Futures Spread Strategy For May, 2017 - Buy CTH18-CTZ17

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Futures Spread Strategy For May, 2017 - Buy CTH18-CTZ17

This spread combines several conditions to create good trading opportunity.

  • This seasonal strategy had 2 losses for last 15 years
  • Seasonal patterns correlation - All patterns up to 20 years have similar movement and correlation, more than 90% in seasonal window
  • Historical lows - Current year is moving at historical lows (except 2011, it was a extrem year where the spread reached -10 level
  • Possible to entry at support and use a small stop-loss
  • Low margin requirements

Backtest BUY CTH18-CTZ17 Entry: 2017-05-03 Exit: 2017-05-28

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% 26 7.81 9999 150.00 4.12 203.00 -127.00 203.00 0.00 243.00 -59.00 1015.00 1015.00 0.00 0.00
10 90% 9 1 80% 26 3.92 2.43 160.00 2.19 102.00 -280.00 216.87 -357.50 292.00 -133.50 1020.00 1735.00 -715.00 145.00
15 87% 13 2 67% 26 3.55 2.92 160.00 2.07 92.33 -232.33 175.42 -240.00 236.33 -114.33 1385.00 2105.00 -720.00 145.00
20 70% 14 6 75% 26 2.46 2.29 160.00 1.79 64.00 -215.50 174.62 -141.43 197.75 -110.75 1280.00 2270.00 -990.00 145.00
30 70% 21 9 77% 26 2.15 2.55 190.00 1.60 56.00 -196.83 138.25 -108.50 165.17 -103.00 1680.00 2765.00 -1085.00 145.00
50 64% 32 18 78% 26 1.89 2.29 250.00 1.46 49.20 -204.50 140.81 -100.26 158.60 -108.70 2460.00 4365.00 -1905.00 250.00
Equity for backtest
Year Enter date Enter price Exit date Exit price Points Profit Days# Best Date Best Worst Date Worst Drawdown
2016 2016-05-03 0.22 2016-05-27 0.28 0.06 30.00 25 2016-05-10 120.00 - 0.00 -100.00
2015 2015-05-04 -0.43 2015-05-28 0.16 0.59 295.00 25 2015-05-26 375.00 - 0.00 -140.00
2014 2014-05-05 -1.02 2014-05-28 0.07 1.09 545.00 24 2014-05-28 545.00 - 0.00 -65.00
2013 2013-05-03 -0.07 2013-05-28 0.20 0.27 135.00 26 2013-05-28 135.00 2013-05-06 -145.00 -180.00
2012 2012-05-03 1.26 2012-05-25 1.28 0.02 10.00 23 2012-05-22 40.00 2012-05-04 -150.00 -150.00
2011 2011-05-03 -7.60 2011-05-27 -9.03 -1.43 -715.00 25 2011-05-13 730.00 2011-05-25 -850.00 -1580.00
2010 2010-05-03 1.06 2010-05-28 1.20 0.14 70.00 26 2010-05-17 75.00 2010-05-10 -0.00 -65.00
2009 2009-05-04 2.00 2009-05-28 2.10 0.10 50.00 25 2009-05-05 140.00 2009-05-12 -160.00 -300.00
2008 2008-05-05 4.23 2008-05-28 5.43 1.20 600.00 24 2008-05-23 635.00 2008-05-07 -15.00 -80.00
2007 2007-05-03 2.80 2007-05-25 2.80 0.00 0.00 23 2007-05-11 125.00 2007-05-23 -15.00 -140.00
2006 2006-05-03 2.03 2006-05-26 2.55 0.52 260.00 24 2006-05-26 260.00 2006-05-04 -10.00 -30.00
2005 2005-05-03 1.54 2005-05-27 1.70 0.16 80.00 25 2005-05-16 85.00 2005-05-11 -100.00 -130.00
2004 2004-05-03 2.09 2004-05-28 2.08 -0.01 -5.00 26 2004-05-21 25.00 2004-05-11 -230.00 -235.00
2003 2003-05-05 2.40 2003-05-28 2.45 0.05 25.00 24 2003-05-07 65.00 2003-05-14 -40.00 -105.00
2002 2002-05-03 1.82 2002-05-28 1.83 0.01 5.00 26 2002-05-22 190.00 - 0.00 -185.00
2001 2001-05-03 1.61 2001-05-25 1.94 0.33 165.00 23 2001-05-21 190.00 2001-05-14 -95.00 -200.00
2000 2000-05-03 1.12 2000-05-26 0.98 -0.14 -70.00 24 2000-05-04 45.00 2000-05-18 -150.00 -195.00
