Futures Spread Strategy For August, 2017 - Buy FCU17-FCV17

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Futures Spread Strategy For August, 2017 - Buy FCU17-FCV17

This spread combines several conditions to create good trading opportunity.

  • 95% Win in last 20 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
  • This spread moves in narrow range (current year), now it's at bottom of that range.

Backtest Buy FCU17-FCV17 Entry: 2017-08-01 Exit: 2017-08-28

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% 28 25.09 9999 337.50 8.22 702.50 -317.50 702.50 0.00 740.00 -90.00 3512.50 3512.50 0.00 0.00
10 100% 10 0 50% 28 18.26 9999 337.50 6.59 511.25 -343.75 511.25 0.00 617.50 -93.75 5112.50 5112.50 0.00 0.00
15 93% 14 1 40% 28 19.29 22.60 337.50 5.30 540.00 -305.83 605.36 -375.00 635.83 -120.00 8100.00 8475.00 -375.00 150.00
20 95% 19 1 45% 28 15.78 24.57 337.50 4.52 441.88 -280.63 484.87 -375.00 539.38 -119.38 8837.50 9212.50 -375.00 150.00
30 83% 25 5 47% 28 11.50 10.66 337.50 3.35 322.08 -277.92 426.50 -200.00 445.00 -132.92 9662.50 10662.50 -1000.00 150.00
45 76% 34 11 56% 28 8.59 4.49 337.50 2.62 240.56 -346.39 421.97 -258.33 434.44 -166.11 10825.00 13925.00 -3100.00 150.00
Equity for backtest
Year Enter date Enter price Exit date Exit price Points Profit Days# Best Date Best Worst Date Worst Drawdown
2016 2016-08-01 1.200 2016-08-26 3.975 2.775 1387.50 26 2016-08-26 1387.50 - 0.00 -412.50
2015 2015-08-03 2.000 2015-08-28 3.475 1.475 737.50 26 2015-08-26 875.00 - 0.00 -237.50
2014 2014-08-01 0.300 2014-08-28 2.375 2.075 1037.50 28 2014-08-28 1037.50 - 0.00 -262.50
2013 2013-08-01 -2.025 2013-08-28 -1.700 0.325 162.50 28 2013-08-27 175.00 2013-08-08 -337.50 -337.50
2012 2012-08-01 -1.250 2012-08-28 -0.875 0.375 187.50 28 2012-08-13 225.00 2012-08-24 -112.50 -337.50
2011 2011-08-01 -1.350 2011-08-26 -0.675 0.675 337.50 26 2011-08-19 525.00 2011-08-02 -112.50 -325.00
2010 2010-08-02 -1.100 2010-08-27 -0.725 0.375 187.50 26 2010-08-13 487.50 - 0.00 -437.50
2009 2009-08-03 -0.025 2009-08-28 0.100 0.125 62.50 26 2009-08-17 100.00 2009-08-07 -287.50 -287.50
2008 2008-08-01 -0.950 2008-08-28 0.675 1.625 812.50 28 2008-08-08 1050.00 - 0.00 -637.50
2007 2007-08-01 -0.800 2007-08-28 -0.400 0.400 200.00 28 2007-08-15 312.50 2007-08-02 -87.50 -162.50
2006 2006-08-01 0.025 2006-08-28 -0.725 -0.750 -375.00 28 - 0.00 2006-08-22 -512.50 -512.50
2005 2005-08-01 0.650 2005-08-26 1.575 0.925 462.50 26 2005-08-26 462.50 2005-08-03 -75.00 -237.50
2004 2004-08-02 0.500 2004-08-27 3.275 2.775 1387.50 26 2004-08-27 1387.50 2004-08-09 -150.00 -150.00
2003 2003-08-01 -0.025 2003-08-28 2.375 2.400 1200.00 28 2003-08-28 1200.00 2003-08-07 -37.50 -137.50
2002 2002-08-01 -0.325 2002-08-28 0.300 0.625 312.50 28 2002-08-21 312.50 2002-08-12 -87.50 -112.50
2001 2001-08-01 -0.175 2001-08-28 0.275 0.450 225.00 28 2001-08-28 225.00 2001-08-09 -87.50 -162.50
