Futures Spread Strategy For December, 2015 - Buy HOF16-HOG16

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Futures Spread Strategy For December, 2015 - Buy HOF16-HOG16

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

  • 93% Win in last 15 years, high RRR
  • Seasonal patterns correlation over 90%
  • All seasonal patterns up to 30 years have similar movement and correlation
  • Historical lows - Current year is moving at historical lows
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% 19 34.97 9999 21.00 253.00 664.44 -470.40 664.44 0.00 1062.60 -4.20 3322.20 3322.20 0.00 21.00
10 100% 10 0 50% 19 27.32 9999 84.00 80.80 519.12 -381.36 519.12 0.00 848.40 -10.50 5191.20 5191.20 0.00 21.00
15 93% 14 1 67% 19 21.19 32.96 520.80 11.35 402.64 -376.88 444.90 -189.00 718.20 -63.28 6039.60 6228.60 -189.00 520.80
20 90% 18 2 65% 19 16.56 16.29 520.80 7.28 314.58 -330.75 372.40 -205.80 579.81 -79.59 6291.60 6703.20 -411.60 520.80
30 80% 24 6 27% 19 30.18 16.81 625.80 5.97 573.44 -324.66 762.12 -181.30 801.08 -134.12 17203.20 18291.00 -1087.80 625.80
36 75% 27 9 31% 19 25.34 12.76 625.80 4.53 481.48 -331.33 696.58 -163.80 698.95 -154.35 17333.40 18807.60 -1474.20 625.80
Equity for backtest
Year Enter date Enter price Exit date Exit price Points Profit Days# Best Date Best Worst Date Worst Drawdown
2015 2014-12-09 0.0209 2014-12-26 0.0237 0.0028 117.60 18 2014-12-15 2032.80 - 0.00 -1915.20
2014 2013-12-09 -0.0004 2013-12-27 0.0320 0.0324 1360.80 19 2013-12-27 1360.80 2013-12-12 -21.00 -50.40
2013 2012-12-10 -0.0094 2012-12-27 0.0234 0.0328 1377.60 18 2012-12-27 1377.60 - 0.00 -54.60
2012 2011-12-09 -0.0122 2011-12-27 -0.0074 0.0048 201.60 19 2011-12-27 201.60 - 0.00 -75.60
2011 2010-12-09 -0.0163 2010-12-27 -0.0100 0.0063 264.60 19 2010-12-16 340.20 - 0.00 -256.20
2010 2009-12-09 -0.0272 2009-12-24 -0.0206 0.0066 277.20 16 2009-12-18 361.20 - 0.00 -117.60
2009 2008-12-09 -0.0310 2008-12-26 -0.0230 0.0080 336.00 18 2008-12-23 537.60 2008-12-11 -84.00 -201.60
2008 2007-12-10 -0.0005 2007-12-27 0.0045 0.0050 210.00 18 2007-12-14 315.00 - 0.00 -231.00
2007 2006-12-11 -0.0457 2006-12-27 -0.0440 0.0017 71.40 17 2006-12-18 470.40 - 0.00 -399.00
2006 2005-12-09 -0.0518 2005-12-27 -0.0286 0.0232 974.40 19 2005-12-22 1486.80 - 0.00 -512.40
2005 2004-12-09 -0.0112 2004-12-27 -0.0074 0.0038 159.60 19 2004-12-16 684.60 2004-12-13 -71.40 -525.00
2004 2003-12-09 -0.0035 2003-12-24 -0.0080 -0.0045 -189.00 16 2003-12-12 42.00 2003-12-23 -247.80 -289.80
2003 2002-12-09 0.0003 2002-12-27 0.0011 0.0008 33.60 19 2002-12-13 411.60 2002-12-18 -4.20 -415.80
2002 2001-12-10 -0.0146 2001-12-27 -0.0041 0.0105 441.00 18 2001-12-21 520.80 - 0.00 -79.80
2001 2000-12-11 0.0365 2000-12-27 0.0461 0.0096 403.20 17 2000-12-26 630.00 2000-12-13 -520.80 -529.20
2000 1999-12-09 0.0021 1999-12-27 0.0088 0.0067 281.40 19 1999-12-27 281.40 - 0.00 -84.00
1999 1998-12-09 -0.0127 1998-12-24 -0.0100 0.0027 113.40 16 1998-12-23 130.20 - 0.00 -37.80
1998 1997-12-09 -0.0054 1997-12-26 -0.0050 0.0004 16.80 18 1997-12-22 75.60 1997-12-10 -100.80 -100.80
1997 1996-12-09 0.0095 1996-12-27 0.0042 -0.0053 -222.60 19 1996-12-16 273.00 1996-12-11 -336.00 -512.40
1996 1995-12-11 0.0157 1995-12-27 0.0172 0.0015 63.00 17 1995-12-27 63.00 1995-12-26 -205.80 -226.80
1995 1994-12-09 -0.0024 1994-12-27 -0.0047 -0.0023 -96.60 19 1994-12-12 25.20 1994-12-23 -138.60 -163.80
1994 1993-12-09 -0.0098 1993-12-27 -0.0008 0.0090 378.00 19 1993-12-27 378.00 1993-12-14 -134.40 -134.40
1993 1992-12-09 -0.0087 1992-12-23 -0.0040 0.0047 197.40 15 1992-12-23 197.40 1992-12-17 -54.60 -155.40
1992 1991-12-09 -0.0100 1991-12-27 -0.0129 -0.0029 -121.80 19 1991-12-16 88.20 1991-12-20 -315.00 -403.20
1991 1990-12-10 0.0321 1990-12-27 0.0280 -0.0041 -172.20 18 - 0.00 1990-12-18 -852.60 -852.60
1990 1989-12-11 0.0253 1989-12-27 0.2582 0.2329 9781.80 17 1989-12-27 9781.80 - 0.00 -0.00
1989 1988-12-09 0.0061 1988-12-27 0.0112 0.0051 214.20 19 1988-12-22 268.80 - 0.00 -54.60
1988 1987-12-09 0.0151 1987-12-24 0.0155 0.0004 16.80 16 1987-12-22 415.80 1987-12-15 -25.20 -411.60
1987 1986-12-09 -0.0053 1986-12-24 -0.0121 -0.0068 -285.60 16 1986-12-10 37.80 1986-12-24 -285.60 -323.40
1986 1985-12-09 -0.0086 1985-12-27 0.0152 0.0238 999.60 19 1985-12-19 1243.20 1985-12-10 -625.80 -625.80
1985 1984-12-10 -0.0009 1984-12-27 -0.0050 -0.0041 -172.20 18 - 0.00 1984-12-26 -453.60 -453.60
1984 1983-12-09 0.0095 1983-12-27 0.0102 0.0007 29.40 19 1983-12-20 147.00 1983-12-12 -29.40 -147.00
1983 1982-12-09 0.0047 1982-12-27 0.0017 -0.0030 -126.00 19 1982-12-22 142.80 1982-12-20 -537.60 -537.60
1982 1981-12-09 -0.0029 1981-12-23 -0.0028 0.0001 4.20 15 1981-12-22 189.00 1981-12-18 -25.20 -184.80
1981 1980-12-09 -0.0239 1980-12-24 -0.0260 -0.0021 -88.20 16 1980-12-12 168.00 1980-12-19 -214.20 -382.20
1980 1979-12-10 -0.0475 1979-12-27 -0.0360 0.0115 483.00 18 1979-12-27 483.00 1979-12-18 -273.00 -483.00