Futures Spread Strategy For June, 2015 - Buy FCU15-FCQ15

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Futures Spread Strategy For June, 2015 - Buy FCU15-FCQ15

This spread combines several conditions to create good trading opportunity.

  • 87% Win in last 15 years
  • 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
  • Spread historically moves in a narrow range

Backtest Buy FCU15-FCQ15 Entry: 2015-06-01 Exit: 2015-07-10

Years# Win% Win# Loss# APW% Days# APPD PF SL RRR ProfitØ DDØ WinØ LossØ BestØ WorstØ Total Profit Profit Loss SL ProfitØ
5 80% 4 1 40% 40 9.62 15.00 337.50 2.75 385.00 -337.50 515.62 -137.50 530.00 -192.50 1925.00 2062.50 -137.50 237.50
10 90% 9 1 70% 40 9.06 27.36 875.00 2.53 362.50 -417.50 418.06 -137.50 525.00 -207.50 3625.00 3762.50 -137.50 237.50
15 87% 13 2 67% 40 7.25 17.57 875.00 2.24 290.00 -379.17 354.81 -131.25 442.50 -197.50 4350.00 4612.50 -262.50 237.50
20 75% 15 5 70% 40 5.03 5.47 875.00 1.81 201.25 -373.75 328.33 -180.00 373.75 -206.25 4025.00 4925.00 -900.00 350.00
30 63% 19 11 77% 40 2.30 2.00 875.00 1.37 92.08 -384.58 290.79 -251.14 308.33 -224.58 2762.50 5525.00 -2762.50 350.00
43 51% 22 21 91% 40 0.86 1.32 875.00 1.10 34.30 -420.93 276.14 -219.05 279.65 -253.49 1475.00 6075.00 -4600.00 875.00
Equity for backtest
Year Enter date Enter price Exit date Exit price Points Profit Days# Best Date Best Worst Date Worst Drawdown
2014 2014-06-02 1.025 2014-07-10 1.600 0.575 287.50 39 2014-06-25 375.00 2014-06-06 -337.50 -337.50
2013 2013-06-03 2.075 2013-07-10 2.575 0.500 250.00 38 2013-06-14 375.00 2013-06-04 -50.00 -362.50
2012 2012-06-01 1.300 2012-07-10 3.300 2.000 1000.00 40 2012-07-06 1112.50 2012-06-05 -237.50 -262.50
2011 2011-06-01 1.075 2011-07-08 0.800 -0.275 -137.50 38 2011-06-03 237.50 2011-06-22 -337.50 -575.00
2010 2010-06-01 -0.575 2010-07-09 0.475 1.050 525.00 39 2010-07-08 550.00 - 0.00 -150.00
2009 2009-06-01 0.150 2009-07-10 0.300 0.150 75.00 40 2009-06-09 237.50 2009-07-01 -875.00 -1112.50
2008 2008-06-02 1.025 2008-07-10 1.950 0.925 462.50 39 2008-06-18 675.00 - 0.00 -525.00
2007 2007-06-01 -0.175 2007-07-10 1.150 1.325 662.50 40 2007-07-10 662.50 2007-06-06 -75.00 -200.00
2006 2006-06-01 -0.975 2006-07-10 -0.100 0.875 437.50 40 2006-06-29 687.50 - 0.00 -375.00
2005 2005-06-01 -1.075 2005-07-08 -0.950 0.125 62.50 38 2005-06-28 337.50 2005-06-07 -162.50 -275.00
2004 2004-06-01 -1.575 2004-07-09 -1.125 0.450 225.00 39 2004-07-07 512.50 2004-06-23 -350.00 -600.00
2003 2003-06-02 0.325 2003-07-10 0.400 0.075 37.50 39 2003-06-25 162.50 2003-06-30 -62.50 -225.00
2002 2002-06-03 -0.375 2002-07-10 0.475 0.850 425.00 38 2002-06-28 512.50 2002-06-14 -87.50 -200.00
2001 2001-06-01 -0.525 2001-07-10 -0.200 0.325 162.50 40 2001-07-10 162.50 2001-06-20 -187.50 -250.00
2000 2000-06-01 0.100 2000-07-10 -0.150 -0.250 -125.00 40 2000-06-02 37.50 2000-06-28 -200.00 -237.50
