Futures Spread Strategy For June, 2019 - Buy CZ19-CU19

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Futures Spread Strategy For June, 2019 - Buy CZ19-CU19

This spread combines several conditions to create good trading opportunity.

  • 95% 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
  • All seasonal patterns have correlation over 95%

Backtest Buy CZ19-CU19 Entry: 2019-06-01 Exit: 2019-08-13

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% 74 3.89 9999 112.50 6.26 287.50 -90.00 287.50 0.00 297.50 -47.50 1437.50 1437.50 0.00 62.50
10 90% 9 1 40% 74 8.34 21.58 1225.00 2.42 617.50 -420.00 719.44 -300.00 652.50 -270.00 6175.00 6475.00 -300.00 1225.00
15 93% 14 1 40% 74 7.80 29.88 1225.00 3.30 577.50 -318.33 640.18 -300.00 610.00 -185.00 8662.50 8962.50 -300.00 1225.00
20 95% 19 1 30% 74 6.47 32.92 1225.00 3.36 478.75 -256.88 519.74 -300.00 504.38 -150.00 9575.00 9875.00 -300.00 1225.00
30 87% 26 4 33% 74 5.43 22.44 1225.00 3.16 402.08 -278.75 505.00 -112.50 450.42 -142.50 12062.50 12625.00 -562.50 1225.00
72 71% 51 21 47% 74 2.94 5.74 1225.00 2.03 217.82 -287.33 379.89 -150.52 330.33 -162.42 15683.00 18994.50 -3311.50 1225.00
Equity for backtest
Year Enter date Enter price Exit date Exit price Points Profit Days# Best Date Best Worst Date Worst Drawdown
2018 2018-06-01 11.25 2018-08-13 14.00 2.75 137.50 74 2018-08-01 162.50 2018-06-05 -12.50 -50.00
2017 2017-06-01 10.75 2017-08-11 14.00 3.25 162.50 72 2017-08-04 187.50 2017-06-23 -50.00 -50.00
2016 2016-06-01 1.25 2016-08-12 10.75 9.50 475.00 73 2016-08-11 475.00 2016-06-03 -62.50 -100.00
2015 2015-06-01 10.75 2015-08-13 11.50 0.75 37.50 74 2015-08-13 37.50 2015-07-06 -112.50 -137.50
2014 2014-06-02 -0.75 2014-08-13 11.75 12.50 625.00 73 2014-08-07 625.00 - 0.00 -112.50
2013 2013-06-03 -28.75 2013-08-13 -8.00 20.75 1037.50 72 2013-08-12 1037.50 2013-07-19 -725.00 -725.00
2012 2012-06-01 -4.75 2012-08-13 9.50 14.25 712.50 74 2012-08-13 712.50 2012-07-19 -1225.00 -1775.00
2011 2011-06-01 -48.75 2011-08-12 12.75 61.50 3075.00 73 2011-08-12 3075.00 - 0.00 -700.00
2010 2010-06-01 11.25 2010-08-13 15.50 4.25 212.50 74 2010-08-10 212.50 2010-06-07 -62.50 -100.00
2009 2009-06-01 13.50 2009-08-13 7.50 -6.00 -300.00 74 - 0.00 2009-08-07 -450.00 -450.00
2008 2008-06-02 14.25 2008-08-13 19.50 5.25 262.50 73 2008-06-23 312.50 2008-06-06 -12.50 -137.50
2007 2007-06-01 -6.25 2007-08-13 18.00 24.25 1212.50 74 2007-08-13 1212.50 - 0.00 -237.50
2006 2006-06-01 14.50 2006-08-11 17.00 2.50 125.00 72 2006-08-01 137.50 2006-06-14 -62.50 -62.50
2005 2005-06-01 8.50 2005-08-12 13.25 4.75 237.50 73 2005-08-05 275.00 - 0.00 -75.00
2004 2004-06-01 -2.50 2004-08-13 10.50 13.00 650.00 74 2004-08-10 687.50 - 0.00 -62.50
