Futures Spread Strategy For March, 2017 - Buy CZ17-CU17

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Futures Spread Strategy For March, 2017 - Buy CZ17-CU17

This spread combines several conditions to create good trading opportunity.

  • 100% Win in last 20 years
  • Strong seasonal patterns correlation in seasonal window
  • Narrow legs spread with expected lower volatility
  • Long seasonal window - A lot of time for seasonality to kick in. Possibility to take profit earlier
Note: We trade this spread each year, but this spread can be very volatile as you can see in Stacked section. We think that the current price level is too high, we plan 2 scenario, we will wait for strong support formation, or we will start build position under 0 on minor support levels.

Backtest Buy CZ17-CU17 Entry: 2017-03-14 Exit: 2017-08-04

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% 144 4.25 9999 925.00 2.21 612.50 -815.00 612.50 0.00 712.50 -322.50 3062.50 3062.50 0.00 925.00
10 100% 10 0 40% 144 5.56 9999 925.00 2.75 801.25 -736.25 890.28 0.00 868.75 -316.25 8012.50 8012.50 0.00 762.50
15 100% 15 0 33% 144 4.47 9999 925.00 3.01 643.33 -532.50 689.29 0.00 690.00 -229.17 9650.00 9650.00 0.00 762.50
20 100% 20 0 35% 144 3.65 9999 925.00 3.02 525.00 -431.25 552.63 0.00 567.50 -188.12 10500.00 10500.00 0.00 925.00
30 87% 26 4 33% 144 2.53 7.90 925.00 1.74 365.00 -480.83 501.50 -317.50 472.50 -271.67 10950.00 12537.50 -1587.50 925.00
69 74% 51 18 54% 144 1.32 4.29 1412.50 1.29 190.09 -396.04 349.07 -199.42 321.81 -249.77 13116.00 17104.50 -3988.50 925.00
Equity for backtest
Year Enter date Enter price Exit date Exit price Points Profit Days# Best Date Best Worst Date Worst Drawdown
2016 2016-03-14 8.50 2016-08-04 10.25 1.75 87.50 144 2016-08-04 87.50 2016-05-26 -462.50 -487.50
2015 2015-03-16 9.50 2015-08-04 10.00 0.50 25.00 142 2015-05-26 87.50 2015-03-25 -87.50 -137.50
2014 2014-03-14 -1.25 2014-08-04 10.50 11.75 587.50 144 2014-08-04 587.50 2014-03-28 -137.50 -262.50
2013 2013-03-14 -24.75 2013-08-02 -12.25 12.50 625.00 142 2013-08-02 625.00 2013-07-19 -925.00 -1412.50
2012 2012-03-14 -37.25 2012-08-03 -2.50 34.75 1737.50 143 2012-06-29 2175.00 - 0.00 -1775.00
2011 2011-03-14 -46.00 2011-08-04 7.75 53.75 2687.50 144 2011-08-04 2687.50 2011-04-11 -762.50 -1562.50
2010 2010-03-15 9.25 2010-08-04 14.75 5.50 275.00 143 2010-08-04 275.00 2010-04-28 -125.00 -237.50
2009 2009-03-16 11.25 2009-08-04 11.25 0.00 0.00 142 2009-05-27 112.50 2009-07-14 -212.50 -325.00
2008 2008-03-14 1.75 2008-08-04 20.00 18.25 912.50 144 2008-06-23 937.50 2008-04-01 -362.50 -362.50
2007 2007-03-14 -5.00 2007-08-03 16.50 21.50 1075.00 143 2007-08-02 1112.50 2007-05-31 -87.50 -800.00
2006 2006-03-14 10.75 2006-08-04 17.25 6.50 325.00 144 2006-08-01 325.00 2006-03-21 -12.50 -87.50
