Futures Spread Strategy For October, 2021 - Buy CTH22-CTZ21

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Futures Spread Strategy For October, 2021 - Buy CTH22-CTZ21

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

  • 100% Win in last 15 years
  • All seasonal patterns up to 30 years have similar movement and correlation over 96%
  • The spread reached local support level - low stop loss
  • High RRR - over 6.5

Backtest BUY CTH22-CTZ21 Entry: 2021-10-21 Exit: 2021-11-04

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 40% 15 12.93 9999 75.00 7.63 194.00 -93.00 194.00 0.00 229.00 -30.00 970.00 970.00 0.00 15.00
10 100% 10 0 40% 15 24.00 9999 625.00 3.57 360.00 -173.00 360.00 0.00 392.50 -110.00 3600.00 3600.00 0.00 255.00
15 100% 15 0 47% 15 29.42 9999 625.00 6.52 441.33 -204.67 441.33 0.00 499.67 -76.67 6620.00 6620.00 0.00 255.00
20 85% 17 3 45% 15 22.07 12.51 625.00 3.32 331.00 -229.25 423.24 -191.67 415.50 -125.00 6620.00 7195.00 -575.00 255.00
30 73% 22 8 50% 15 15.17 5.35 625.00 2.20 227.50 -230.33 381.59 -196.25 325.50 -147.67 6825.00 8395.00 -1570.00 255.00
54 54% 29 25 50% 15 7.32 2.51 1000.00 1.28 109.81 -228.52 340.34 -157.60 217.41 -169.91 5930.00 9870.00 -3940.00 1000.00
Equity for backtest
Year Enter date Enter price Exit date Exit price Points Profit Days# Best Date Best Worst Date Worst Drawdown
2020 2020-10-21 0.69 2020-11-04 0.96 0.27 135.00 15 2020-11-02 150.00 2020-10-22 -60.00 -60.00
2019 2019-10-21 0.78 2019-11-04 1.61 0.83 415.00 15 2019-11-04 415.00 2019-10-22 -15.00 -15.00
2018 2018-10-22 1.43 2018-11-02 1.52 0.09 45.00 12 2018-10-24 185.00 2018-10-25 -75.00 -260.00
2017 2017-10-23 -0.53 2017-11-03 0.05 0.58 290.00 12 2017-11-03 290.00 - 0.00 -45.00
2016 2016-10-21 0.40 2016-11-04 0.57 0.17 85.00 15 2016-11-03 105.00 - 0.00 -85.00
2015 2015-10-21 -0.18 2015-11-04 0.08 0.26 130.00 15 2015-11-04 130.00 2015-10-30 -70.00 -105.00
2014 2014-10-21 -0.88 2014-11-04 -0.83 0.05 25.00 15 2014-10-22 60.00 2014-10-29 -625.00 -685.00
2013 2013-10-21 1.19 2013-11-04 2.28 1.09 545.00 15 2013-11-04 545.00 - 0.00 -40.00
2012 2012-10-22 -1.55 2012-11-02 1.09 2.64 1320.00 12 2012-10-31 1435.00 - 0.00 -115.00
2011 2011-10-21 -1.50 2011-11-04 -0.28 1.22 610.00 15 2011-11-04 610.00 2011-10-27 -255.00 -320.00
2010 2010-10-21 -5.40 2010-11-04 -3.79 1.61 805.00 15 2010-10-28 1310.00 - 0.00 -1015.00
2009 2009-10-21 2.23 2009-11-04 3.44 1.21 605.00 15 2009-11-02 610.00 2009-10-22 -50.00 -50.00
2008 2008-10-21 2.96 2008-11-04 4.55 1.59 795.00 15 2008-11-04 795.00 - 0.00 -195.00
2007 2007-10-22 4.13 2007-11-02 4.63 0.50 250.00 12 2007-10-30 290.00 - 0.00 -50.00
2006 2006-10-23 3.01 2006-11-03 4.14 1.13 565.00 12 2006-11-03 565.00 - 0.00 -30.00
2005 2005-10-21 1.93 2005-11-04 2.79 0.86 430.00 15 2005-11-04 430.00 - 0.00 -100.00
2004 2004-10-21 -0.22 2004-11-04 -0.37 -0.15 -75.00 15 2004-11-01 220.00 2004-10-27 -470.00 -515.00
2003 2003-10-21 2.41 2003-11-04 2.70 0.29 145.00 15 2003-11-04 145.00 2003-10-27 -215.00 -215.00
2002 2002-10-21 2.36 2002-11-04 1.54 -0.82 -410.00 15 2002-10-22 20.00 2002-11-04 -410.00 -430.00
2001 2001-10-22 1.84 2001-11-02 1.66 -0.18 -90.00 12 - 0.00 2001-10-31 -255.00 -255.00