2003 2003-06-02 1.00 2003-08-13 9.50 8.50 425.00 73 2003-08-12 450.00 2003-06-30 -50.00 -112.50
2002 2002-06-03 9.75 2002-08-13 11.75 2.00 100.00 72 2002-08-13 100.00 2002-06-11 -62.50 -75.00
2001 2001-06-01 11.00 2001-08-13 12.25 1.25 62.50 74 2001-07-13 62.50 2001-06-21 -37.50 -62.50
2000 2000-06-01 10.25 2000-08-11 12.50 2.25 112.50 72 2000-08-09 112.50 - 0.00 -37.50
1999 1999-06-01 9.00 1999-08-13 13.25 4.25 212.50 74 1999-08-13 212.50 1999-06-24 -75.00 -75.00
1998 1998-06-01 4.00 1998-08-13 9.75 5.75 287.50 74 1998-08-07 287.50 1998-06-08 -50.00 -137.50
1997 1997-06-02 -1.50 1997-08-13 4.25 5.75 287.50 73 1997-08-13 287.50 1997-06-16 -137.50 -137.50
1996 1996-06-03 -46.25 1996-08-13 -24.00 22.25 1112.50 72 1996-08-07 1125.00 1996-07-08 -287.50 -1137.50
1995 1995-06-01 4.50 1995-08-11 0.50 -4.00 -200.00 72 1995-06-07 50.00 1995-07-25 -300.00 -350.00
1994 1994-06-01 -7.00 1994-08-12 3.25 10.25 512.50 73 1994-08-03 575.00 1994-06-07 -75.00 -200.00
1993 1993-06-01 6.25 1993-08-13 5.50 -0.75 -37.50 74 1993-07-01 200.00 1993-07-26 -75.00 -275.00
1992 1992-06-01 4.25 1992-08-13 3.75 -0.50 -25.00 74 1992-06-29 62.50 1992-07-10 -175.00 -237.50
1991 1991-06-03 -0.25 1991-08-13 5.50 5.75 287.50 72 1991-08-02 325.00 - 0.00 -175.00
1990 1990-06-01 -4.00 1990-08-13 -4.00 0.00 0.00 74 1990-07-03 212.50 1990-07-27 -100.00 -312.50
1989 1989-06-01 -3.50 1989-08-11 1.75 5.25 262.50 72 1989-08-04 300.00 1989-06-05 -75.00 -262.50
1988 1988-06-01 12.75 1988-08-12 8.25 -4.50 -225.00 73 - 0.00 1988-06-23 -587.50 -587.50
1987 1987-06-01 4.00 1987-08-13 10.25 6.25 312.50 74 1987-08-10 400.00 - 0.00 -200.00
1986 1986-06-02 -6.25 1986-08-13 5.50 11.75 587.50 73 1986-08-06 712.50 1986-06-11 -62.50 -200.00
1985 1985-06-03 -4.50 1985-08-13 -6.00 -1.50 -75.00 72 1985-08-05 150.00 1985-07-18 -362.50 -400.00
1984 1984-06-01 -23.00 1984-08-13 -9.00 14.00 700.00 74 1984-07-30 762.50 1984-07-16 -137.50 -600.00
1983 1983-06-01 -11.25 1983-08-12 -1.25 10.00 500.00 73 1983-07-28 850.00 1983-07-05 -775.00 -937.50
1982 1982-06-01 5.50 1982-08-13 8.00 2.50 125.00 74 1982-08-13 125.00 1982-07-19 -375.00 -375.00
1981 1981-06-01 3.50 1981-08-13 5.00 1.50 75.00 74 1981-07-27 375.00 - 0.00 -350.00
1980 1980-06-02 7.50 1980-08-13 -0.75 -8.25 -412.50 73 1980-07-15 162.50 1980-08-11 -450.00 -612.50
1979 1979-06-01 3.00 1979-08-13 -2.25 -5.25 -262.50 74 1979-06-13 225.00 1979-08-08 -387.50 -612.50
1978 1978-06-01 2.50 1978-08-11 5.25 2.75 137.50 72 1978-08-04 262.50 1978-06-19 -75.00 -125.00
1977 1977-06-01 2.50 1977-08-12 8.75 6.25 312.50 73 1977-08-01 312.50 - 0.00 -100.00
1976 1976-06-01 -8.50 1976-08-13 -3.75 4.75 237.50 74 1976-08-13 237.50 1976-07-29 -237.50 -350.00
1975 1975-06-02 -13.25 1975-08-13 -4.50 8.75 437.50 73 1975-08-13 437.50 1975-06-23 -475.00 -487.50
