Commodity Futures Spread Strategy for May, 2013 - Buy CZ13-CU13

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Commodity Futures Spread Strategy for May, 2013 - Buy CZ13-CU13

This spread combines several conditions to create good trading opportunity:

  • 100% Win in last 15 years (there were only 2 losses in last 30 years)
  • Nice support level to place stop loss
  • Historical lows - Current year is moving around historical lows with nice space for profit
  • Long seasonal window - A lot of time for seasonality to kick in. Possibility to take profit earlier

Backtest BUY CZ13-CU13 Entry: 2013-05-01 Exit: 2013-08-04

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 40% 96 8.36 9999 887.50 2.82 802.50 -755.00 802.50 0.00 917.50 -325.00 4012.50 4012.50 0.00 437.50
10 100% 10 0 40% 96 6.28 9999 887.50 2.81 602.50 -468.75 602.50 0.00 663.75 -236.25 6025.00 6025.00 0.00 437.50
15 100% 15 0 33% 96 4.54 9999 887.50 2.73 435.83 -344.17 435.83 0.00 485.00 -177.50 6537.50 6537.50 0.00 887.50
20 95% 19 1 35% 96 3.87 32.26 1587.50 2.00 371.25 -386.88 403.29 -237.50 458.12 -228.75 7425.00 7662.50 -237.50 887.50
30 93% 28 2 37% 96 3.40 33.62 1587.50 1.70 326.25 -397.08 360.27 -150.00 419.58 -247.08 9787.50 10087.50 -300.00 962.50
66 74% 49 17 64% 96 1.73 4.97 1587.50 1.41 166.45 -325.98 286.56 -153.83 289.31 -205.41 10986.00 13755.00 -2769.00 1587.50
Equity for backtest
Year Enter date Enter price Exit date Exit price Points Profit Days# Best Date Best Worst Date Worst Drawdown
2012 2012-05-01 -11.50 2012-08-03 -2.50 9.00 450.00 95 2012-06-29 887.50 2012-07-19 -887.50 -1775.00
2011 2011-05-02 -42.25 2011-08-04 7.75 50.00 2500.00 95 2011-08-04 2500.00 2011-05-20 -437.50 -1425.00
2010 2010-05-03 9.25 2010-08-04 14.75 5.50 275.00 94 2010-08-04 275.00 2010-05-06 -112.50 -112.50
2009 2009-05-01 10.75 2009-08-04 11.25 0.50 25.00 96 2009-05-27 137.50 2009-07-14 -187.50 -325.00
2008 2008-05-01 4.75 2008-08-04 20.00 15.25 762.50 96 2008-06-23 787.50 - 0.00 -137.50
2007 2007-05-01 1.25 2007-08-03 16.50 15.25 762.50 95 2007-08-02 800.00 2007-05-31 -400.00 -462.50
2006 2006-05-01 12.75 2006-08-04 17.25 4.50 225.00 96 2006-08-01 225.00 2006-05-04 -12.50 -62.50
2005 2005-05-02 9.50 2005-08-04 13.00 3.50 175.00 95 2005-08-02 175.00 2005-05-23 -62.50 -100.00
2004 2004-05-03 -1.25 2004-08-04 10.00 11.25 562.50 94 2004-08-04 562.50 2004-05-21 -125.00 -137.50
2003 2003-05-01 2.00 2003-08-04 7.75 5.75 287.50 96 2003-08-04 287.50 2003-05-13 -137.50 -150.00
2002 2002-05-01 9.75 2002-08-02 10.25 0.50 25.00 94 2002-06-25 50.00 2002-06-11 -62.50 -87.50
2001 2001-05-01 11.25 2001-08-03 11.50 0.25 12.50 95 2001-07-13 50.00 2001-06-21 -50.00 -62.50