2000 2000-10-23 1.84 2000-11-03 2.43 0.59 295.00 12 2000-11-03 295.00 2000-10-25 -75.00 -75.00
1999 1999-10-21 1.27 1999-11-04 1.63 0.36 180.00 15 1999-11-03 210.00 - 0.00 -70.00
1998 1998-10-21 -0.05 1998-11-04 -0.87 -0.82 -410.00 15 - 0.00 1998-11-02 -445.00 -445.00
1997 1997-10-21 1.33 1997-11-04 1.20 -0.13 -65.00 15 1997-10-29 40.00 1997-10-31 -140.00 -180.00
1996 1996-10-21 1.36 1996-11-04 1.93 0.57 285.00 15 1996-11-04 285.00 - 0.00 -10.00
1995 1995-10-23 -0.02 1995-11-03 -0.77 -0.75 -375.00 12 - 0.00 1995-10-30 -790.00 -790.00
1994 1994-10-21 1.53 1994-11-04 1.44 -0.09 -45.00 15 - 0.00 1994-11-01 -170.00 -170.00
1993 1993-10-21 1.63 1993-11-04 2.40 0.77 385.00 15 1993-11-04 385.00 1993-10-22 -5.00 -40.00
1992 1992-10-21 0.16 1992-11-04 0.27 0.11 55.00 15 1992-10-28 240.00 1992-11-02 -30.00 -270.00
1991 1991-10-21 2.05 1991-11-04 1.85 -0.20 -100.00 15 - 0.00 1991-10-29 -275.00 -275.00
1990 1990-10-22 -0.09 1990-11-02 -0.12 -0.03 -15.00 12 1990-10-24 195.00 1990-10-29 -160.00 -355.00
1989 1989-10-23 1.83 1989-11-03 1.70 -0.13 -65.00 12 - 0.00 1989-10-25 -190.00 -190.00
1988 1988-10-21 0.11 1988-11-04 0.43 0.32 160.00 15 1988-11-04 160.00 1988-10-24 -105.00 -105.00
1987 1987-10-21 1.38 1987-11-04 1.34 -0.04 -20.00 15 1987-11-03 35.00 1987-10-22 -90.00 -90.00
1986 1986-10-21 0.60 1986-11-04 0.06 -0.54 -270.00 15 1986-10-24 35.00 1986-11-04 -270.00 -305.00
1985 1985-10-21 0.67 1985-11-04 0.40 -0.27 -135.00 15 - 0.00 1985-10-24 -185.00 -185.00
1984 1984-10-22 1.53 1984-11-02 1.44 -0.09 -45.00 12 1984-10-31 20.00 1984-10-23 -155.00 -155.00
1983 1983-10-21 0.88 1983-11-04 1.37 0.49 245.00 15 1983-10-25 295.00 - 0.00 -185.00
1982 1982-10-21 2.16 1982-11-04 2.46 0.30 150.00 15 1982-11-04 150.00 1982-10-25 -65.00 -75.00
1981 1981-10-21 2.35 1981-11-04 1.93 -0.42 -210.00 15 - 0.00 1981-10-26 -315.00 -315.00
1980 1980-10-21 1.38 1980-11-03 0.55 -0.83 -415.00 14 - 0.00 1980-10-24 -560.00 -560.00
1979 1979-10-22 0.85 1979-11-02 0.32 -0.53 -265.00 12 - 0.00 1979-11-01 -390.00 -390.00
1978 1978-10-23 2.46 1978-11-03 3.02 0.56 280.00 12 1978-11-01 290.00 1978-10-24 -40.00 -65.00
1977 1977-10-21 0.98 1977-11-04 0.91 -0.07 -35.00 15 1977-10-24 30.00 1977-10-25 -55.00 -85.00
1976 1976-10-21 0.85 1976-11-04 0.78 -0.07 -35.00 15 1976-10-22 75.00 1976-11-04 -35.00 -110.00
1975 1975-10-21 1.46 1975-11-03 1.41 -0.05 -25.00 14 - 0.00 1975-10-22 -110.00 -110.00
1974 1974-10-21 1.50 1974-11-04 0.75 -0.75 -375.00 15 - 0.00 1974-10-31 -435.00 -435.00
1973 1973-10-23 -2.55 1973-11-02 -1.43 1.12 560.00 11 1973-11-02 560.00 1973-10-29 -1000.00 -1000.00
1972 1972-10-23 0.24 1972-11-03 -0.39 -0.63 -315.00 12 - 0.00 1972-10-30 -320.00 -320.00
1971 1971-10-21 0.85 1971-11-04 0.91 0.06 30.00 15 1971-10-29 30.00 1971-11-01 -35.00 -65.00
1970 1970-10-21 0.63 1970-11-04 0.73 0.10 50.00 15 1970-10-27 85.00 1970-10-30 -5.00 -90.00
1969 1969-10-21 1.02 1969-11-03 0.97 -0.05 -25.00 14 - 0.00 1969-10-28 -65.00 -65.00
1968 1968-10-21 0.60 1968-11-04 0.46 -0.14 -70.00 15 - 0.00 1968-10-24 -110.00 -110.00
1967 1967-10-23 1.00 1967-11-03 0.90 -0.10 -50.00 12 1967-10-30 15.00 1967-11-03 -50.00 -65.00