Futures Spread Strategy For November, 2020 - Buy CTH21-CTK21

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Futures Spread Strategy For November, 2020 - Buy CTH21-CTK21

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

  • 100% Win in last 15 years
  • All seasonal patterns up to 30 years have similar movement and correlation over 80%
  • The spread reached local support level
  • High RRR

Backtest BUY CTH20-CTK20 Entry: 2020-11-08 Exit: 2020-12-27

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 80% 47 2.74 9999 70.00 6.64 129.00 -166.00 129.00 0.00 239.00 -36.00 645.00 645.00 0.00 5.00
10 100% 10 0 20% 47 15.33 9999 70.00 40.05 720.50 -216.00 720.50 0.00 861.00 -21.50 7205.00 7205.00 0.00 0.00
15 100% 15 0 20% 47 12.56 9999 190.00 20.12 590.33 -233.33 590.33 0.00 737.67 -36.67 8855.00 8855.00 0.00 0.00
20 85% 17 3 40% 47 8.72 8.00 495.00 5.12 409.75 -311.75 550.88 -390.00 612.00 -119.50 8195.00 9365.00 -1170.00 0.00
30 73% 22 8 47% 47 6.23 4.97 495.00 3.39 292.67 -300.17 523.33 -245.56 488.67 -144.17 8780.00 10990.00 -2210.00 190.00
53 66% 35 18 49% 47 4.30 4.00 495.00 2.67 202.08 -294.25 420.00 -187.89 387.17 -145.19 10710.00 14280.00 -3570.00 190.00
Equity for backtest
Year Enter date Enter price Exit date Exit price Points Profit Days# Best Date Best Worst Date Worst Drawdown
2020 2019-11-08 -1.20 2019-12-24 -1.13 0.07 35.00 47 2019-12-06 175.00 2019-11-11 -40.00 -160.00
2019 2018-11-08 -1.30 2018-12-24 -1.25 0.05 25.00 47 2018-12-05 180.00 2018-12-21 -70.00 -250.00
2018 2017-11-08 -1.02 2017-12-22 -0.17 0.85 425.00 45 2017-12-21 500.00 - 0.00 -135.00
2017 2016-11-08 -0.66 2016-12-23 -0.40 0.26 130.00 46 2016-12-13 250.00 2016-11-10 -5.00 -150.00
2016 2015-11-09 -0.75 2015-12-24 -0.69 0.06 30.00 46 2015-12-04 90.00 2015-11-23 -65.00 -135.00
2015 2014-11-10 -1.04 2014-12-24 -0.46 0.58 290.00 45 2014-12-22 295.00 2014-11-13 -15.00 -75.00
2014 2013-11-08 -0.69 2013-12-24 0.37 1.06 530.00 47 2013-12-24 530.00 - 0.00 -115.00
2013 2012-11-08 -1.24 2012-12-24 -0.57 0.67 335.00 47 2012-12-24 335.00 2012-11-09 -20.00 -185.00
2012 2011-11-08 -0.68 2011-12-23 0.25 0.93 465.00 46 2011-11-29 825.00 - 0.00 -465.00
2011 2010-11-08 3.57 2010-12-23 13.45 9.88 4940.00 46 2010-12-21 5430.00 - 0.00 -490.00
2010 2009-11-09 -1.50 2009-12-24 -0.90 0.60 300.00 46 2009-12-17 490.00 2009-11-12 -65.00 -200.00
2009 2008-11-10 -1.57 2008-12-24 -0.65 0.92 460.00 45 2008-11-26 1010.00 - 0.00 -600.00
2008 2007-11-08 -1.41 2007-12-21 -1.37 0.04 20.00 44 2007-11-13 35.00 2007-12-11 -190.00 -225.00
2007 2006-11-08 -1.54 2006-12-22 -0.41 1.13 565.00 45 2006-12-22 565.00 - 0.00 -115.00
2006 2005-11-08 -1.21 2005-12-23 -0.60 0.61 305.00 46 2005-12-22 355.00 2005-11-21 -80.00 -200.00
2005 2004-11-08 -1.23 2004-12-23 -0.59 0.64 320.00 46 2004-11-18 885.00 - 0.00 -725.00
2004 2003-11-10 -0.27 2003-12-24 -1.05 -0.78 -390.00 45 - 0.00 2003-11-21 -495.00 -495.00
2003 2002-11-08 -3.28 2002-12-23 -2.90 0.38 190.00 46 2002-12-23 190.00 2002-12-17 -495.00 -565.00
2002 2001-11-08 -1.20 2001-12-21 -1.43 -0.23 -115.00 44 2001-11-16 100.00 2001-12-14 -185.00 -285.00
2001 2000-11-08 -0.74 2000-12-22 -2.07 -1.33 -665.00 45 - 0.00 2000-12-22 -665.00 -665.00
