0.0089 373.80 45 1985-08-21 373.80 1985-07-25 -222.60 -386.40