Futures Spread Strategy For September, 2016 - Buy SMZ16-SMH17

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Futures Spread Strategy For September, 2016 - Buy SMZ16-SMH17

This spread combines several conditions to create good trading opportunity.

  • 94% Win for last 20 years
  • High RRR
  • Seasonal patterns correlation - All patterns up to 30 years have similar movement and correlation, more than 95% in seasonal window
  • Strong Support level to place stop loss
  • Nice correlation between spread & sesonal patterns
  • Low margin requirements
  • Long seasonal window - A lot of time for seasonality to kick in. Possibility to take profit earlier

Backtest Buy SMZ16-SMH17 Entry: 2016-09-30 Exit: 2016-11-01

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% 33 29.52 9999 170.00 14.96 974.00 -566.00 974.00 0.00 1346.00 -90.00 4870.00 4870.00 0.00 20.00
10 100% 10 0 40% 33 17.82 9999 260.00 8.15 588.00 -413.00 653.33 0.00 831.00 -102.00 5880.00 5880.00 0.00 20.00
15 100% 15 0 47% 33 14.00 9999 260.00 7.41 462.00 -360.67 533.08 0.00 686.67 -92.67 6930.00 6930.00 0.00 260.00
20 95% 19 1 45% 33 12.11 267.33 260.00 6.09 399.50 -321.50 471.76 -10.00 587.50 -96.50 7990.00 8020.00 -30.00 260.00
30 80% 24 6 40% 33 9.05 18.92 260.00 4.06 298.67 -296.33 430.00 -62.50 464.00 -114.33 8960.00 9460.00 -500.00 260.00
65 68% 44 21 49% 33 4.80 5.53 260.00 2.73 158.31 -230.77 299.05 -98.70 292.15 -106.92 10290.00 12560.00 -2270.00 260.00
Equity for backtest
Year Enter date Enter price Exit date Exit price Points Profit Days# Best Date Best Worst Date Worst Drawdown
2015 2015-09-30 2.3 2015-10-30 2.9 0.6 60.00 31 2015-10-13 170.00 2015-10-28 -100.00 -270.00
2014 2014-09-30 3.2 2014-10-31 42.8 39.6 3960.00 32 2014-10-29 4180.00 2014-10-01 -20.00 -750.00
2013 2013-09-30 10.9 2013-11-01 15.7 4.8 480.00 33 2013-10-24 1260.00 2013-10-11 -170.00 -780.00
2012 2012-10-01 15.3 2012-11-01 17.8 2.5 250.00 32 2012-10-08 880.00 2012-10-02 -120.00 -870.00
2011 2011-09-30 -6.1 2011-11-01 -4.9 1.2 120.00 33 2011-10-18 240.00 2011-10-03 -40.00 -160.00
2010 2010-09-30 -4.3 2010-11-01 -3.2 1.1 110.00 33 2010-10-28 190.00 2010-10-20 -40.00 -140.00
2009 2009-09-30 6.4 2009-10-30 11.5 5.1 510.00 31 2009-10-30 510.00 2009-10-02 -260.00 -360.00
2008 2008-09-30 -7.8 2008-10-31 -5.0 2.8 280.00 32 2008-10-24 680.00 2008-10-01 -30.00 -500.00
2007 2007-10-01 -5.7 2007-11-01 -5.7 0.0 0.00 32 2007-10-31 60.00 2007-10-16 -170.00 -200.00
2006 2006-10-02 -3.3 2006-11-01 -2.2 1.1 110.00 31 2006-10-24 140.00 2006-10-11 -70.00 -100.00
