Futures Spread Strategy For December, 2022 - Buy CTK23-CTV23

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Futures Spread Strategy For December, 2022 - Buy CTK23-CTV23

This futures spread combines several conditions to create good trading opportunity.

  • 93% Win in last 15 years with RRR 4.51
  • All seasonal patterns up to 30 years have similar movement and correlation over 80%
  • The spread reached local support level
  • High RRR

Backtest Buy CTK23-CTV23 Entry: 2022-12-24 Exit: 2023-01-27

Years# Win% Win# Loss# APW% Days# APPD PF SL RRR ProfitØ DDØ WinØ LossØ BestØ WorstØ Total Profit Profit Loss SL ProfitØ
5 80% 4 1 80% 35 11.91 33.08 395.00 3.96 417.00 -597.00 537.50 -65.00 918.00 -232.00 2085.00 2150.00 -65.00 360.00
10 90% 9 1 60% 35 15.21 82.92 705.00 3.76 532.50 -556.50 598.89 -65.00 928.50 -247.00 5325.00 5390.00 -65.00 705.00
15 93% 14 1 53% 35 21.37 173.62 790.00 4.51 748.00 -662.00 806.07 -65.00 1130.00 -250.67 11220.00 11285.00 -65.00 790.00
20 75% 15 5 55% 35 13.54 6.07 790.00 3.22 473.75 -690.75 756.33 -374.00 938.25 -291.50 9475.00 11345.00 -1870.00 790.00
30 63% 19 11 53% 35 12.52 4.75 790.00 2.47 438.33 -695.33 876.58 -318.64 840.17 -340.83 13150.00 16655.00 -3505.00 790.00
55 51% 28 27 82% 35 0.63 1.06 790.00 1.12 22.09 -871.82 741.43 -723.89 634.91 -567.27 1215.00 20760.00 -19545.00 790.00
Equity for backtest
Year Enter date Enter price Exit date Exit price Points Profit Days# Best Date Best Worst Date Worst Drawdown
2022 2021-12-27 12.96 2022-01-27 13.71 0.75 375.00 32 2022-01-19 1360.00 2021-12-28 -395.00 -985.00
2021 2020-12-24 1.99 2021-01-27 2.62 0.63 315.00 35 2021-01-20 490.00 2020-12-30 -90.00 -180.00
2020 2019-12-24 -0.60 2020-01-27 0.26 0.86 430.00 35 2020-01-23 780.00 2020-01-15 -360.00 -575.00
2019 2018-12-24 0.39 2019-01-25 0.26 -0.13 -65.00 33 2018-12-26 50.00 2019-01-10 -315.00 -365.00
2018 2017-12-26 2.56 2018-01-26 4.62 2.06 1030.00 32 2018-01-22 1910.00 - 0.00 -880.00
2017 2016-12-27 0.95 2017-01-27 3.08 2.13 1065.00 32 2017-01-27 1065.00 2016-12-28 -30.00 -785.00
2016 2015-12-24 -0.16 2016-01-27 0.16 0.32 160.00 35 2016-01-20 320.00 2016-01-04 -150.00 -160.00
2015 2014-12-24 -1.95 2015-01-27 -1.90 0.05 25.00 35 2015-01-16 65.00 2015-01-02 -235.00 -235.00
2014 2013-12-24 4.23 2014-01-27 6.17 1.94 970.00 35 2014-01-24 1230.00 2014-01-03 -190.00 -405.00
2013 2012-12-24 -1.28 2013-01-25 0.76 2.04 1020.00 33 2013-01-24 2015.00 2012-12-31 -705.00 -995.00
2012 2011-12-27 -0.80 2012-01-27 -0.47 0.33 165.00 32 2012-01-20 1275.00 - 0.00 -1110.00
2011 2010-12-27 25.48 2011-01-27 36.16 10.68 5340.00 32 2011-01-27 5340.00 2010-12-29 -790.00 -2090.00
2010 2009-12-24 -0.39 2010-01-27 -0.25 0.14 70.00 35 2010-01-04 535.00 2010-01-20 -155.00 -690.00
2009 2008-12-24 -3.86 2009-01-27 -3.29 0.57 285.00 35 2009-01-22 395.00 2009-01-12 -145.00 -155.00
2008 2007-12-26 -4.12 2008-01-25 -4.05 0.07 35.00 31 2007-12-31 120.00 2008-01-16 -200.00 -320.00
2007 2006-12-26 -2.25 2007-01-26 -3.34 -1.09 -545.00 32 2006-12-28 140.00 2007-01-23 -665.00 -805.00
2006 2005-12-27 -1.55 2006-01-27 -2.22 -0.67 -335.00 32 2006-01-06 300.00 2006-01-27 -335.00 -635.00
2005 2004-12-27 -3.00 2005-01-27 -3.43 -0.43 -215.00 32 2004-12-30 355.00 2005-01-10 -360.00 -715.00
2004 2003-12-24 6.69 2004-01-27 6.81 0.12 60.00 35 2004-01-06 1020.00 - 0.00 -1020.00
2003 2002-12-26 -1.33 2003-01-27 -2.75 -1.42 -710.00 33 - 0.00 2003-01-27 -710.00 -710.00
