Commodity futures spread strategy for December, 2014 - Buy 2*PLJ15-GCG15

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Commodity futures spread strategy for December, 2014 - Buy 2*PLJ15-GCG15

This spread combines several conditions to create good trading opportunity.

  • 100% Win in last 20 years
  • All patterns up to 30 years have similar movement and correlation over 97%
  • Long seasonal window - A lot of time for seasonality to kick in. Possibility to take profit earlier
  • Possible to entry around strong support

Please note that this is intercommodity spread where you must expect higher volatility. This spread is not suitable for beginners, you need to have open 3 contracts as minimum (Buy 2 * PL / Sell GC)

Backtest Buy 2*PLJ15-GCG15 Entry: 2014-12-20 Exit: 2015-01-25

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% 37 253.46 9999 3850.00 7.21 9378.00 -4598.00 9378.00 0.00 12354.00 -1714.00 46890.00 46890.00 0.00 3850.00
10 100% 10 0 50% 37 185.22 9999 4070.00 5.41 6853.00 -4302.00 6853.00 0.00 9316.00 -1723.00 68530.00 68530.00 0.00 3850.00
15 100% 15 0 53% 37 154.41 9999 4070.00 6.23 5713.33 -3546.67 5713.33 0.00 7727.33 -1240.67 85700.00 85700.00 0.00 4070.00
20 100% 20 0 55% 37 120.97 9999 4070.00 6.16 4476.00 -2934.00 4476.00 0.00 6211.50 -1009.00 89520.00 89520.00 0.00 4070.00
30 83% 25 5 60% 37 84.32 20.71 4070.00 4.41 3120.00 -2519.00 3934.00 -950.00 4594.00 -1041.33 93600.00 98350.00 -4750.00 4070.00
39 77% 30 9 51% 37 69.71 11.99 4070.00 3.37 2579.23 -2475.64 3658.00 -1016.67 3969.23 -1176.15 100590.00 109740.00 -9150.00 4070.00
Equity for backtest
Year Enter date Enter price Exit date Exit price Points Profit Days# Best Date Best Worst Date Worst Drawdown
2014 2013-12-20 13000.00 2014-01-24 16430.00 3430.00 3430.00 36 2014-01-22 9380.00 - 0.00 -5950.00
2013 2012-12-20 -9580.00 2013-01-25 3830.00 13410.00 13410.00 37 2013-01-25 13410.00 2012-12-28 -3850.00 -3850.00
2012 2011-12-20 -17780.00 2012-01-25 -12050.00 5730.00 5730.00 37 2012-01-24 6570.00 2012-01-06 -3080.00 -5100.00
2011 2010-12-20 32960.00 2011-01-25 45500.00 12540.00 12540.00 37 2011-01-21 15170.00 - 0.00 -2630.00
2010 2009-12-21 33260.00 2010-01-25 45040.00 11780.00 11780.00 36 2010-01-20 17240.00 2009-12-22 -1640.00 -5460.00
2009 2008-12-22 1400.00 2009-01-23 6220.00 4820.00 4820.00 33 2009-01-12 13890.00 2008-12-23 -160.00 -9070.00
2008 2007-12-20 70900.00 2008-01-25 76940.00 6040.00 6040.00 37 2008-01-25 6040.00 2008-01-22 -4070.00 -5060.00
2007 2006-12-20 50920.00 2007-01-25 53990.00 3070.00 3070.00 37 2007-01-10 3420.00 2006-12-28 -2140.00 -2490.00
2006 2005-12-20 47000.00 2006-01-25 50230.00 3230.00 3230.00 37 2006-01-25 3230.00 2006-01-03 -2070.00 -2070.00
2005 2004-12-20 39700.00 2005-01-25 44180.00 4480.00 4480.00 37 2005-01-24 4810.00 2004-12-23 -220.00 -1340.00
2004 2003-12-22 37840.00 2004-01-23 44850.00 7010.00 7010.00 33 2004-01-22 7370.00 - 0.00 -1490.00