2005 2005-09-30 -4.2 2005-11-01 -4.2 0.0 0.00 33 2005-10-13 40.00 2005-10-19 -80.00 -120.00
2004 2004-09-30 -4.4 2004-11-01 -3.9 0.5 50.00 33 2004-10-21 150.00 2004-10-06 -30.00 -140.00
2003 2003-09-30 1.6 2003-10-31 5.8 4.2 420.00 32 2003-10-14 1190.00 2003-10-01 -60.00 -770.00
2002 2002-09-30 -1.1 2002-11-01 -0.4 0.7 70.00 33 2002-10-29 100.00 2002-10-11 -150.00 -150.00
2001 2001-10-01 1.9 2001-11-01 7.0 5.1 510.00 32 2001-11-01 510.00 2001-10-02 -50.00 -100.00
2000 2000-10-02 -0.1 2000-11-01 3.2 3.3 330.00 31 2000-10-25 460.00 2000-10-09 -20.00 -190.00
1999 1999-09-30 -1.8 1999-11-01 -2.1 -0.3 -30.00 33 - 0.00 1999-10-22 -180.00 -180.00
1998 1998-09-30 -7.4 1998-10-30 -5.8 1.6 160.00 31 1998-10-19 170.00 - 0.00 -120.00
1997 1997-09-30 4.1 1997-10-31 6.9 2.8 280.00 32 1997-10-30 340.00 1997-10-22 -140.00 -330.00
1996 1996-09-30 3.9 1996-11-01 7.1 3.2 320.00 33 1996-10-29 480.00 1996-10-02 -200.00 -200.00
1995 1995-10-02 -3.5 1995-11-01 -1.7 1.8 180.00 31 1995-10-20 250.00 1995-10-03 -10.00 -110.00
1994 1994-09-30 -4.7 1994-11-01 -5.2 -0.5 -50.00 33 1994-10-20 60.00 1994-10-28 -70.00 -130.00
1993 1993-09-30 -3.0 1993-11-01 0.0 3.0 300.00 33 1993-11-01 300.00 - 0.00 -120.00
1992 1992-09-30 0.2 1992-10-30 -0.4 -0.6 -60.00 31 1992-10-19 10.00 1992-10-13 -180.00 -180.00
1991 1991-09-30 3.8 1991-11-01 4.7 0.9 90.00 33 1991-11-01 90.00 1991-10-15 -200.00 -220.00
1990 1990-10-01 -4.9 1990-11-01 -6.3 -1.4 -140.00 32 1990-10-09 220.00 1990-10-31 -200.00 -420.00
1989 1989-10-02 2.5 1989-11-01 2.2 -0.3 -30.00 31 1989-10-05 150.00 1989-10-13 -80.00 -230.00
1988 1988-09-30 4.3 1988-11-01 2.4 -1.9 -190.00 33 1988-10-04 220.00 1988-10-24 -430.00 -650.00
1987 1987-09-30 4.9 1987-10-30 11.9 7.0 700.00 31 1987-10-30 700.00 1987-10-12 -230.00 -280.00
1986 1986-09-30 -1.8 1986-10-31 -0.1 1.7 170.00 32 1986-10-31 170.00 1986-10-07 -100.00 -120.00
1985 1985-09-30 -3.9 1985-11-01 -2.7 1.2 120.00 33 1985-10-10 250.00 1985-10-28 -50.00 -300.00
1984 1984-10-01 -7.8 1984-11-01 -9.7 -1.9 -190.00 32 - 0.00 1984-11-01 -190.00 -190.00
1983 1983-09-30 -0.3 1983-11-01 -3.3 -3.0 -300.00 33 - 0.00 1983-10-26 -370.00 -370.00
1982 1982-09-30 -6.0 1982-11-01 -2.7 3.3 330.00 33 1982-11-01 330.00 1982-10-05 -20.00 -70.00
1981 1981-09-30 -11.1 1981-10-30 -9.7 1.4 140.00 31 1981-10-05 140.00 - 0.00 -140.00
1980 1980-09-30 -8.5 1980-10-31 -9.6 -1.1 -110.00 32 1980-10-03 70.00 1980-10-20 -240.00 -310.00
1979 1979-10-01 -6.3 1979-11-01 -6.8 -0.5 -50.00 32 1979-10-12 50.00 1979-10-24 -130.00 -180.00
1978 1978-10-02 -3.0 1978-11-01 -1.6 1.4 140.00 31 1978-10-30 270.00 1978-10-25 -30.00 -240.00