2005 2005-03-14 8.25 2005-08-04 13.00 4.75 237.50 144 2005-08-02 237.50 2005-03-15 -50.00 -100.00
2004 2004-03-15 -3.25 2004-08-04 10.00 13.25 662.50 143 2004-08-04 662.50 2004-03-17 -75.00 -200.00
2003 2003-03-14 1.75 2003-08-04 7.75 6.00 300.00 144 2003-08-04 300.00 2003-05-13 -125.00 -150.00
2002 2002-03-14 8.00 2002-08-02 10.25 2.25 112.50 142 2002-06-25 137.50 2002-03-26 -12.50 -87.50
2001 2001-03-14 11.00 2001-08-03 11.50 0.50 25.00 143 2001-07-13 62.50 2001-03-30 -50.00 -62.50
2000 2000-03-14 8.50 2000-08-04 12.00 3.50 175.00 144 2000-06-29 187.50 2000-05-05 -25.00 -112.50
1999 1999-03-15 8.25 1999-08-04 11.50 3.25 162.50 143 1999-07-23 212.50 1999-03-26 -87.50 -125.00
1998 1998-03-16 1.50 1998-08-04 7.75 6.25 312.50 142 1998-08-04 312.50 1998-03-24 -50.00 -150.00
1997 1997-03-14 -2.25 1997-08-04 1.25 3.50 175.00 144 1997-07-29 225.00 1997-04-01 -112.50 -187.50
1996 1996-03-14 -13.25 1996-08-02 -34.00 -20.75 -1037.50 142 1996-03-15 62.50 1996-05-17 -2800.00 -2862.50
1995 1995-03-14 3.25 1995-08-04 -1.00 -4.25 -212.50 144 1995-06-07 112.50 1995-07-25 -237.50 -350.00
1994 1994-03-14 -12.25 1994-08-04 4.00 16.25 812.50 144 1994-08-03 837.50 1994-03-16 -75.00 -225.00
1993 1993-03-15 7.50 1993-08-04 5.25 -2.25 -112.50 143 1993-07-01 137.50 1993-04-27 -175.00 -275.00
1992 1992-03-16 -4.50 1992-08-04 2.75 7.25 362.50 142 1992-06-29 500.00 - 0.00 -237.50
1991 1991-03-14 0.50 1991-08-02 6.25 5.75 287.50 142 1991-08-02 287.50 1991-04-12 -112.50 -175.00
1990 1990-03-14 -0.75 1990-08-03 -5.25 -4.50 -225.00 143 1990-07-03 50.00 1990-05-07 -337.50 -337.50
1989 1989-03-14 -3.25 1989-08-04 2.50 5.75 287.50 144 1989-08-04 287.50 1989-05-25 -150.00 -312.50
1988 1988-03-14 4.25 1988-08-04 7.50 3.25 162.50 144 1988-06-01 425.00 1988-06-23 -162.50 -587.50
1987 1987-03-16 7.50 1987-08-04 10.00 2.50 125.00 142 1987-07-31 125.00 1987-05-04 -337.50 -437.50
1986 1986-03-14 -4.50 1986-08-04 6.50 11.00 550.00 144 1986-08-04 550.00 1986-05-13 -225.00 -312.50
1985 1985-03-14 -5.75 1985-08-02 -3.75 2.00 100.00 142 1985-05-23 125.00 1985-07-18 -300.00 -425.00
1984 1984-03-14 -19.75 1984-08-03 -11.50 8.25 412.50 143 1984-07-30 600.00 1984-07-16 -300.00 -600.00
1983 1983-03-14 1.50 1983-08-04 2.25 0.75 37.50 144 1983-07-28 212.50 1983-07-05 -1412.50 -1412.50
1982 1982-03-15 4.75 1982-08-04 5.75 1.00 50.00 143 1982-07-29 125.00 1982-07-19 -337.50 -425.00
1981 1981-03-16 2.25 1981-08-04 6.75 4.50 225.00 142 1981-07-27 437.50 1981-03-26 -112.50 -225.00
1980 1980-03-14 9.25 1980-08-04 5.25 -4.00 -200.00 144 1980-07-15 75.00 1980-04-09 -250.00 -287.50
1979 1979-03-14 5.00 1979-08-03 -2.50 -7.50 -375.00 143 1979-06-13 125.00 1979-08-01 -412.50 -537.50
1978 1978-03-14 1.00 1978-08-04 7.75 6.75 337.50 144 1978-08-04 337.50 1978-05-01 -62.50 -212.50
1977 1977-03-14 3.00 1977-08-04 8.25 5.25 262.50 144 1977-08-01 287.50 1977-05-26 -50.00 -137.50
