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

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

This spread combines several conditions to create good trading opportunity.

  • 93% Win in last 15 years
  • 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: 2017-06-02 Exit: 2017-07-03

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 60% 32 10.31 9999 350.00 1.56 330.00 -362.50 412.50 0.00 452.50 -290.00 1650.00 1650.00 0.00 187.50
10 90% 9 1 80% 32 5.90 3.56 350.00 1.49 188.75 -435.00 328.13 -368.75 416.25 -278.75 1887.50 2625.00 -737.50 350.00
15 93% 14 1 80% 32 6.61 5.31 400.00 1.72 211.67 -398.33 300.96 -368.75 410.83 -238.33 3175.00 3912.50 -737.50 400.00
20 80% 16 4 85% 32 4.67 3.57 400.00 1.54 149.37 -368.13 276.67 -232.50 345.00 -224.38 2987.50 4150.00 -1162.50 400.00
30 63% 19 11 80% 32 1.91 1.65 400.00 1.25 61.25 -359.17 259.72 -236.46 280.00 -224.17 1837.50 4675.00 -2837.50 400.00
45 58% 26 19 89% 32 1.02 1.34 400.00 1.03 32.78 -393.89 241.15 -205.36 253.89 -247.22 1475.00 5787.50 -4312.50 400.00
Equity for backtest
Year Enter date Enter price Exit date Exit price Points Profit Days# Best Date Best Worst Date Worst Drawdown
2016 2016-06-02 -1.325 2016-07-01 -0.750 0.575 287.50 30 2016-07-01 287.50 2016-06-06 -350.00 -387.50
2015 2015-06-02 -1.350 2015-07-02 -1.350 0.000 0.00 31 2015-06-29 87.50 2015-06-16 -525.00 -537.50
2014 2014-06-02 1.025 2014-07-03 1.200 0.175 87.50 32 2014-06-25 375.00 2014-06-06 -337.50 -337.50
2013 2013-06-03 2.075 2013-07-03 2.350 0.275 137.50 31 2013-06-14 375.00 2013-06-04 -50.00 -362.50
2012 2012-06-04 1.200 2012-07-03 3.475 2.275 1137.50 30 2012-07-03 1137.50 2012-06-05 -187.50 -187.50
2011 2011-06-02 1.025 2011-07-01 1.075 0.050 25.00 30 2011-06-03 262.50 2011-06-22 -312.50 -575.00
2010 2010-06-02 -0.125 2010-07-02 0.075 0.200 100.00 31 2010-06-30 175.00 2010-06-16 -62.50 -150.00
2009 2009-06-02 0.150 2009-07-02 -1.325 -1.475 -737.50 31 2009-06-09 237.50 2009-07-01 -875.00 -1112.50
2008 2008-06-02 1.025 2008-07-03 1.625 0.600 300.00 32 2008-06-18 675.00 - 0.00 -525.00
2007 2007-06-04 -0.150 2007-07-03 0.950 1.100 550.00 30 2007-07-03 550.00 2007-06-06 -87.50 -175.00
2006 2006-06-02 -0.850 2006-07-03 -0.300 0.550 275.00 32 2006-06-29 625.00 - 0.00 -362.50
2005 2005-06-02 -0.925 2005-07-01 -0.450 0.475 237.50 30 2005-06-28 262.50 2005-06-07 -237.50 -237.50
2004 2004-06-02 -1.475 2004-07-02 -0.600 0.875 437.50 31 2004-07-01 437.50 2004-06-23 -400.00 -600.00
2003 2003-06-02 0.325 2003-07-03 0.375 0.050 25.00 32 2003-06-25 162.50 2003-06-30 -62.50 -225.00
2002 2002-06-03 -0.375 2002-07-03 0.250 0.625 312.50 31 2002-06-28 512.50 2002-06-14 -87.50 -200.00
2001 2001-06-04 -0.475 2001-07-03 -0.400 0.075 37.50 30 2001-06-27 87.50 2001-06-20 -212.50 -250.00
2000 2000-06-02 0.175 2000-07-03 -0.150 -0.325 -162.50 32 - 0.00 2000-06-28 -237.50 -237.50
