Futures Spread Strategy For February, 2017 - Buy FCU17-FCQ17

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Futures Spread Strategy For February, 2017 - Buy FCU17-FCQ17

This spread combines several conditions to create good trading opportunity.

  • 93% Win in last 15 years
  • This spread moves historically in narrow range, so you have ability close & re-enter during the window.
  • Historical lows - Current year is moving at historical lows
  • Strong seasonal patterns correlation in seasonal window
  • Narrow legs spread with expected lower volatility
  • Possible to entry around support and use a small stop-loss

Backtest Buy FCU17-FCQ17 Entry: 2017-02-09 Exit: 2017-05-25

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 0 100% 107 4.60 9999 287.50 4.96 492.50 -695.00 492.50 0.00 855.00 -172.50 2462.50 2462.50 0.00 287.50
10 100% 10 0 90% 107 3.84 9999 725.00 2.53 411.25 -700.00 411.25 0.00 726.25 -287.50 4112.50 4112.50 0.00 575.00
15 93% 14 1 80% 107 2.54 7.39 725.00 1.71 271.67 -687.50 336.61 -637.50 590.00 -345.00 4075.00 4712.50 -637.50 725.00
20 75% 15 5 75% 107 1.68 3.57 725.00 1.63 180.00 -625.00 333.33 -280.00 509.37 -313.13 3600.00 5000.00 -1400.00 725.00
30 70% 21 9 87% 107 1.29 2.77 725.00 1.59 137.50 -572.92 307.14 -258.33 451.67 -284.17 4125.00 6450.00 -2325.00 725.00
42 69% 29 13 88% 107 1.12 2.56 850.00 1.44 119.35 -586.31 283.62 -247.12 433.93 -301.19 5012.50 8225.00 -3212.50 850.00
Equity for backtest
Year Enter date Enter price Exit date Exit price Points Profit Days# Best Date Best Worst Date Worst Drawdown
2016 2016-02-09 -2.000 2016-05-25 -1.125 0.875 437.50 107 2016-04-28 1062.50 2016-02-19 -212.50 -1075.00
2015 2015-02-09 -1.300 2015-05-22 -1.000 0.300 150.00 103 2015-02-24 712.50 2015-03-06 -162.50 -875.00
2014 2014-02-10 -0.500 2014-05-23 1.300 1.800 900.00 103 2014-05-23 900.00 2014-03-12 -200.00 -500.00
2013 2013-02-11 1.225 2013-05-24 2.125 0.900 450.00 103 2013-03-19 612.50 - 0.00 -537.50
2012 2012-02-09 -0.075 2012-05-25 0.975 1.050 525.00 107 2012-04-18 987.50 2012-02-24 -287.50 -487.50
2011 2011-02-09 0.250 2011-05-25 1.025 0.775 387.50 106 2011-05-24 600.00 2011-03-07 -725.00 -725.00
2010 2010-02-09 0.125 2010-05-25 0.225 0.100 50.00 106 2010-05-07 50.00 2010-03-10 -562.50 -600.00
2009 2009-02-09 0.200 2009-05-22 0.225 0.025 12.50 103 2009-04-01 462.50 2009-04-29 -137.50 -600.00
2008 2008-02-11 -0.450 2008-05-23 0.725 1.175 587.50 103 2008-05-12 1262.50 2008-02-12 -12.50 -750.00
2007 2007-02-09 -1.125 2007-05-25 0.100 1.225 612.50 106 2007-05-25 612.50 2007-03-23 -575.00 -850.00
2006 2006-02-09 -1.000 2006-05-25 -0.425 0.575 287.50 106 2006-04-03 437.50 2006-02-17 -350.00 -475.00
2005 2005-02-09 -0.800 2005-05-25 -0.750 0.050 25.00 106 2005-02-18 337.50 2005-04-05 -425.00 -762.50
2004 2004-02-09 0.175 2004-05-25 -1.100 -1.275 -637.50 107 2004-02-10 112.50 2004-04-26 -1050.00 -1162.50