1999 1999-06-01 -0.150 1999-07-09 0.300 0.450 225.00 39 1999-07-01 287.50 1999-06-17 -162.50 -237.50
1998 1998-06-01 -0.025 1998-07-10 -0.075 -0.050 -25.00 40 1998-06-03 187.50 1998-06-12 -100.00 -287.50
1997 1997-06-02 -0.275 1997-07-10 -0.100 0.175 87.50 39 1997-06-19 212.50 1997-07-03 -162.50 -375.00
1996 1996-06-03 -0.150 1996-07-10 -0.675 -0.525 -262.50 38 1996-06-21 150.00 1996-07-03 -287.50 -437.50
1995 1995-06-01 -0.200 1995-07-10 -0.900 -0.700 -350.00 40 - 0.00 1995-06-28 -450.00 -450.00
1994 1994-06-01 -0.050 1994-07-08 -0.800 -0.750 -375.00 38 1994-06-09 50.00 1994-06-10 -437.50 -487.50
1993 1993-06-01 -1.000 1993-07-09 -0.950 0.050 25.00 39 1993-06-08 75.00 1993-07-08 -62.50 -137.50
1992 1992-06-01 -0.750 1992-07-10 -1.200 -0.450 -225.00 40 1992-06-05 62.50 1992-07-08 -325.00 -387.50
1991 1991-06-03 -1.100 1991-07-10 -1.200 -0.100 -50.00 38 1991-06-24 87.50 1991-06-07 -137.50 -200.00
1990 1990-06-01 -1.025 1990-07-10 -0.800 0.225 112.50 40 1990-06-15 300.00 1990-06-04 -75.00 -337.50
1989 1989-06-01 0.375 1989-07-10 -1.075 -1.450 -725.00 40 - 0.00 1989-07-10 -725.00 -725.00
1988 1988-06-01 0.025 1988-07-08 -0.125 -0.150 -75.00 38 1988-06-22 312.50 1988-06-30 -75.00 -387.50
1987 1987-06-01 -0.900 1987-07-10 -0.350 0.550 275.00 40 1987-06-30 512.50 - 0.00 -462.50
1986 1986-06-02 -2.000 1986-07-10 -2.825 -0.825 -412.50 39 1986-06-04 100.00 1986-06-25 -725.00 -825.00
1985 1985-06-03 -0.275 1985-07-10 0.100 0.375 187.50 38 1985-07-05 275.00 1985-06-11 -50.00 -112.50
1984 1984-06-01 -0.225 1984-07-10 -0.700 -0.475 -237.50 40 - 0.00 1984-06-27 -312.50 -312.50
1983 1983-06-01 -0.700 1983-07-08 -0.525 0.175 87.50 38 1983-06-21 100.00 1983-06-16 -200.00 -287.50
1982 1982-06-01 -0.375 1982-07-09 -1.275 -0.900 -450.00 39 1982-06-09 137.50 1982-07-08 -487.50 -625.00
1981 1981-06-01 -0.225 1981-07-10 -0.850 -0.625 -312.50 40 1981-06-17 25.00 1981-07-06 -325.00 -350.00
1980 1980-06-02 -0.100 1980-07-10 -0.225 -0.125 -62.50 39 1980-07-03 125.00 1980-06-24 -350.00 -437.50
1979 1979-06-01 -0.050 1979-07-10 -0.400 -0.350 -175.00 40 1979-06-22 137.50 1979-06-12 -287.50 -337.50
1978 1978-06-01 -0.725 1978-07-10 -1.100 -0.375 -187.50 40 1978-06-09 675.00 1978-07-10 -187.50 -862.50
1977 1977-06-01 -0.100 1977-07-08 -0.150 -0.050 -25.00 38 1977-06-21 425.00 1977-06-30 -212.50 -637.50
1976 1976-06-01 -0.250 1976-07-09 0.050 0.300 150.00 39 1976-06-07 200.00 1976-06-11 -275.00 -475.00
1975 1975-06-02 -0.700 1975-07-10 -0.875 -0.175 -87.50 39 1975-06-10 62.50 1975-06-17 -525.00 -587.50
1974 1974-06-03 -0.300 1974-07-10 -0.650 -0.350 -175.00 38 1974-06-25 200.00 1974-07-05 -500.00 -700.00
1973 1973-06-01 -1.050 1973-07-10 -0.425 0.625 312.50 40 1973-07-06 537.50 1973-06-08 -125.00 -450.00
1972 1972-06-01 0.000 1972-07-10 -0.250 -0.250 -125.00 40 1972-06-26 150.00 1972-06-20 -375.00 -500.00