Futures Spread Strategy For April, 2019 - Buy -CLM19+2*CLZ19-CLM20

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Futures Spread Strategy For April, 2019 - Buy -CLM19+2*CLZ19-CLM20

This spread combines several conditions to create good trading opportunity.

  • Butterfly spread, better hedge
  • Support at level 0.9 seems to be strong
  • 87% wins for last 15 years
  • The spread colleration with seasonal patterns is >80%
  • Backtest Buy -CLM19+2*CLZ19-CLM20 Entry: 2019-04-14 Exit: 2019-05-02

    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 80% 19 18.21 9999 190.00 8.63 346.00 -468.00 346.00 0.00 742.00 -86.00 1730.00 1730.00 0.00 190.00
    10 80% 8 2 80% 19 13.95 2.46 190.00 3.24 265.00 -644.00 558.75 -910.00 808.00 -249.00 2650.00 4470.00 -1820.00 190.00
    15 87% 13 2 53% 19 27.33 5.28 550.00 4.09 519.33 -538.67 739.23 -910.00 894.00 -218.67 7790.00 9610.00 -1820.00 100.00
    20 75% 15 5 50% 19 20.66 3.39 550.00 2.68 392.50 -571.00 742.00 -656.00 774.50 -288.50 7850.00 11130.00 -3280.00 510.00
    30 73% 22 8 57% 19 17.37 3.43 550.00 2.19 330.00 -550.67 635.00 -508.75 633.00 -289.33 9900.00 13970.00 -4070.00 550.00
    Equity for backtest
    Year Enter date Enter price Exit date Exit price Points Profit Days# Best Date Best Worst Date Worst Drawdown
    2018 2018-04-16 0.19 2018-05-02 0.63 0.44 440.00 17 2018-04-30 790.00 2018-04-18 -190.00 -350.00
    2017 2017-04-17 1.32 2017-05-02 1.38 0.06 60.00 16 2017-05-02 60.00 2017-04-28 -90.00 -120.00
    2016 2016-04-14 1.22 2016-05-02 1.47 0.25 250.00 19 2016-04-25 560.00 - 0.00 -310.00
    2015 2015-04-14 1.85 2015-05-01 2.61 0.76 760.00 18 2015-04-24 1490.00 2015-04-15 -50.00 -970.00
    2014 2014-04-14 -1.16 2014-05-02 -0.94 0.22 220.00 19 2014-04-23 810.00 2014-04-17 -100.00 -590.00
    2013 2013-04-15 0.70 2013-05-02 0.92 0.22 220.00 18 2013-04-29 300.00 - 0.00 -250.00
    2012 2012-04-16 2.39 2012-05-02 2.47 0.08 80.00 17 2012-04-23 270.00 2012-04-30 -40.00 -310.00
    2011 2011-04-14 2.45 2011-05-02 2.02 -0.43 -430.00 19 - 0.00 2011-05-02 -430.00 -430.00
    2010 2010-04-14 1.87 2010-04-30 4.31 2.44 2440.00 17 2010-04-27 3450.00 - 0.00 -1170.00
    2009 2009-04-14 3.42 2009-05-01 2.03 -1.39 -1390.00 18 2009-04-20 350.00 2009-04-28 -1590.00 -1940.00
    2008 2008-04-14 -1.03 2008-05-02 -0.69 0.34 340.00 19 2008-05-02 340.00 2008-04-25 -550.00 -780.00
    2007 2007-04-16 2.54 2007-05-02 3.54 1.00 1000.00 17 2007-05-01 1030.00 2007-04-17 -100.00 -340.00
    2006 2006-04-17 2.38 2006-05-02 3.71 1.33 1330.00 16 2006-04-25 1490.00 - 0.00 -180.00
    2005 2005-04-14 2.15 2005-05-02 4.23 2.08 2080.00 19 2005-05-02 2080.00 2005-04-18 -70.00 -270.00
    2004 2004-04-14 -0.39 2004-04-30 0.00 0.39 390.00 17 2004-04-29 390.00 2004-04-15 -70.00 -70.00
    2003 2003-04-14 -0.84 2003-05-02 -0.34 0.50 500.00 19 2003-04-29 660.00 2003-04-21 -510.00 -510.00
    2002 2002-04-15 -0.22 2002-05-02 -0.32 -0.10 -100.00 18 - 0.00 2002-04-18 -400.00 -400.00
    2001 2001-04-16 0.25 2001-05-02 1.27 1.02 1020.00 17 2001-04-24 1310.00 - 0.00 -740.00
    2000 2000-04-14 0.01 2000-05-02 -0.68 -0.69 -690.00 19 2000-04-26 110.00 2000-05-02 -690.00 -800.00
    1999 1999-04-14 -0.28 1999-04-30 -0.95 -0.67 -670.00 17 - 0.00 1999-04-29 -890.00 -890.00
    1998 1998-04-14 1.04 1998-05-01 1.34 0.30 300.00 18 1998-04-30 450.00 1998-04-16 -150.00 -150.00
    1997 1997-04-14 -0.01 1997-05-02 0.16 0.17 170.00 19 1997-04-17 180.00 1997-04-21 -160.00 -340.00
    1996 1996-04-15 -3.49 1996-05-02 -2.07 1.42 1420.00 18 1996-05-01 1470.00 1996-04-23 -20.00 -1200.00
    1995 1995-04-17 -0.67 1995-05-02 -0.99 -0.32 -320.00 16 - 0.00 1995-04-21 -540.00 -540.00
    1994 1994-04-14 -0.27 1994-05-02 -0.56 -0.29 -290.00 19 - 0.00 1994-04-22 -430.00 -430.00
    1993 1993-04-14 0.28 1993-04-30 0.44 0.16 160.00 17 1993-04-28 330.00 - 0.00 -170.00
    1992 1992-04-14 0.10 1992-05-01 0.15 0.05 50.00 18 1992-04-29 120.00 1992-04-20 -30.00 -100.00
    1991 1991-04-15 -0.91 1991-05-02 -0.54 0.37 370.00 18 1991-04-23 480.00 - 0.00 -220.00
    1990 1990-04-16 1.26 1990-05-02 1.63 0.37 370.00 17 1990-04-30 470.00 1990-04-23 -150.00 -520.00
    1989 1989-04-14 -1.67 1989-05-02 -1.85 -0.18 -180.00 19 - 0.00 1989-04-26 -1430.00 -1430.00