1977 1977-09-30 -7.4 1977-11-01 -6.1 1.3 130.00 33 1977-11-01 130.00 1977-10-04 -80.00 -80.00
1976 1976-09-30 -3.8 1976-11-01 -2.8 1.0 100.00 33 1976-10-11 110.00 1976-10-22 -140.00 -250.00
1975 1975-09-30 -6.3 1975-10-31 -3.7 2.6 260.00 32 1975-10-22 370.00 1975-10-01 -50.00 -110.00
1974 1974-09-30 -8.0 1974-11-01 -10.3 -2.3 -230.00 33 1974-10-18 180.00 1974-10-31 -240.00 -420.00
1973 1973-10-01 1.5 1973-11-01 -1.5 -3.0 -300.00 32 1973-10-11 300.00 1973-10-24 -670.00 -970.00
1972 1972-10-02 -0.4 1972-11-01 3.4 3.8 380.00 31 1972-10-30 390.00 1972-10-04 -30.00 -60.00
1971 1971-09-30 -0.9 1971-11-01 -1.2 -0.3 -30.00 33 1971-10-07 30.00 1971-11-01 -30.00 -60.00
1970 1970-09-30 0.1 1970-10-30 -0.1 -0.2 -20.00 31 1970-10-07 60.00 1970-10-19 -80.00 -140.00
1969 1969-09-30 -0.6 1969-10-31 0.1 0.7 70.00 32 1969-10-27 210.00 1969-10-07 -20.00 -140.00
1968 1968-09-30 -0.6 1968-11-01 -0.9 -0.3 -30.00 33 1968-10-07 100.00 1968-10-30 -30.00 -130.00
1967 1967-10-02 -0.3 1967-11-01 -1.4 -1.1 -110.00 31 1967-10-06 50.00 1967-11-01 -110.00 -160.00
1966 1966-09-30 0.7 1966-11-01 0.0 -0.7 -70.00 33 - 0.00 1966-10-24 -80.00 -80.00
1965 1965-09-30 -0.5 1965-11-01 2.2 2.7 270.00 33 1965-10-28 300.00 1965-10-06 -80.00 -80.00
1964 1964-09-30 -0.3 1964-10-30 -0.2 0.1 10.00 31 1964-10-05 50.00 1964-10-15 -70.00 -120.00
1963 1963-09-30 -1.8 1963-11-01 -1.3 0.5 50.00 33 1963-10-25 120.00 - 0.00 -70.00
1962 1962-10-01 -0.5 1962-11-01 1.8 2.3 230.00 32 1962-10-23 280.00 1962-10-04 -40.00 -100.00
1961 1961-10-02 -3.1 1961-11-01 -1.0 2.1 210.00 31 1961-10-27 260.00 1961-10-04 -10.00 -70.00
1960 1960-09-30 -2.1 1960-11-01 -2.3 -0.2 -20.00 33 1960-10-03 30.00 1960-10-19 -40.00 -70.00
1959 1959-09-30 -1.0 1959-10-30 -0.3 0.7 70.00 31 1959-10-27 130.00 1959-10-07 -40.00 -60.00
1958 1958-09-30 -1.1 1958-10-31 -1.5 -0.4 -40.00 32 1958-10-01 10.00 1958-10-24 -90.00 -100.00
1957 1957-09-30 -0.9 1957-11-01 -0.4 0.5 50.00 33 1957-10-08 90.00 1957-10-01 -10.00 -80.00
1956 1956-10-01 -0.8 1956-11-01 -0.7 0.1 10.00 32 1956-10-25 30.00 1956-10-12 -80.00 -80.00
1955 1955-09-30 -1.0 1955-11-01 -0.9 0.1 10.00 33 1955-10-17 70.00 1955-10-03 -30.00 -70.00
1954 1954-09-30 -1.8 1954-11-01 -0.4 1.4 140.00 33 1954-11-01 140.00 1954-10-18 -130.00 -260.00
1953 1953-09-30 -1.4 1953-10-30 -2.3 -0.9 -90.00 31 1953-10-09 80.00 1953-10-27 -90.00 -170.00
1952 1952-09-30 -0.8 1952-10-31 -2.6 -1.8 -180.00 32 1952-10-01 60.00 1952-10-23 -220.00 -280.00
1951 1951-10-01 0.0 1951-11-01 3.8 3.8 380.00 32 1951-11-01 380.00 - 0.00 -100.00