1976 1976-03-15 -5.50 1976-08-04 -9.00 -3.50 -175.00 143 1976-04-20 212.50 1976-07-29 -387.50 -600.00
1975 1975-03-14 -14.50 1975-08-04 -9.50 5.00 250.00 144 1975-07-18 337.50 1975-06-23 -412.50 -500.00
1974 1974-03-14 -16.50 1974-08-02 -12.50 4.00 200.00 142 1974-07-23 500.00 1974-03-19 -437.50 -562.50
1973 1973-03-14 -5.00 1973-08-03 -12.25 -7.25 -362.50 143 1973-04-18 200.00 1973-07-27 -950.00 -1150.00
1972 1972-03-14 -1.75 1972-08-04 0.00 1.75 87.50 144 1972-07-03 162.50 1972-03-20 -12.50 -137.50
1971 1971-03-15 -2.00 1971-08-04 -2.38 -0.38 -19.00 143 1971-06-11 162.50 1971-07-20 -162.50 -325.00
1970 1970-03-16 -3.87 1970-08-04 -4.25 -0.38 -19.00 142 1970-06-29 106.00 1970-05-22 -131.50 -175.00
1969 1969-03-14 -6.00 1969-08-04 -5.75 0.25 12.50 144 1969-07-07 275.00 - 0.00 -262.50
1968 1968-03-14 0.25 1968-08-02 0.25 0.00 0.00 142 1968-06-07 87.50 1968-07-25 -94.00 -181.50
1967 1967-03-14 -7.25 1967-08-04 -1.88 5.37 268.50 144 1967-04-27 369.00 - 0.00 -169.00
1966 1966-03-14 -4.87 1966-08-04 0.87 5.74 287.00 144 1966-07-28 400.00 1966-03-17 -19.00 -113.00
1965 1965-03-15 -7.87 1965-08-04 -4.50 3.37 168.50 143 1965-08-04 168.50 1965-05-14 -69.00 -87.50
1964 1964-03-16 -2.12 1964-08-04 -2.87 -0.75 -37.50 142 1964-03-18 31.00 1964-05-05 -138.00 -169.00
1963 1963-03-14 -2.88 1963-08-02 -9.00 -6.12 -306.00 142 1963-04-02 19.00 1963-07-26 -325.00 -344.00
1962 1962-03-14 0.38 1962-08-03 1.25 0.87 43.50 143 1962-05-14 43.50 1962-04-04 -94.00 -125.00
1961 1961-03-14 -2.75 1961-08-04 3.75 6.50 325.00 144 1961-07-03 343.50 1961-03-15 -12.50 -75.00
1960 1960-03-14 -6.63 1960-08-04 -4.50 2.13 106.50 144 1960-08-01 181.50 1960-03-30 -56.00 -100.00
1959 1959-03-16 -4.50 1959-08-04 -7.13 -2.63 -131.50 142 1959-03-20 50.00 1959-05-19 -181.50 -231.50
1958 1958-03-14 -3.50 1958-08-04 -7.62 -4.12 -206.00 144 1958-03-19 43.50 1958-07-02 -231.50 -275.00
1957 1957-03-14 -5.50 1957-08-02 -3.75 1.75 87.50 142 1957-07-16 193.50 1957-05-07 -150.00 -218.50
1956 1956-03-14 -4.88 1956-08-03 -8.50 -3.62 -181.00 143 - 0.00 1956-05-15 -543.50 -543.50
1955 1955-03-14 -5.87 1955-08-04 -5.50 0.37 18.50 144 1955-04-01 31.00 1955-06-17 -113.00 -144.00
1954 1954-03-15 -7.25 1954-08-04 -6.87 0.38 19.00 143 1954-07-20 131.50 1954-06-14 -150.00 -225.00
1953 1953-03-16 -3.13 1953-08-04 -8.13 -5.00 -250.00 142 1953-03-30 25.00 1953-07-23 -331.00 -356.00
1952 1952-03-14 -9.50 1952-08-04 -5.00 4.50 225.00 144 1952-08-04 225.00 1952-05-19 -87.50 -200.00
1951 1951-03-14 -10.00 1951-08-03 -9.38 0.62 31.00 143 1951-06-20 200.00 1951-04-25 -181.50 -244.00
1950 1950-03-14 -8.12 1950-08-04 -9.38 -1.26 -63.00 144 1950-07-25 75.00 1950-06-23 -100.00 -162.00
1949 1949-03-14 -10.37 1949-08-04 -11.88 -1.51 -75.50 144 1949-06-27 100.00 1949-07-21 -112.50 -212.50
1948 1948-03-15 -26.12 1948-08-04 -16.88 9.24 462.00 143 1948-07-13 481.00 1948-06-23 -138.00 -438.00