Futures Spread Strategy For March, 2018 - Buy CZ18-CU18

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Futures Spread Strategy For March, 2018 - Buy CZ18-CU18

This spread combines several conditions to create good trading opportunity.

  • 100% Win in last 20 years
  • Strong seasonal patterns correlation in seasonal window
  • Low margin requirements
  • Long seasonal window - A lot of time for seasonality to kick in. Possibility to take profit earlier

Backtest Buy CZ18-CU18 Entry: 2018-03-14 Exit: 2018-08-04

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 60% 144 2.33 9999 925.00 1.08 335.00 -472.50 335.00 0.00 347.50 -322.50 1675.00 1675.00 0.00 925.00
10 100% 10 0 30% 144 5.06 9999 925.00 2.58 728.75 -662.50 809.72 0.00 792.50 -307.50 7287.50 7287.50 0.00 762.50
15 100% 15 0 33% 144 4.58 9999 925.00 3.08 659.17 -530.83 706.25 0.00 704.17 -228.33 9887.50 9887.50 0.00 762.50
20 100% 20 0 35% 144 3.71 9999 925.00 3.14 533.75 -425.00 561.84 0.00 573.75 -182.50 10675.00 10675.00 0.00 925.00
30 87% 26 4 33% 144 2.59 8.04 925.00 1.84 372.50 -468.33 510.50 -317.50 480.00 -260.42 11175.00 12762.50 -1587.50 925.00
70 74% 52 18 54% 144 1.34 4.38 1412.50 1.31 192.37 -391.27 349.09 -199.42 322.21 -246.20 13466.00 17454.50 -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
2017 2017-03-14 7.50 2017-08-04 14.50 7.00 350.00 144 2017-08-04 350.00 - 0.00 -62.50
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