2002 2001-12-26 -3.28 2002-01-25 -3.39 -0.11 -55.00 31 2002-01-08 75.00 2002-01-04 -220.00 -255.00
2001 2000-12-26 0.51 2001-01-26 0.13 -0.38 -190.00 32 2000-12-28 125.00 2001-01-02 -900.00 -1025.00
2000 1999-12-27 -2.99 2000-01-27 -1.68 1.31 655.00 32 2000-01-25 710.00 1999-12-30 -175.00 -210.00
1999 1998-12-24 -2.85 1999-01-27 -1.58 1.27 635.00 35 1999-01-27 635.00 - 0.00 -370.00
1998 1997-12-24 -3.17 1998-01-27 -3.38 -0.21 -105.00 35 1998-01-06 155.00 1998-01-12 -300.00 -455.00
1997 1996-12-26 -0.56 1997-01-27 -0.97 -0.41 -205.00 33 - 0.00 1997-01-07 -480.00 -480.00
1996 1995-12-26 1.40 1996-01-26 6.57 5.17 2585.00 32 1996-01-25 2735.00 - 0.00 -390.00
1995 1994-12-27 13.00 1995-01-27 11.33 -1.67 -835.00 32 - 0.00 1995-01-16 -1945.00 -1945.00
1994 1993-12-27 0.73 1994-01-27 3.60 2.87 1435.00 32 1994-01-27 1435.00 1994-01-10 -130.00 -1100.00
1993 1992-12-24 -0.36 1993-01-27 -0.85 -0.49 -245.00 35 1993-01-07 570.00 1993-01-27 -245.00 -815.00
1992 1991-12-24 -3.35 1992-01-27 -4.01 -0.66 -330.00 35 1992-01-07 435.00 1992-01-27 -330.00 -765.00
1991 1990-12-26 7.77 1991-01-25 8.56 0.79 395.00 31 1991-01-18 650.00 1991-01-02 -580.00 -730.00
1990 1989-12-26 4.97 1990-01-26 0.75 -4.22 -2110.00 32 - 0.00 1990-01-26 -2110.00 -2110.00
1989 1988-12-27 1.00 1989-01-27 1.13 0.13 65.00 32 1989-01-09 490.00 1989-01-03 -340.00 -490.00
1988 1987-12-24 3.98 1988-01-27 -0.05 -4.03 -2015.00 35 - 0.00 1988-01-26 -2025.00 -2025.00
1987 1986-12-24 0.28 1987-01-27 0.23 -0.05 -25.00 35 1987-01-21 810.00 1987-01-27 -25.00 -835.00
1986 1985-12-24 9.67 1986-01-27 9.97 0.30 150.00 35 1986-01-02 1450.00 - 0.00 -1300.00
1985 1984-12-26 -1.39 1985-01-25 -1.26 0.13 65.00 31 1985-01-07 575.00 1984-12-27 -60.00 -510.00
1984 1983-12-27 4.90 1984-01-27 3.93 -0.97 -485.00 32 - 0.00 1984-01-09 -1565.00 -1565.00
1983 1982-12-27 0.15 1983-01-27 -0.28 -0.43 -215.00 32 - 0.00 1983-01-12 -415.00 -415.00
1982 1981-12-28 -2.25 1982-01-27 -3.85 -1.60 -800.00 31 - 0.00 1982-01-25 -1000.00 -1000.00
1981 1980-12-24 7.20 1981-01-27 2.02 -5.18 -2590.00 35 1980-12-29 90.00 1981-01-27 -2590.00 -2680.00
1980 1979-12-26 0.50 1980-01-25 3.87 3.37 1685.00 31 1980-01-24 1740.00 1979-12-27 -190.00 -545.00
1979 1978-12-26 2.70 1979-01-26 1.20 -1.50 -750.00 32 1979-01-05 325.00 1979-01-25 -890.00 -1215.00
1978 1977-12-27 -1.48 1978-01-27 -1.47 0.01 5.00 32 1978-01-27 5.00 1978-01-06 -400.00 -400.00
1977 1976-12-27 5.32 1977-01-27 4.55 -0.77 -385.00 32 1976-12-28 35.00 1977-01-13 -1670.00 -1705.00
1976 1975-12-24 2.82 1976-01-27 1.01 -1.81 -905.00 35 1976-01-07 350.00 1976-01-20 -1085.00 -1435.00
1975 1974-12-24 -2.55 1975-01-27 -3.25 -0.70 -350.00 35 1975-01-02 300.00 1975-01-27 -350.00 -650.00
1974 1973-12-26 14.65 1974-01-25 7.50 -7.15 -3575.00 31 1973-12-27 275.00 1974-01-25 -3575.00 -3850.00
1973 1972-12-26 1.00 1973-01-26 3.80 2.80 1400.00 32 1973-01-23 1400.00 1972-12-27 -20.00 -485.00
1972 1971-12-27 2.02 1972-01-27 2.58 0.56 280.00 32 1972-01-03 380.00 1972-01-10 -20.00 -400.00
1971 1970-12-24 0.71 1971-01-27 0.83 0.12 60.00 35 1971-01-21 200.00 1970-12-30 -100.00 -140.00
1970 1969-12-24 0.46 1970-01-27 -0.54 -1.00 -500.00 35 - 0.00 1970-01-13 -510.00 -510.00
1969 1968-12-24 0.65 1969-01-27 -0.05 -0.70 -350.00 35 1969-01-10 75.00 1969-01-27 -350.00 -425.00
1968 1967-12-26 2.39 1968-01-26 1.08 -1.31 -655.00 32 1968-01-04 130.00 1968-01-16 -775.00 -905.00