Commodity Futures Spread Strategy for October, 2014 - Buy FCJ15-FCH15

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Commodity Futures Spread Strategy for October, 2014 - Buy FCJ15-FCH15

This spread combines several conditions to create good trading opportunity:

  • 100% Win in last 20 years
  • Narrow legs spread with expected lower volatility
  • Possible to use small stop-loss
  • Nice support level around -0.5, consider entry here (short SL)
  • Long seasonal window - A lot of time for seasonality to kick in. Possibility to take profit earlier

Backtest Buy FCJ15-FCH15 Entry: 2014-10-19 Exit: 2015-02-24

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 80% 129 4.40 9999 462.50 3.59 567.50 -622.50 567.50 0.00 825.00 -230.00 2837.50 2837.50 0.00 112.50
10 100% 10 0 50% 129 5.55 9999 462.50 5.00 716.25 -637.50 716.25 0.00 1018.75 -203.75 7162.50 7162.50 0.00 150.00
15 100% 15 0 67% 129 4.62 9999 462.50 3.84 595.83 -629.17 595.83 0.00 947.50 -246.67 8937.50 8937.50 0.00 425.00
20 100% 20 0 75% 129 3.73 9999 462.50 3.27 480.63 -603.75 480.63 0.00 804.37 -246.25 9612.50 9612.50 0.00 425.00
30 83% 25 5 73% 129 2.31 5.84 637.50 1.97 298.33 -605.42 432.00 -370.00 622.92 -316.25 8950.00 10800.00 -1850.00 637.50
39 77% 30 9 74% 129 1.87 4.17 637.50 1.69 241.67 -622.12 413.33 -330.56 561.54 -332.69 9425.00 12400.00 -2975.00 637.50
Equity for backtest
Year Enter date Enter price Exit date Exit price Points Profit Days# Best Date Best Worst Date Worst Drawdown
2014 2013-10-21 0.225 2014-02-24 1.425 1.200 600.00 127 2013-11-01 650.00 2013-10-22 -112.50 -637.50
2013 2012-10-19 1.525 2013-02-22 2.525 1.000 500.00 127 2013-02-12 1187.50 2012-12-13 -300.00 -712.50
2012 2011-10-19 0.350 2012-02-24 2.600 2.250 1125.00 129 2012-02-24 1125.00 2011-10-21 -112.50 -400.00
2011 2010-10-19 0.600 2011-02-24 1.575 0.975 487.50 129 2011-02-07 662.50 2010-12-13 -162.50 -637.50
2010 2009-10-19 1.075 2010-02-24 1.325 0.250 125.00 129 2009-12-09 500.00 2009-11-05 -462.50 -725.00
2009 2008-10-20 0.450 2009-02-24 1.275 0.825 412.50 128 2009-02-09 675.00 2008-11-13 -237.50 -487.50
2008 2007-10-19 0.850 2008-02-22 3.375 2.525 1262.50 127 2008-02-11 1875.00 - 0.00 -812.50
2007 2006-10-19 -0.100 2007-02-23 2.600 2.700 1350.00 128 2007-02-23 1350.00 2006-10-24 -150.00 -700.00
2006 2005-10-19 -2.000 2006-02-24 0.525 2.525 1262.50 129 2006-02-07 1625.00 2005-11-04 -62.50 -562.50
2005 2004-10-19 -1.000 2005-02-24 -0.925 0.075 37.50 129 2005-02-07 537.50 2004-12-21 -437.50 -700.00
2004 2003-10-20 -2.350 2004-02-24 -0.950 1.400 700.00 128 2004-02-05 2062.50 2003-12-01 -425.00 -1362.50
2003 2002-10-21 -0.350 2003-02-24 0.325 0.675 337.50 127 2003-02-07 825.00 2002-11-08 -425.00 -537.50
