Commodity Futures Spread Strategy for December, 2013 - Buy RBH14-RBJ14

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Commodity Futures Spread Strategy for December, 2013 - Buy RBH14-RBJ14

This spread combines several conditions to create good trading opportunity.

  • 93% Win in last 15 years
  • Narrow legs spread with expected lower volatility
  • Nice seasonal patterns correlation
  • Historical lows - Current year is moving around historical lows with nice space for profit

Backtest Buy RBH14-RBJ14 Entry: 2013-12-07 Exit: 2014-01-03

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% 28 24.48 9999 205.80 13.90 685.44 -246.12 685.44 0.00 805.56 -57.96 3427.20 3427.20 0.00 29.40
10 100% 10 0 70% 28 17.98 9999 231.00 9.71 503.58 -381.36 503.58 0.00 750.54 -77.28 5035.80 5035.80 0.00 54.60
15 93% 14 1 60% 28 16.69 42.73 231.00 9.90 467.32 -317.52 512.70 -168.00 662.20 -66.92 7009.80 7177.80 -168.00 54.60
20 90% 18 2 55% 28 13.72 34.27 231.00 7.90 384.30 -278.46 439.83 -115.50 545.79 -69.09 7686.00 7917.00 -231.00 54.60
29 83% 24 5 52% 28 10.91 18.87 231.00 4.98 305.44 -273.58 389.72 -99.12 452.88 -90.95 8857.80 9353.40 -495.60 58.80
Equity for backtest
Year Enter date Enter price Exit date Exit price Points Profit Days# Best Date Best Worst Date Worst Drawdown
2013 2012-12-07 -0.1485 2013-01-03 -0.1321 0.0164 688.80 28 2013-01-02 798.00 2012-12-10 -29.40 -298.20
2012 2011-12-07 -0.1439 2012-01-03 -0.1149 0.0290 1218.00 28 2011-12-23 1302.00 - 0.00 -117.60
2011 2010-12-07 -0.0972 2011-01-03 -0.0954 0.0018 75.60 28 2010-12-22 285.60 2010-12-14 -205.80 -331.80
2010 2009-12-07 -0.1222 2009-12-31 -0.1093 0.0129 541.80 25 2009-12-30 613.20 2009-12-14 -54.60 -126.00
2009 2008-12-08 -0.1620 2009-01-02 -0.1405 0.0215 903.00 26 2008-12-16 1029.00 - 0.00 -357.00
2008 2007-12-07 -0.1335 2008-01-03 -0.1270 0.0065 273.00 28 2007-12-27 798.00 2007-12-10 -21.00 -525.00
2007 2006-12-07 -0.1490 2007-01-03 -0.1460 0.0030 126.00 28 2006-12-19 1281.00 - 0.00 -1239.00
2006 2005-12-07 -0.0825 2006-01-03 -0.0785 0.0040 168.00 28 2005-12-09 273.00 2005-12-28 -231.00 -504.00
2005 2004-12-07 -0.0735 2005-01-03 -0.0687 0.0048 201.60 28 2005-01-03 201.60 2004-12-28 -231.00 -231.00
2004 2003-12-08 -0.0690 2003-12-31 -0.0490 0.0200 840.00 24 2003-12-30 924.00 - 0.00 -84.00
2003 2002-12-09 -0.0635 2003-01-03 -0.0390 0.0245 1029.00 26 2002-12-26 1239.00 - 0.00 -420.00
2002 2001-12-07 -0.0665 2002-01-03 -0.0565 0.0100 420.00 28 2002-01-03 420.00 - 0.00 -63.00
2001 2000-12-07 -0.0545 2001-01-03 -0.0405 0.0140 588.00 28 2001-01-03 588.00 2000-12-08 -42.00 -105.00
2000 1999-12-07 -0.0250 1999-12-30 -0.0290 -0.0040 -168.00 24 1999-12-16 12.60 1999-12-23 -189.00 -201.60
1999 1998-12-07 -0.0340 1998-12-31 -0.0315 0.0025 105.00 25 1998-12-15 168.00 - 0.00 -159.60
1998 1997-12-08 -0.0255 1998-01-02 -0.0270 -0.0015 -63.00 26 1997-12-19 105.00 1997-12-11 -105.00 -168.00
1997 1996-12-09 -0.0150 1997-01-03 -0.0130 0.0020 84.00 26 1997-01-02 109.20 1996-12-11 -105.00 -105.00
1996 1995-12-07 -0.0228 1996-01-03 -0.0145 0.0083 348.60 28 1996-01-02 394.80 - 0.00 -96.60
1995 1994-12-07 -0.0340 1995-01-03 -0.0269 0.0071 298.20 28 1995-01-03 298.20 1994-12-08 -0.00 -193.20
1994 1993-12-07 -0.0335 1994-01-03 -0.0333 0.0002 8.40 28 1993-12-17 75.60 1993-12-27 -168.00 -243.60
1993 1992-12-07 -0.0420 1992-12-31 -0.0360 0.0060 252.00 25 1992-12-28 315.00 - 0.00 -84.00
1992 1991-12-09 -0.0516 1992-01-03 -0.0420 0.0096 403.20 26 1992-01-03 403.20 - 0.00 -294.00
1991 1990-12-07 -0.0360 1991-01-03 -0.0395 -0.0035 -147.00 28 1990-12-17 42.00 1991-01-02 -340.20 -382.20
1990 1989-12-07 -0.0110 1990-01-03 -0.0013 0.0097 407.40 28 1990-01-02 449.40 1989-12-12 -58.80 -163.80
1989 1988-12-07 -0.0055 1989-01-03 -0.0041 0.0014 58.80 28 1988-12-29 130.20 1988-12-14 -63.00 -105.00
1988 1987-12-07 -0.0080 1987-12-31 -0.0076 0.0004 16.80 25 1987-12-29 58.80 1987-12-11 -46.20 -88.20
1987 1986-12-08 -0.0068 1987-01-02 -0.0091 -0.0023 -96.60 26 - 0.00 1986-12-24 -243.60 -243.60
1986 1985-12-09 -0.0020 1986-01-03 0.0051 0.0071 298.20 26 1985-12-31 525.00 1985-12-11 -21.00 -226.80
1985 1984-12-07 -0.0070 1985-01-03 -0.0075 -0.0005 -21.00 28 1984-12-13 294.00 1984-12-18 -483.00 -777.00