Futures Spread Strategy For September, 2015 - Buy KCH16-KCZ15

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Futures Spread Strategy For September, 2015 - Buy KCH16-KCZ15

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

  • 100% Win in last 15 years
  • The stoploss can be placed under a local support level.
  • Strong seasonal patterns correlation in trading window
  • Closer legs with expected lower volatility
  • Long seasonal window - A lot of time for seasonality to kick in. Possibility to take profit earlier

Backtest Buy KCH16-KCZ15 Entry: 2015-09-15 Exit: 2015-11-17

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% 64 6.50 9999 168.75 9.38 416.25 -206.25 416.25 0.00 457.50 -48.75 2081.25 2081.25 0.00 37.50
10 100% 10 0 50% 64 4.78 9999 393.75 4.44 305.62 -200.63 305.62 0.00 358.13 -80.63 3056.25 3056.25 0.00 37.50
15 100% 15 0 53% 64 4.53 9999 393.75 4.22 290.00 -181.25 290.00 0.00 332.50 -78.75 4350.00 4350.00 0.00 75.00
20 95% 19 1 45% 64 5.57 5.52 4200.00 0.86 356.25 -778.13 457.89 -1575.00 487.50 -568.13 7125.00 8700.00 -1575.00 581.25
30 97% 29 1 37% 64 7.28 9.87 4200.00 0.92 465.63 -829.75 535.99 -1575.00 572.38 -621.50 13968.75 15543.75 -1575.00 3416.25
42 83% 35 7 88% 64 2.72 1.46 4200.00 0.62 174.02 -1335.27 658.50 -2248.39 661.79 -1075.80 7308.75 23047.50 -15738.75 4200.00
Equity for backtest
Year Enter date Enter price Exit date Exit price Points Profit Days# Best Date Best Worst Date Worst Drawdown
2014 2014-09-15 4.10 2014-11-17 4.30 0.20 75.00 64 2014-10-30 112.50 2014-10-06 -168.75 -206.25
2013 2013-09-16 3.00 2013-11-15 3.35 0.35 131.25 61 2013-11-15 131.25 2013-11-13 -37.50 -131.25
2012 2012-09-17 3.95 2012-11-16 5.20 1.25 468.75 61 2012-11-09 637.50 2012-10-02 -37.50 -243.75
2011 2011-09-15 2.70 2011-11-17 3.95 1.25 468.75 64 2011-11-17 468.75 - 0.00 -243.75
2010 2010-09-15 0.90 2010-11-17 3.40 2.50 937.50 64 2010-11-17 937.50 - 0.00 -206.25
2009 2009-09-15 2.95 2009-11-17 3.10 0.15 56.25 64 2009-11-11 56.25 2009-10-21 -131.25 -150.00
2008 2008-09-15 3.85 2008-11-17 4.15 0.30 112.50 64 2008-10-08 412.50 - 0.00 -300.00
2007 2007-09-17 3.40 2007-11-16 4.15 0.75 281.25 61 2007-11-07 300.00 2007-09-18 -18.75 -75.00
2006 2006-09-15 3.80 2006-11-17 4.85 1.05 393.75 64 2006-11-17 393.75 2006-09-18 -18.75 -56.25
2005 2005-09-15 3.65 2005-11-17 4.00 0.35 131.25 64 2005-11-17 131.25 2005-10-17 -393.75 -393.75
2004 2004-09-15 2.95 2004-11-17 3.60 0.65 243.75 64 2004-11-16 262.50 2004-09-21 -56.25 -150.00
2003 2003-09-15 2.40 2003-11-17 2.95 0.55 206.25 64 2003-11-04 300.00 2003-09-22 -37.50 -112.50
2002 2002-09-16 2.90 2002-11-15 4.00 1.10 412.50 61 2002-11-15 412.50 2002-10-15 -75.00 -131.25
2001 2001-09-17 2.75 2001-11-16 3.20 0.45 168.75 61 2001-11-15 168.75 2001-09-21 -150.00 -168.75
