Butterfly Futures Spread Strategy For November, 2022 - Buy -CLH23 2*CLM23-CLU23

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Butterfly Futures Spread Strategy For November, 2022 - Buy -CLH23 2*CLM23-CLU23

This spread combines several conditions to create good trading opportunity.

  • Butterfly spread, better hedge
  • 93% Win in last 15 years
  • Narrow legs spread with expected lower volatility
  • Possible entry (-0,9) around historical range support and low SL (-1,2)
  • This spread moves historically in a narrow range
  • Big correlation in trading window

Backtest Buy -CLH23 2*CLM23-CLU23 Entry: 2022-11-02 Exit: 2023-01-21

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 40% 81 3.98 9999 300.00 3.25 322.00 -356.00 322.00 0.00 514.00 -158.00 1610.00 1610.00 0.00 70.00
10 100% 10 0 50% 81 5.57 9999 300.00 5.61 451.00 -372.00 451.00 0.00 611.00 -109.00 4510.00 4510.00 0.00 80.00
15 93% 14 1 67% 81 7.45 19.47 300.00 8.73 603.33 -653.33 681.43 -490.00 1070.67 -122.67 9050.00 9540.00 -490.00 80.00
20 85% 17 3 55% 81 5.77 8.99 400.00 4.45 467.50 -634.00 618.82 -390.00 879.50 -197.50 9350.00 10520.00 -1170.00 80.00
30 67% 20 10 63% 81 3.22 3.20 400.00 2.76 260.67 -567.67 568.50 -355.00 656.33 -237.67 7820.00 11370.00 -3550.00 210.00
35 63% 22 13 63% 81 2.63 2.57 1580.00 2.06 212.86 -600.29 555.00 -366.15 604.57 -294.00 7450.00 12210.00 -4760.00 1580.00
Equity for backtest
Year Enter date Enter price Exit date Exit price Points Profit Days# Best Date Best Worst Date Worst Drawdown
2022 2021-11-02 -1.00 2022-01-21 -0.28 0.72 720.00 81 2022-01-03 1410.00 2021-11-09 -30.00 -690.00
2021 2020-11-02 0.38 2021-01-21 0.43 0.05 50.00 81 2021-01-05 100.00 2020-11-23 -140.00 -140.00
2020 2019-11-04 -0.04 2020-01-21 0.71 0.75 750.00 79 2020-01-17 790.00 2019-11-06 -70.00 -170.00
2019 2018-11-02 0.40 2019-01-18 0.43 0.03 30.00 78 2019-01-17 40.00 2018-11-27 -300.00 -300.00
2018 2017-11-02 0.46 2018-01-19 0.52 0.06 60.00 79 2017-11-16 230.00 2017-11-24 -250.00 -480.00
2017 2016-11-02 0.56 2017-01-20 1.21 0.65 650.00 80 2017-01-04 860.00 - 0.00 -290.00
2016 2015-11-02 0.57 2016-01-21 1.48 0.91 910.00 81 2016-01-20 960.00 2015-12-22 -80.00 -540.00
2015 2014-11-03 -0.12 2015-01-21 0.04 0.16 160.00 80 2014-11-24 440.00 2014-11-05 -80.00 -390.00
2014 2013-11-04 0.48 2014-01-21 1.33 0.85 850.00 79 2014-01-10 950.00 2013-12-18 -40.00 -480.00
2013 2012-11-02 0.86 2013-01-18 1.19 0.33 330.00 78 2013-01-18 330.00 2012-11-15 -100.00 -240.00
2012 2011-11-02 0.05 2012-01-20 0.74 0.69 690.00 80 2012-01-03 1100.00 - 0.00 -480.00
2011 2010-11-02 0.26 2011-01-21 2.45 2.19 2190.00 81 2011-01-21 2190.00 2010-11-30 -50.00 -370.00
2010 2009-11-02 0.52 2010-01-21 0.03 -0.49 -490.00 81 2009-12-07 640.00 2010-01-21 -490.00 -1130.00
2009 2008-11-03 0.17 2009-01-21 2.08 1.91 1910.00 80 2009-01-15 5350.00 2008-11-17 -10.00 -3440.00
2008 2007-11-02 -0.44 2008-01-18 -0.20 0.24 240.00 78 2007-12-14 670.00 2007-11-26 -200.00 -660.00
2007 2006-11-02 0.76 2007-01-19 0.79 0.03 30.00 79 2007-01-09 150.00 2007-01-17 -400.00 -550.00
2006 2005-11-02 0.30 2006-01-20 0.61 0.31 310.00 80 2006-01-10 450.00 2005-11-04 -40.00 -220.00
2005 2004-11-02 -0.02 2005-01-21 0.62 0.64 640.00 81 2005-01-21 640.00 2004-12-17 -60.00 -300.00
2004 2003-11-03 -0.15 2004-01-21 -0.21 -0.06 -60.00 80 2004-01-07 110.00 2003-12-15 -320.00 -340.00
2003 2002-11-04 -0.21 2003-01-21 -0.83 -0.62 -620.00 79 2002-11-06 180.00 2003-01-03 -1290.00 -1470.00
2002 2001-11-02 0.15 2002-01-18 0.61 0.46 460.00 78 2002-01-17 480.00 2001-11-09 -210.00 -210.00
2001 2000-11-02 -0.08 2001-01-19 -0.89 -0.81 -810.00 79 2000-12-21 70.00 2000-11-20 -900.00 -900.00
2000 1999-11-02 -0.15 2000-01-21 -0.86 -0.71 -710.00 81 - 0.00 1999-12-16 -860.00 -860.00
1999 1998-11-02 -0.01 1999-01-21 -0.18 -0.17 -170.00 81 1998-11-25 330.00 1999-01-21 -170.00 -500.00
1998 1997-11-03 -0.03 1998-01-21 0.18 0.21 210.00 80 1997-12-30 370.00 - 0.00 -190.00
1997 1996-11-04 -0.21 1997-01-21 -0.32 -0.11 -110.00 79 1996-11-05 20.00 1996-12-19 -340.00 -360.00
1996 1995-11-02 -0.16 1996-01-19 -0.58 -0.42 -420.00 79 1995-11-10 30.00 1996-01-05 -480.00 -510.00
1995 1994-11-02 -0.25 1995-01-20 -0.32 -0.07 -70.00 80 1994-12-15 320.00 1995-01-19 -100.00 -420.00
1994 1993-11-02 0.05 1994-01-21 -0.04 -0.09 -90.00 81 1993-12-28 190.00 1994-01-19 -100.00 -290.00
1993 1992-11-02 -0.01 1993-01-21 0.17 0.18 180.00 81 1993-01-12 290.00 1992-11-24 -20.00 -110.00
1992 1991-11-04 -0.30 1992-01-21 0.11 0.41 410.00 79 1992-01-09 420.00 1991-11-05 -10.00 -130.00
1991 1990-11-02 -1.23 1991-01-21 -0.80 0.43 430.00 81 1991-01-18 920.00 1991-01-14 -1580.00 -2150.00
1990 1989-11-02 -0.09 1990-01-19 -0.71 -0.62 -620.00 79 1989-11-15 70.00 1990-01-19 -620.00 -690.00
1989 1988-11-02 0.00 1989-01-20 -0.54 -0.54 -540.00 80 1988-11-03 0.00 1989-01-16 -860.00 -860.00
1988 1987-11-02 -0.05 1988-01-21 -0.10 -0.05 -50.00 81 1987-11-19 60.00 1988-01-07 -90.00 -150.00