Commodity Futures Spread Strategy for January, 2014 - Buy ADH14-SFH14

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Commodity Futures Spread Strategy for January, 2014 - Buy ADH14-SFH14

This spread combines several conditions to create good trading opportunity.

  • 93% Win in last 15 years
  • Seasonal patterns correlation - All patterns up to 15 years have similar movement and correlation
  • Historical lows - Current year is moving around historical lows with nice space for profit
  • Double bottom pattern

Please note that this is intercommodity spread where you must expect higher volatility

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% 21 88.52 9999 915.00 10.44 1859.00 -2639.00 1859.00 0.00 3126.00 -299.50 9295.00 9295.00 0.00 915.00
10 90% 9 1 80% 21 67.75 7.51 915.00 5.97 1422.75 -1878.50 1823.61 -2185.00 2479.50 -415.25 14227.50 16412.50 -2185.00 915.00
15 93% 14 1 80% 21 71.16 11.26 915.00 7.23 1494.33 -1757.33 1757.14 -2185.00 2406.67 -332.83 22415.00 24600.00 -2185.00 915.00
20 90% 18 2 75% 21 65.76 6.33 1525.00 4.22 1380.88 -1705.12 1822.36 -2592.50 2303.25 -546.00 27617.50 32802.50 -5185.00 1332.50
26 81% 21 5 73% 21 62.59 4.64 1525.00 3.41 1314.33 -1850.67 2074.40 -1878.00 2437.40 -713.94 34172.50 43562.50 -9390.00 1492.50
Equity for backtest
Year Enter date Enter price Exit date Exit price Points Profit Days# Best Date Best Worst Date Worst Drawdown
2013 2013-01-02 -31940.00 2013-01-18 -29112.50 2827.50 2827.50 17 2013-01-16 2935.00 2013-01-11 -225.00 -1590.00
2012 2012-01-03 -31322.50 2012-01-20 -29647.50 1675.00 1675.00 18 2012-01-17 2672.50 - 0.00 -1957.50
2011 2011-01-03 -33092.50 2011-01-21 -32045.00 1047.50 1047.50 19 2011-01-05 2885.00 - 0.00 -1837.50
2010 2010-01-04 -31010.00 2010-01-21 -30130.00 880.00 880.00 18 2010-01-19 1765.00 2010-01-12 -357.50 -1522.50
2009 2009-01-02 -45332.50 2009-01-21 -42467.50 2865.00 2865.00 20 2009-01-06 5372.50 2009-01-14 -915.00 -6287.50
2008 2008-01-02 -24322.50 2008-01-18 -26507.50 -2185.00 -2185.00 17 - 0.00 2008-01-04 -2300.00 -2300.00
2007 2007-01-02 -24365.00 2007-01-19 -21847.50 2517.50 2517.50 18 2007-01-19 2517.50 - 0.00 -497.50
2006 2006-01-03 -23665.00 2006-01-20 -23617.50 47.50 47.50 18 2006-01-12 835.00 2006-01-04 -355.00 -787.50
2005 2005-01-03 -31880.00 2005-01-21 -29152.50 2727.50 2727.50 19 2005-01-21 2727.50 - 0.00 -745.00
2004 2004-01-02 -25992.50 2004-01-21 -24167.50 1825.00 1825.00 20 2004-01-16 3085.00 - 0.00 -1260.00
2003 2003-01-02 -33365.00 2003-01-21 -33212.50 152.50 152.50 20 2003-01-13 1280.00 - 0.00 -1127.50
2002 2002-01-02 -24820.00 2002-01-18 -24065.00 755.00 755.00 17 2002-01-09 1855.00 - 0.00 -1100.00
2001 2001-01-02 -22637.50 2001-01-19 -20910.00 1727.50 1727.50 18 2001-01-19 1727.50 - 0.00 -707.50
2000 2000-01-03 -14490.00 2000-01-21 -12432.50 2057.50 2057.50 19 2000-01-14 2195.00 2000-01-06 -840.00 -840.00
1999 1999-01-04 -29935.00 1999-01-21 -26440.00 3495.00 3495.00 18 1999-01-11 4247.50 - 0.00 -3800.00
1998 1998-01-02 -20647.50 1998-01-21 -18790.00 1857.50 1857.50 20 1998-01-16 3497.50 1998-01-08 -1332.50 -1640.00
1997 1997-01-02 -14590.00 1997-01-21 -10835.00 3755.00 3755.00 20 1997-01-21 3755.00 - 0.00 -795.00
1996 1996-01-02 -34485.00 1996-01-19 -32100.00 2385.00 2385.00 18 1996-01-17 2507.50 - 0.00 -712.50
1995 1995-01-03 -18970.00 1995-01-20 -21970.00 -3000.00 -3000.00 18 - 0.00 1995-01-16 -3070.00 -3070.00
1994 1994-01-03 -15175.00 1994-01-21 -14970.00 205.00 205.00 19 1994-01-21 205.00 1994-01-07 -1525.00 -1525.00
1993 1993-01-04 -16282.50 1993-01-21 -17692.50 -1410.00 -1410.00 18 1993-01-08 327.50 1993-01-20 -1887.50 -2215.00
1992 1992-01-02 -15757.50 1992-01-21 -13617.50 2140.00 2140.00 20 1992-01-15 3587.50 1992-01-08 -1492.50 -2332.50
1991 1991-01-02 -21822.50 1991-01-21 -22590.00 -767.50 -767.50 20 1991-01-16 3360.00 1991-01-21 -767.50 -4127.50
1990 1990-01-02 -1705.00 1990-01-19 -3732.50 -2027.50 -2027.50 18 - 0.00 1990-01-12 -3495.00 -3495.00
1989 1989-01-03 2000.00 1989-01-20 6132.50 4132.50 4132.50 18 1989-01-19 4872.50 - 0.00 -740.00
1988 1988-01-04 -26350.00 1988-01-21 -21862.50 4487.50 4487.50 18 1988-01-19 5160.00 - 0.00 -1105.00