2003 2003-02-10 0.100 2003-05-23 0.600 0.500 250.00 103 2003-05-02 462.50 2003-03-04 -150.00 -350.00
2002 2002-02-11 -0.175 2002-05-24 -0.100 0.075 37.50 103 2002-04-18 237.50 2002-05-08 -325.00 -562.50
2001 2001-02-09 -0.200 2001-05-25 -0.675 -0.475 -237.50 106 2001-04-11 175.00 2001-05-23 -262.50 -437.50
2000 2000-02-09 0.225 2000-05-25 0.100 -0.125 -62.50 107 2000-03-17 150.00 2000-03-03 -162.50 -262.50
1999 1999-02-09 -0.450 1999-05-25 0.125 0.575 287.50 106 1999-05-04 400.00 1999-02-16 -25.00 -237.50
1998 1998-02-09 0.150 1998-05-22 0.050 -0.100 -50.00 103 1998-03-04 175.00 1998-05-01 -225.00 -400.00
1997 1997-02-10 0.325 1997-05-23 -0.500 -0.825 -412.50 103 1997-03-10 437.50 1997-05-23 -412.50 -850.00
1996 1996-02-09 -0.125 1996-05-24 0.225 0.350 175.00 106 1996-04-26 1112.50 - 0.00 -987.50
1995 1995-02-09 -0.750 1995-05-25 -0.350 0.400 200.00 106 1995-05-09 387.50 1995-02-16 -25.00 -275.00
1994 1994-02-09 -0.300 1994-05-25 0.325 0.625 312.50 106 1994-05-20 350.00 1994-02-18 -125.00 -125.00
1993 1993-02-09 -0.725 1993-05-25 -0.950 -0.225 -112.50 106 1993-02-25 62.50 1993-04-06 -350.00 -412.50
1992 1992-02-10 -0.600 1992-05-22 -0.800 -0.200 -100.00 103 1992-02-11 175.00 1992-03-31 -300.00 -475.00
1991 1991-02-11 -0.500 1991-05-24 -1.350 -0.850 -425.00 103 1991-02-26 200.00 1991-05-24 -425.00 -625.00
1990 1990-02-09 -0.150 1990-05-25 -0.725 -0.575 -287.50 106 1990-02-26 100.00 1990-05-22 -437.50 -537.50
1989 1989-02-09 -0.425 1989-05-25 0.175 0.600 300.00 106 1989-05-09 362.50 1989-02-21 -137.50 -425.00
1988 1988-02-09 -0.875 1988-05-25 -0.300 0.575 287.50 107 1988-04-14 412.50 1988-02-19 -187.50 -425.00
1987 1987-02-09 -0.650 1987-05-22 -0.300 0.350 175.00 103 1987-03-13 200.00 1987-02-20 -275.00 -400.00
1986 1986-02-10 -3.050 1986-05-23 -1.850 1.200 600.00 103 1986-04-25 1012.50 1986-02-19 -50.00 -575.00
1985 1985-02-11 -0.725 1985-05-24 -0.350 0.375 187.50 103 1985-05-02 462.50 1985-02-12 -100.00 -412.50
1984 1984-02-09 -0.950 1984-05-25 -0.525 0.425 212.50 107 1984-05-08 362.50 - 0.00 -300.00
1983 1983-02-09 -0.800 1983-05-25 -0.475 0.325 162.50 106 1983-04-21 350.00 1983-02-24 -325.00 -450.00
1982 1982-02-09 -0.825 1982-05-25 -0.875 -0.050 -25.00 106 1982-04-19 350.00 1982-05-19 -437.50 -787.50
1981 1981-02-09 -0.525 1981-05-22 -0.275 0.250 125.00 103 1981-04-16 287.50 1981-02-10 -112.50 -312.50
1980 1980-02-11 -0.500 1980-05-23 0.025 0.525 262.50 103 1980-05-21 375.00 1980-02-21 -287.50 -425.00
1979 1979-02-09 -0.100 1979-05-25 0.175 0.275 137.50 106 1979-05-25 137.50 1979-04-20 -850.00 -875.00
1978 1978-02-09 0.200 1978-05-25 -0.875 -1.075 -537.50 106 1978-02-10 112.50 1978-05-25 -537.50 -650.00
1977 1977-02-09 -0.300 1977-05-25 -0.125 0.175 87.50 106 1977-02-28 550.00 1977-04-22 -300.00 -850.00
1976 1976-02-09 0.050 1976-05-25 -0.150 -0.200 -100.00 107 1976-04-08 300.00 1976-04-26 -625.00 -925.00
1975 1975-02-10 -0.050 1975-05-23 -0.500 -0.450 -225.00 103 1975-04-21 375.00 1975-05-05 -500.00 -875.00