1974 1974-06-03 -17.25 1974-08-13 -7.00 10.25 512.50 72 1974-07-23 537.50 1974-06-11 -200.00 -312.50
1973 1973-06-01 -14.75 1973-08-13 -22.25 -7.50 -375.00 74 1973-07-06 487.50 1973-07-27 -462.50 -950.00
1972 1972-06-01 -1.75 1972-08-11 0.37 2.12 106.00 72 1972-07-03 162.50 1972-06-15 -6.50 -137.50
1971 1971-06-01 -2.12 1971-08-13 -0.75 1.37 68.50 74 1971-06-11 168.50 1971-07-20 -156.50 -325.00
1970 1970-06-01 -5.75 1970-08-13 -0.87 4.88 244.00 74 1970-08-13 244.00 1970-06-22 -25.00 -175.00
1969 1969-06-02 -3.00 1969-08-13 -6.50 -3.50 -175.00 73 1969-07-07 125.00 1969-08-08 -187.50 -312.50
1968 1968-06-03 1.50 1968-08-13 -1.63 -3.13 -156.50 72 1968-06-07 25.00 1968-07-25 -156.50 -181.50
1967 1967-06-01 -1.25 1967-08-11 -1.50 -0.25 -12.50 72 1967-06-05 62.50 1967-07-26 -100.00 -162.50
1966 1966-06-01 -2.00 1966-08-12 1.00 3.00 150.00 73 1966-07-28 256.50 1966-06-07 -31.50 -119.00
1965 1965-06-01 -8.13 1965-08-13 -2.88 5.25 262.50 74 1965-08-13 262.50 - 0.00 -43.50
1964 1964-06-01 -2.88 1964-08-13 -1.75 1.13 56.50 74 1964-08-12 75.50 1964-06-25 -37.00 -62.00
1963 1963-06-03 -5.37 1963-08-13 -10.87 -5.50 -275.00 72 1963-07-03 100.00 1963-08-13 -275.00 -375.00
1962 1962-06-01 0.00 1962-08-13 -0.25 -0.25 -12.50 74 1962-08-07 87.50 1962-06-05 -62.50 -100.00
1961 1961-06-01 2.50 1961-08-11 3.62 1.12 56.00 72 1961-07-03 81.00 1961-06-12 -25.00 -56.00
1960 1960-06-01 -7.25 1960-08-12 -4.37 2.88 144.00 73 1960-08-01 212.50 - 0.00 -75.00
1959 1959-06-01 -6.75 1959-08-13 -7.25 -0.50 -25.00 74 1959-07-20 144.00 1959-06-04 -56.50 -188.00
1958 1958-06-02 -4.38 1958-08-13 -9.62 -5.24 -262.00 73 1958-06-03 6.50 1958-08-13 -262.00 -268.50
1957 1957-06-03 -5.88 1957-08-13 -2.75 3.13 156.50 72 1957-07-16 212.50 1957-06-12 -62.50 -187.00
1956 1956-06-01 -12.38 1956-08-13 -6.25 6.13 306.50 74 1956-08-13 306.50 1956-06-06 -37.50 -162.50
1955 1955-06-01 -7.12 1955-08-12 -3.12 4.00 200.00 73 1955-08-12 200.00 1955-06-17 -50.50 -75.00
1954 1954-06-01 -8.37 1954-08-13 -9.12 -0.75 -37.50 74 1954-07-20 187.50 1954-06-14 -94.00 -244.00
1953 1953-06-01 -6.63 1953-08-13 -11.25 -4.62 -231.00 74 1953-06-19 100.50 1953-08-13 -231.00 -331.50
1952 1952-06-02 -8.88 1952-08-13 -3.00 5.88 294.00 73 1952-08-13 294.00 1952-07-10 -43.50 -200.00
1951 1951-06-01 -8.75 1951-08-13 -9.88 -1.13 -56.50 74 1951-06-20 137.50 1951-07-27 -106.50 -244.00
1950 1950-06-01 -7.75 1950-08-11 -9.37 -1.62 -81.00 72 1950-07-25 56.50 1950-06-23 -118.50 -156.50
1949 1949-06-01 -10.00 1949-08-12 -6.62 3.38 169.00 73 1949-08-12 169.00 1949-07-21 -131.00 -212.50
1948 1948-06-01 -25.25 1948-08-13 -20.88 4.37 218.50 74 1948-08-10 493.50 1948-06-23 -181.50 -275.00
1947 1947-06-02 -14.88 1947-08-13 -16.37 -1.49 -74.50 73 1947-06-12 62.50 1947-07-21 -393.50 -456.00