2002 2001-10-19 -0.025 2002-02-22 0.300 0.325 162.50 127 2002-02-08 512.50 2001-12-31 -437.50 -500.00
2001 2000-10-19 0.050 2001-02-23 0.250 0.200 100.00 128 2001-02-12 150.00 2000-12-20 -375.00 -375.00
2000 1999-10-19 -0.375 2000-02-24 0.575 0.950 475.00 129 2000-02-24 475.00 - 0.00 -287.50
1999 1998-10-19 0.075 1999-02-24 0.200 0.125 62.50 129 1998-12-22 562.50 1998-10-30 -175.00 -637.50
1998 1997-10-20 -0.075 1998-02-24 0.325 0.400 200.00 128 1998-01-02 525.00 1998-02-19 -75.00 -600.00
1997 1996-10-21 0.600 1997-02-24 1.050 0.450 225.00 127 1997-02-20 275.00 1996-11-07 -387.50 -387.50
1996 1995-10-19 -0.425 1996-02-23 -0.250 0.175 87.50 128 1996-01-15 362.50 1995-12-06 -137.50 -425.00
1995 1994-10-19 -0.575 1995-02-24 -0.375 0.200 100.00 129 1995-02-16 150.00 1995-01-04 -450.00 -587.50
1994 1993-10-19 -0.475 1994-02-24 -0.950 -0.475 -237.50 129 1993-11-30 87.50 1994-01-27 -412.50 -500.00
1993 1992-10-19 -1.050 1993-02-24 -0.700 0.350 175.00 129 1993-02-24 175.00 1993-01-20 -350.00 -500.00
1992 1991-10-21 -0.325 1992-02-24 -1.550 -1.225 -612.50 127 - 0.00 1992-02-13 -912.50 -912.50
1991 1990-10-19 -0.450 1991-02-22 -1.800 -1.350 -675.00 127 - 0.00 1991-02-07 -987.50 -987.50
1990 1989-10-19 -1.050 1990-02-23 -0.500 0.550 275.00 128 1990-01-18 300.00 1989-11-03 -50.00 -325.00
1989 1988-10-19 -0.875 1989-02-24 -0.725 0.150 75.00 129 1989-02-08 425.00 1988-11-16 -75.00 -362.50
1988 1987-10-19 -0.750 1988-02-24 -0.850 -0.100 -50.00 129 1987-12-07 300.00 1988-01-13 -537.50 -837.50
1987 1986-10-20 -0.400 1987-02-24 -0.950 -0.550 -275.00 128 1986-12-30 212.50 1987-02-06 -375.00 -587.50
1986 1985-10-21 -0.475 1986-02-24 -0.200 0.275 137.50 127 1986-02-06 575.00 1985-10-31 -225.00 -437.50
1985 1984-10-19 0.025 1985-02-22 1.075 1.050 525.00 127 1985-02-22 525.00 1985-01-02 -637.50 -637.50
1984 1983-10-19 -0.075 1984-02-24 -0.825 -0.750 -375.00 129 1983-11-03 250.00 1984-02-15 -712.50 -962.50
1983 1982-10-19 -0.025 1983-02-24 -1.100 -1.075 -537.50 129 1982-12-03 200.00 1983-02-11 -725.00 -925.00
1982 1981-10-19 0.150 1982-02-24 -0.100 -0.250 -125.00 129 1981-10-30 150.00 1982-02-01 -625.00 -775.00
1981 1980-10-20 0.050 1981-02-24 0.800 0.750 375.00 128 1981-01-27 562.50 1980-10-22 -50.00 -375.00
1980 1979-10-19 0.325 1980-02-22 0.950 0.625 312.50 127 1980-02-12 437.50 1979-11-21 -237.50 -450.00
1979 1978-10-19 0.250 1979-02-23 0.575 0.325 162.50 128 1978-10-26 450.00 1978-11-22 -400.00 -850.00
1978 1977-10-19 0.150 1978-02-24 -0.025 -0.175 -87.50 129 1977-11-22 137.50 1978-02-16 -400.00 -537.50
1977 1976-10-19 0.550 1977-02-24 0.800 0.250 125.00 129 1977-01-03 375.00 1977-02-03 -300.00 -675.00
1976 1975-10-20 -0.400 1976-02-24 0.850 1.250 625.00 128 1976-02-04 650.00 1975-11-10 -37.50 -550.00