2000 2000-09-15 4.65 2000-11-17 5.35 0.70 262.50 64 2000-11-17 262.50 2000-10-16 -56.25 -150.00
1999 1999-09-15 2.85 1999-11-17 4.90 2.05 768.75 64 1999-11-17 768.75 1999-10-13 -318.75 -450.00
1998 1998-09-15 -1.15 1998-11-17 -0.30 0.85 318.75 64 1998-11-17 318.75 1998-11-03 -4200.00 -4481.25
1997 1997-09-15 -14.65 1997-11-17 -6.55 8.10 3037.50 64 1997-11-04 3075.00 1997-10-14 -581.25 -2306.25
1996 1996-09-16 -4.00 1996-11-15 -8.20 -4.20 -1575.00 61 1996-09-19 375.00 1996-11-07 -4125.00 -4500.00
1995 1995-09-15 -1.30 1995-11-17 -0.70 0.60 225.00 64 1995-11-17 225.00 1995-11-14 -956.25 -1106.25
1994 1994-09-15 3.60 1994-11-17 5.45 1.85 693.75 64 1994-11-15 768.75 1994-09-16 -1275.00 -1275.00
1993 1993-09-15 2.25 1993-11-17 3.30 1.05 393.75 64 1993-11-17 393.75 1993-09-17 -37.50 -131.25
1992 1992-09-15 1.45 1992-11-17 2.25 0.80 300.00 64 1992-11-09 431.25 1992-09-28 -131.25 -393.75
1991 1991-09-16 3.45 1991-11-15 4.15 0.70 262.50 61 1991-11-01 412.50 1991-09-24 -187.50 -262.50
1990 1990-09-17 3.25 1990-11-16 4.10 0.85 318.75 61 1990-11-16 318.75 1990-09-19 -131.25 -225.00
1989 1989-09-15 2.49 1989-11-17 4.00 1.51 566.25 64 1989-11-17 566.25 1989-10-26 -288.75 -337.50
1988 1988-09-15 -0.65 1988-11-17 1.64 2.29 858.75 64 1988-11-17 858.75 1988-09-23 -75.00 -840.00
1987 1987-09-15 3.30 1987-11-17 4.04 0.74 277.50 64 1987-10-21 498.75 1987-09-25 -221.25 -502.50
1986 1986-09-15 -4.18 1986-11-17 2.35 6.53 2448.75 64 1986-11-17 2448.75 1986-10-08 -3416.25 -3416.25
1985 1985-09-16 1.31 1985-11-15 3.24 1.93 723.75 61 1985-11-15 723.75 1985-10-28 -1518.75 -1946.25
1984 1984-09-17 -1.73 1984-11-16 -3.95 -2.22 -832.50 61 1984-10-08 367.50 1984-11-15 -993.75 -1361.25
1983 1983-09-15 -2.45 1983-11-17 -4.26 -1.81 -678.75 64 1983-10-28 457.50 1983-10-13 -1383.75 -1582.50
1982 1982-09-15 -6.55 1982-11-17 -3.11 3.44 1290.00 64 1982-10-19 1481.25 1982-10-07 -701.25 -963.75
1981 1981-09-15 -3.16 1981-11-17 -3.80 -0.64 -240.00 64 1981-09-16 232.50 1981-11-04 -3633.75 -3866.25
1980 1980-09-15 5.11 1980-11-17 7.90 2.79 1046.25 64 1980-11-17 1046.25 1980-10-13 -2388.75 -2658.75
1979 1979-09-17 -12.28 1979-11-16 -15.08 -2.80 -1050.00 61 1979-10-02 562.50 1979-10-19 -2981.25 -3543.75
1978 1978-09-15 -11.27 1978-11-17 -9.25 2.02 757.50 64 1978-10-19 1365.00 - 0.00 -1143.75
1977 1977-09-15 -13.00 1977-11-17 -42.42 -29.42 -11032.50 64 1977-09-26 480.00 1977-11-04 -11182.50 -11662.50
1976 1976-09-15 -7.05 1976-11-17 1.76 8.81 3303.75 64 1976-11-17 3303.75 1976-10-27 -2167.50 -2793.75
1975 1975-09-15 -0.42 1975-11-17 0.58 1.00 375.00 64 1975-11-14 401.25 1975-10-16 -131.25 -251.25
1974 1974-09-16 0.18 1974-11-15 -0.70 -0.88 -330.00 61 1974-09-27 195.00 1974-11-01 -517.50 -712.50
1973 1973-09-17 1.07 1973-11-16 3.02 1.95 731.25 61 1973-11-16 731.25 1973-10-05 -457.50 -648.75