1999 1999-06-02 -0.150 1999-07-02 0.250 0.400 200.00 31 1999-07-01 287.50 1999-06-17 -162.50 -237.50
1998 1998-06-02 0.050 1998-07-02 -0.150 -0.200 -100.00 31 1998-06-03 150.00 1998-06-12 -137.50 -287.50
1997 1997-06-02 -0.275 1997-07-03 -0.600 -0.325 -162.50 32 1997-06-19 212.50 1997-07-03 -162.50 -375.00
1996 1996-06-03 -0.150 1996-07-03 -0.725 -0.575 -287.50 31 1996-06-21 150.00 1996-07-03 -287.50 -437.50
1995 1995-06-02 -0.200 1995-07-03 -0.825 -0.625 -312.50 32 - 0.00 1995-06-28 -450.00 -450.00
1994 1994-06-02 -0.025 1994-07-01 -0.600 -0.575 -287.50 30 1994-06-09 37.50 1994-06-10 -450.00 -487.50
1993 1993-06-02 -0.875 1993-07-02 -1.025 -0.150 -75.00 31 1993-06-08 12.50 1993-06-25 -112.50 -125.00
1992 1992-06-02 -0.725 1992-07-02 -1.275 -0.550 -275.00 31 1992-06-05 50.00 1992-06-16 -312.50 -362.50
1991 1991-06-03 -1.100 1991-07-03 -1.325 -0.225 -112.50 31 1991-06-24 87.50 1991-06-07 -137.50 -200.00
1990 1990-06-04 -1.175 1990-07-03 -0.700 0.475 237.50 30 1990-06-15 375.00 - 0.00 -337.50
1989 1989-06-02 0.250 1989-07-03 -0.400 -0.650 -325.00 32 - 0.00 1989-06-19 -387.50 -387.50
1988 1988-06-02 -0.100 1988-07-01 0.100 0.200 100.00 30 1988-06-22 375.00 1988-06-30 -12.50 -387.50
1987 1987-06-02 -0.700 1987-07-02 -0.325 0.375 187.50 31 1987-06-30 412.50 1987-06-04 -87.50 -237.50
1986 1986-06-02 -2.000 1986-07-03 -2.975 -0.975 -487.50 32 1986-06-04 100.00 1986-06-25 -725.00 -825.00
1985 1985-06-03 -0.275 1985-07-03 0.175 0.450 225.00 31 1985-07-02 262.50 1985-06-11 -50.00 -112.50
1984 1984-06-04 -0.300 1984-07-03 -0.300 0.000 0.00 30 1984-06-08 37.50 1984-06-27 -275.00 -312.50
1983 1983-06-02 -0.525 1983-07-01 -0.700 -0.175 -87.50 30 1983-06-21 12.50 1983-06-16 -287.50 -287.50
1982 1982-06-02 -0.275 1982-07-02 -0.225 0.050 25.00 31 1982-06-09 87.50 1982-06-30 -225.00 -312.50
1981 1981-06-02 -0.425 1981-07-02 -0.725 -0.300 -150.00 31 1981-06-17 125.00 1981-07-02 -150.00 -275.00
1980 1980-06-02 -0.100 1980-07-03 0.150 0.250 125.00 32 1980-07-03 125.00 1980-06-24 -350.00 -437.50
1979 1979-06-04 -0.050 1979-07-03 -0.225 -0.175 -87.50 30 1979-06-22 137.50 1979-06-12 -287.50 -337.50
1978 1978-06-02 -0.725 1978-07-03 -0.175 0.550 275.00 32 1978-06-09 675.00 1978-06-16 -100.00 -775.00
1977 1977-06-02 -0.125 1977-07-01 -0.325 -0.200 -100.00 30 1977-06-21 437.50 1977-06-30 -200.00 -637.50
1976 1976-06-02 -0.400 1976-07-02 -0.575 -0.175 -87.50 31 1976-06-07 275.00 1976-06-11 -200.00 -475.00
1975 1975-06-02 -0.700 1975-07-03 -0.800 -0.100 -50.00 32 1975-06-10 62.50 1975-06-17 -525.00 -587.50
1974 1974-06-03 -0.300 1974-07-03 -1.150 -0.850 -425.00 31 1974-06-25 200.00 1974-07-03 -425.00 -625.00
1973 1973-06-04 -0.900 1973-07-03 -0.175 0.725 362.50 30 1973-07-03 362.50 1973-06-08 -200.00 -450.00
1972 1972-06-02 0.050 1972-07-03 0.250 0.200 100.00 32 1972-06-26 125.00 1972-06-20 -400.00 -500.00