2000 2000-08-01 -1.000 2000-08-28 -0.375 0.625 312.50 28 2000-08-28 312.50 2000-08-14 -62.50 -150.00
1999 1999-08-02 -0.525 1999-08-27 -0.450 0.075 37.50 26 1999-08-09 200.00 1999-08-25 -87.50 -287.50
1998 1998-08-03 -0.150 1998-08-28 -0.050 0.100 50.00 26 1998-08-24 150.00 1998-08-13 -37.50 -112.50
1997 1997-08-01 -0.150 1997-08-28 0.075 0.225 112.50 28 1997-08-22 362.50 1997-08-08 -312.50 -312.50
1996 1996-08-01 -0.200 1996-08-28 -0.275 -0.075 -37.50 28 1996-08-20 187.50 1996-08-26 -112.50 -300.00
1995 1995-08-01 0.225 1995-08-28 0.400 0.175 87.50 28 1995-08-24 125.00 1995-08-10 -112.50 -112.50
1994 1994-08-01 0.800 1994-08-26 0.450 -0.350 -175.00 26 1994-08-03 100.00 1994-08-23 -287.50 -387.50
1993 1993-08-02 1.025 1993-08-27 0.525 -0.500 -250.00 26 1993-08-13 12.50 1993-08-27 -250.00 -262.50
1992 1992-08-03 0.700 1992-08-28 1.500 0.800 400.00 26 1992-08-28 400.00 1992-08-19 -25.00 -125.00
1991 1991-08-01 0.550 1991-08-28 1.000 0.450 225.00 28 1991-08-27 237.50 1991-08-13 -262.50 -262.50
1990 1990-08-01 0.950 1990-08-28 1.350 0.400 200.00 28 1990-08-21 512.50 1990-08-02 -12.50 -312.50
1989 1989-08-01 0.100 1989-08-28 1.100 1.000 500.00 28 1989-08-25 537.50 1989-08-04 -112.50 -112.50
1988 1988-08-01 0.175 1988-08-26 -0.150 -0.325 -162.50 26 1988-08-22 25.00 1988-08-12 -262.50 -262.50
1987 1987-08-03 -0.525 1987-08-28 -0.450 0.075 37.50 26 1987-08-17 425.00 1987-08-26 -162.50 -587.50
1986 1986-08-01 0.125 1986-08-28 -0.475 -0.600 -300.00 28 1986-08-06 12.50 1986-08-26 -487.50 -500.00
1985 1985-08-01 0.350 1985-08-28 1.200 0.850 425.00 28 1985-08-22 787.50 - 0.00 -562.50
1984 1984-08-01 0.325 1984-08-28 -1.100 -1.425 -712.50 28 1984-08-02 50.00 1984-08-28 -712.50 -762.50
1983 1983-08-01 0.675 1983-08-26 0.075 -0.600 -300.00 26 1983-08-02 100.00 1983-08-25 -375.00 -475.00
1982 1982-08-02 0.375 1982-08-27 2.225 1.850 925.00 26 1982-08-20 950.00 1982-08-06 -25.00 -400.00
1981 1981-08-03 0.825 1981-08-28 0.825 0.000 0.00 26 1981-08-25 537.50 1981-08-12 -87.50 -537.50
1980 1980-08-01 0.950 1980-08-28 0.400 -0.550 -275.00 28 1980-08-13 87.50 1980-08-28 -275.00 -362.50
1979 1979-08-01 0.825 1979-08-28 2.375 1.550 775.00 28 1979-08-22 1025.00 1979-08-10 -100.00 -250.00
1978 1978-08-01 -0.175 1978-08-28 0.150 0.325 162.50 28 1978-08-07 237.50 1978-08-18 -37.50 -275.00
1977 1977-08-01 -0.200 1977-08-26 0.325 0.525 262.50 26 1977-08-26 262.50 1977-08-17 -75.00 -212.50
1976 1976-08-02 0.025 1976-08-27 -0.200 -0.225 -112.50 26 1976-08-26 75.00 1976-08-11 -487.50 -487.50
1975 1975-08-01 0.175 1975-08-28 0.700 0.525 262.50 28 1975-08-25 325.00 1975-08-19 -137.50 -425.00
1974 1974-08-01 0.025 1974-08-28 0.425 0.400 200.00 28 1974-08-16 1375.00 1974-08-09 -212.50 -1400.00
1973 1973-08-01 -0.100 1973-08-28 0.400 0.500 250.00 28 1973-08-24 250.00 1973-08-02 -0.00 -0.00
1972 1972-08-01 0.900 1972-08-28 0.100 -0.800 -400.00 28 1972-08-16 125.00 1972-08-25 -475.00 -600.00