2003 2002-12-20 23850.00 2003-01-24 26670.00 2820.00 2820.00 36 2003-01-22 3770.00 2002-12-24 -730.00 -950.00
2002 2001-12-20 17310.00 2002-01-25 18560.00 1250.00 1250.00 37 2001-12-31 3290.00 - 0.00 -2260.00
2001 2000-12-20 32550.00 2001-01-25 34920.00 2370.00 2370.00 37 2001-01-10 4600.00 - 0.00 -3250.00
2000 1999-12-20 11810.00 2000-01-25 15530.00 3720.00 3720.00 37 2000-01-25 3720.00 2000-01-06 -650.00 -2230.00
1999 1998-12-21 5730.00 1999-01-25 6550.00 820.00 820.00 36 1999-01-04 2120.00 - 0.00 -1410.00
1998 1997-12-22 5740.00 1998-01-23 8290.00 2550.00 2550.00 33 1998-01-14 4820.00 1997-12-23 -120.00 -2270.00
1997 1996-12-20 650.00 1997-01-24 920.00 270.00 270.00 36 1997-01-14 430.00 1996-12-26 -250.00 -400.00
1996 1995-12-20 1920.00 1996-01-25 1940.00 20.00 20.00 37 1996-01-05 650.00 1995-12-28 -540.00 -740.00
1995 1994-12-20 3700.00 1995-01-25 3860.00 160.00 160.00 37 1995-01-12 300.00 1995-01-04 -660.00 -660.00
1994 1993-12-20 150.00 1994-01-25 60.00 -90.00 -90.00 37 1994-01-04 560.00 1994-01-21 -230.00 -790.00
1993 1992-12-21 2270.00 1993-01-25 3500.00 1230.00 1230.00 36 1993-01-25 1230.00 1992-12-31 -320.00 -680.00
1992 1991-12-20 -1700.00 1992-01-24 -820.00 880.00 880.00 36 1992-01-24 880.00 1991-12-26 -420.00 -690.00
1991 1990-12-20 3720.00 1991-01-25 1620.00 -2100.00 -2100.00 37 - 0.00 1991-01-24 -2430.00 -2430.00
1990 1989-12-20 10390.00 1990-01-25 9700.00 -690.00 -690.00 37 1989-12-27 310.00 1990-01-02 -2380.00 -2690.00
1989 1988-12-20 10680.00 1989-01-25 13080.00 2400.00 2400.00 37 1989-01-23 3120.00 1988-12-28 -1290.00 -2310.00
1988 1987-12-21 2050.00 1988-01-25 1190.00 -860.00 -860.00 36 1987-12-28 1090.00 1988-01-25 -860.00 -1950.00
1987 1986-12-22 8490.00 1987-01-23 11450.00 2960.00 2960.00 33 1987-01-19 3980.00 1986-12-31 -1560.00 -1560.00
1986 1985-12-20 1160.00 1986-01-24 2520.00 1360.00 1360.00 36 1986-01-06 2090.00 1985-12-23 -80.00 -1970.00
1985 1984-12-20 -1800.00 1985-01-25 -2810.00 -1010.00 -1010.00 37 1984-12-27 330.00 1985-01-22 -1490.00 -1820.00
1984 1983-12-20 1520.00 1984-01-25 1280.00 -240.00 -240.00 37 1983-12-21 20.00 1984-01-04 -970.00 -990.00
1983 1982-12-20 -7290.00 1983-01-25 -1730.00 5560.00 5560.00 37 1983-01-13 6820.00 1982-12-21 -240.00 -2400.00
1982 1981-12-21 -1430.00 1982-01-25 -1510.00 -80.00 -80.00 36 1981-12-22 320.00 1982-01-08 -1020.00 -1340.00
1981 1980-12-22 270.00 1981-01-23 -3660.00 -3930.00 -3930.00 33 1981-01-07 1360.00 1981-01-23 -3930.00 -5290.00
1980 1979-12-20 16770.00 1980-01-25 16620.00 -150.00 -150.00 37 1979-12-27 2130.00 1980-01-21 -6770.00 -8900.00
1979 1978-12-20 13290.00 1979-01-25 14440.00 1150.00 1150.00 37 1979-01-24 1260.00 1979-01-04 -1240.00 -1240.00
1978 1977-12-20 1690.00 1978-01-25 4640.00 2950.00 2950.00 37 1978-01-25 2950.00 - 0.00 -220.00
1977 1976-12-20 1780.00 1977-01-25 2900.00 1120.00 1120.00 37 1977-01-24 1320.00 1976-12-21 -300.00 -300.00
1976 1975-12-22 930.00 1976-01-23 1540.00 610.00 610.00 33 1976-01-21 800.00 1975-12-30 -160.00 -300.00