2000 1999-11-08 -1.08 1999-12-23 -1.40 -0.32 -160.00 46 1999-11-23 5.00 1999-11-30 -230.00 -235.00
1999 1998-11-09 -0.47 1998-12-24 -0.99 -0.52 -260.00 46 1998-11-10 50.00 1998-12-17 -290.00 -340.00
1998 1997-11-10 -0.99 1997-12-24 -1.26 -0.27 -135.00 45 1997-11-18 10.00 1997-12-12 -260.00 -270.00
1997 1996-11-08 -1.24 1996-12-23 -1.24 0.00 0.00 46 1996-12-12 155.00 1996-11-19 -110.00 -155.00
1996 1995-11-08 -0.18 1995-12-22 0.60 0.78 390.00 45 1995-12-07 575.00 1995-11-13 -190.00 -280.00
1995 1994-11-08 -0.99 1994-12-23 -0.15 0.84 420.00 46 1994-12-14 495.00 1994-11-10 -120.00 -330.00
1994 1993-11-08 -1.23 1993-12-23 -1.05 0.18 90.00 46 1993-11-24 215.00 1993-11-11 -85.00 -205.00
1993 1992-11-09 -0.80 1992-12-24 -0.99 -0.19 -95.00 46 1992-11-20 50.00 1992-12-17 -210.00 -260.00
1992 1991-11-08 -0.68 1991-12-24 -1.46 -0.78 -390.00 47 1991-11-12 70.00 1991-12-20 -430.00 -500.00
1991 1990-11-08 -0.63 1990-12-21 0.82 1.45 725.00 44 1990-12-14 795.00 1990-11-12 -10.00 -195.00
1990 1989-11-08 -0.45 1989-12-22 -0.49 -0.04 -20.00 45 - 0.00 1989-12-06 -350.00 -350.00
1989 1988-11-08 -0.20 1988-12-23 -0.10 0.10 50.00 46 1988-12-08 145.00 1988-11-16 -215.00 -260.00
1988 1987-11-09 -0.70 1987-12-24 -0.68 0.02 10.00 46 1987-11-24 180.00 1987-12-17 -140.00 -320.00
1987 1986-11-10 -0.27 1986-12-24 -0.03 0.24 120.00 45 1986-12-23 170.00 1986-11-11 -90.00 -245.00
1986 1985-11-08 -0.68 1985-12-24 0.25 0.93 465.00 47 1985-12-16 590.00 1985-11-15 -65.00 -170.00
1985 1984-11-08 -1.51 1984-12-21 -0.73 0.78 390.00 44 1984-12-18 440.00 1984-11-12 -20.00 -240.00
1984 1983-11-08 -0.80 1983-12-23 -1.19 -0.39 -195.00 46 - 0.00 1983-11-21 -255.00 -255.00
1983 1982-11-08 -1.58 1982-12-23 -1.76 -0.18 -90.00 46 1982-11-19 230.00 1982-12-23 -90.00 -320.00
1982 1981-11-09 -1.71 1981-12-23 -1.52 0.19 95.00 45 1981-12-11 255.00 1981-11-10 -20.00 -160.00
1981 1980-11-10 -0.23 1980-12-24 -0.72 -0.49 -245.00 45 1980-11-17 65.00 1980-12-19 -285.00 -350.00
1980 1979-11-08 -1.20 1979-12-21 -1.50 -0.30 -150.00 44 - 0.00 1979-11-23 -355.00 -355.00
1979 1978-11-08 -1.66 1978-12-22 -2.08 -0.42 -210.00 45 1978-11-14 80.00 1978-11-28 -310.00 -390.00
1978 1977-11-09 -0.89 1977-12-23 -0.82 0.07 35.00 45 1977-11-14 155.00 1977-12-19 -55.00 -210.00
1977 1976-11-08 -0.05 1976-12-23 -0.52 -0.47 -235.00 46 1976-11-18 115.00 1976-12-17 -405.00 -520.00
1976 1975-11-10 -0.83 1975-12-24 -0.43 0.40 200.00 45 1975-12-18 240.00 1975-11-21 -145.00 -255.00
1975 1974-11-08 -0.94 1974-12-24 -0.60 0.34 170.00 47 1974-12-09 370.00 1974-11-15 -190.00 -330.00
1974 1973-11-08 0.68 1973-12-21 2.38 1.70 850.00 44 1973-12-14 1175.00 - 0.00 -375.00
1973 1972-11-08 -0.19 1972-12-22 0.25 0.44 220.00 45 1972-11-21 670.00 1972-11-14 -5.00 -625.00
1972 1971-11-08 -0.59 1971-12-23 0.48 1.07 535.00 46 1971-12-23 535.00 1971-12-10 -5.00 -175.00
1971 1970-11-09 -0.45 1970-12-24 -0.49 -0.04 -20.00 46 - 0.00 1970-11-18 -85.00 -85.00
1970 1969-11-10 -0.54 1969-12-24 -0.70 -0.16 -80.00 45 1969-11-11 70.00 1969-11-21 -140.00 -210.00
1969 1968-11-08 -0.34 1968-12-24 -0.57 -0.23 -115.00 47 - 0.00 1968-12-20 -145.00 -145.00
1968 1967-11-08 -0.55 1967-12-22 -0.25 0.30 150.00 45 1967-11-28 375.00 - 0.00 -245.00