1999 1999-05-03 1.01 1999-05-28 0.95 -0.06 -30.00 26 1999-05-12 105.00 1999-05-17 -70.00 -175.00
1998 1998-05-04 1.45 1998-05-28 1.15 -0.30 -150.00 25 1998-05-12 50.00 1998-05-27 -150.00 -200.00
1997 1997-05-05 1.25 1997-05-28 1.21 -0.04 -20.00 24 1997-05-08 20.00 1997-05-12 -35.00 -55.00
1996 1996-05-03 0.65 1996-05-28 0.85 0.20 100.00 26 1996-05-22 150.00 1996-05-08 -60.00 -75.00
1995 1995-05-03 0.97 1995-05-26 0.96 -0.01 -5.00 24 1995-05-08 95.00 1995-05-24 -50.00 -145.00
1994 1994-05-03 0.85 1994-05-27 0.98 0.13 65.00 25 1994-05-06 80.00 1994-05-18 -40.00 -120.00
1993 1993-05-03 1.13 1993-05-28 1.03 -0.10 -50.00 26 1993-05-06 45.00 1993-05-12 -110.00 -155.00
1992 1992-05-04 1.14 1992-05-28 1.30 0.16 80.00 25 1992-05-19 160.00 1992-05-07 -30.00 -130.00
1991 1991-05-03 0.68 1991-05-28 0.97 0.29 145.00 26 1991-05-28 145.00 - 0.00 -75.00
1990 1990-05-03 0.87 1990-05-25 0.92 0.05 25.00 23 1990-05-25 25.00 1990-05-16 -80.00 -90.00
1989 1989-05-03 0.50 1989-05-26 0.55 0.05 25.00 24 1989-05-09 75.00 1989-05-18 -190.00 -265.00
1988 1988-05-03 0.55 1988-05-27 0.47 -0.08 -40.00 25 1988-05-04 80.00 1988-05-25 -175.00 -255.00
1987 1987-05-04 0.66 1987-05-28 0.77 0.11 55.00 25 1987-05-08 145.00 1987-05-13 -140.00 -285.00
1986 1986-05-05 0.83 1986-05-28 0.99 0.16 80.00 24 1986-05-09 195.00 - 0.00 -135.00
1985 1985-05-03 1.15 1985-05-28 1.02 -0.13 -65.00 26 1985-05-10 40.00 1985-05-23 -95.00 -135.00
1984 1984-05-03 1.23 1984-05-25 0.98 -0.25 -125.00 23 1984-05-09 60.00 1984-05-22 -150.00 -210.00
1983 1983-05-03 1.23 1983-05-27 1.30 0.07 35.00 25 1983-05-20 110.00 1983-05-19 -225.00 -275.00
1982 1982-05-03 1.74 1982-05-28 2.09 0.35 175.00 26 1982-05-28 175.00 1982-05-07 -25.00 -110.00
1981 1981-05-04 1.36 1981-05-28 1.28 -0.08 -40.00 25 1981-05-21 220.00 1981-05-28 -40.00 -260.00
1980 1980-05-05 0.74 1980-05-28 1.08 0.34 170.00 24 1980-05-23 275.00 1980-05-08 -105.00 -110.00
1979 1979-05-03 0.65 1979-05-25 0.88 0.23 115.00 23 1979-05-07 255.00 - 0.00 -235.00
1978 1978-05-03 1.11 1978-05-26 0.95 -0.16 -80.00 24 1978-05-04 5.00 1978-05-19 -155.00 -160.00
1977 1977-05-03 0.46 1977-05-27 0.53 0.07 35.00 25 1977-05-10 95.00 1977-05-20 -110.00 -205.00
1976 1976-05-03 0.69 1976-05-28 -0.07 -0.76 -380.00 26 - 0.00 1976-05-27 -550.00 -550.00
1975 1975-05-05 0.91 1975-05-28 0.89 -0.02 -10.00 24 1975-05-14 75.00 1975-05-20 -75.00 -150.00
1974 1974-05-03 0.60 1974-05-28 1.36 0.76 380.00 26 1974-05-14 475.00 - 0.00 -195.00
1973 1973-05-03 -0.53 1973-05-25 -0.60 -0.07 -35.00 23 1973-05-24 40.00 1973-05-04 -240.00 -240.00
1972 1972-05-03 -0.01 1972-05-26 0.33 0.34 170.00 24 1972-05-26 170.00 1972-05-08 -10.00 -80.00
1971 1971-05-03 0.53 1971-05-28 0.55 0.02 10.00 26 1971-05-27 220.00 1971-05-20 -140.00 -335.00
1970 1970-05-04 0.44 1970-05-28 0.31 -0.13 -65.00 25 1970-05-07 80.00 1970-05-27 -70.00 -150.00
1969 1969-05-05 0.36 1969-05-28 0.42 0.06 30.00 24 1969-05-28 30.00 1969-05-06 -15.00 -30.00
1968 1968-05-03 0.39 1968-05-28 0.35 -0.04 -20.00 26 1968-05-27 55.00 1968-05-24 -90.00 -105.00
1967 1967-05-03 -0.05 1967-05-26 0.75 0.80 400.00 24 1967-05-26 400.00 1967-05-17 -250.00 -650.00