2000 2000-05-01 9.75 2000-08-04 12.00 2.25 112.50 96 2000-06-29 125.00 2000-05-05 -87.50 -87.50
1999 1999-05-03 7.00 1999-08-04 11.50 4.50 225.00 94 1999-07-23 275.00 - 0.00 -87.50
1998 1998-05-01 5.00 1998-08-04 7.75 2.75 137.50 96 1998-08-04 137.50 1998-06-08 -100.00 -150.00
1997 1997-05-01 -3.75 1997-08-04 1.25 5.00 250.00 96 1997-07-29 300.00 1997-06-16 -25.00 -162.50
1996 1996-05-01 -37.50 1996-08-02 -34.00 3.50 175.00 94 1996-07-22 525.00 1996-05-17 -1587.50 -1587.50
1995 1995-05-01 3.75 1995-08-04 -1.00 -4.75 -237.50 96 1995-06-07 87.50 1995-07-25 -262.50 -350.00
1994 1994-05-02 -9.25 1994-08-04 4.00 13.25 662.50 95 1994-08-03 687.50 1994-05-04 -12.50 -200.00
1993 1993-05-03 4.50 1993-08-04 5.25 0.75 37.50 94 1993-07-01 287.50 1993-05-04 -25.00 -275.00
1992 1992-05-01 0.50 1992-08-04 2.75 2.25 112.50 96 1992-06-29 250.00 1992-05-08 -50.00 -237.50
1991 1991-05-01 0.25 1991-08-02 6.25 6.00 300.00 94 1991-08-02 300.00 1991-05-29 -62.50 -175.00
1990 1990-05-01 -6.00 1990-08-03 -5.25 0.75 37.50 95 1990-07-03 312.50 1990-05-07 -75.00 -312.50
1989 1989-05-01 -1.25 1989-08-04 2.50 3.75 187.50 96 1989-08-04 187.50 1989-05-25 -250.00 -262.50
1988 1988-05-02 8.75 1988-08-04 7.50 -1.25 -62.50 95 1988-06-01 200.00 1988-06-23 -387.50 -587.50
1987 1987-05-01 2.25 1987-08-04 10.00 7.75 387.50 96 1987-07-31 387.50 1987-05-04 -75.00 -312.50
1986 1986-05-01 -5.00 1986-08-04 6.50 11.50 575.00 96 1986-08-04 575.00 1986-05-13 -200.00 -212.50
1985 1985-05-01 -5.25 1985-08-02 -3.75 1.50 75.00 94 1985-05-23 100.00 1985-07-18 -325.00 -425.00
1984 1984-05-01 -16.75 1984-08-03 -11.50 5.25 262.50 95 1984-07-30 450.00 1984-07-16 -450.00 -600.00
1983 1983-05-02 -7.50 1983-08-04 2.25 9.75 487.50 95 1983-07-28 662.50 1983-07-05 -962.50 -1050.00
1982 1982-05-03 3.00 1982-08-04 5.75 2.75 137.50 94 1982-07-29 212.50 1982-07-19 -250.00 -375.00
1981 1981-05-01 1.50 1981-08-04 6.75 5.25 262.50 96 1981-07-27 475.00 - 0.00 -212.50
1980 1980-05-01 7.00 1980-08-04 5.25 -1.75 -87.50 96 1980-07-15 187.50 1980-07-21 -100.00 -287.50
1979 1979-05-01 2.50 1979-08-03 -2.50 -5.00 -250.00 95 1979-06-13 250.00 1979-08-01 -287.50 -537.50
1978 1978-05-01 -0.25 1978-08-04 7.75 8.00 400.00 96 1978-08-04 400.00 - 0.00 -212.50
1977 1977-05-03 2.75 1977-08-04 8.25 5.50 275.00 94 1977-08-01 300.00 1977-05-26 -37.50 -100.00
1976 1976-05-03 -5.50 1976-08-04 -9.00 -3.50 -175.00 94 1976-05-05 12.50 1976-07-29 -387.50 -400.00
1975 1975-05-01 -17.00 1975-08-04 -9.50 7.50 375.00 96 1975-07-18 462.50 1975-06-23 -287.50 -487.50
1974 1974-05-01 -17.25 1974-08-02 -12.50 4.75 237.50 94 1974-07-23 537.50 1974-06-11 -200.00 -462.50
1973 1973-05-01 -1.00 1973-08-03 -12.25 -11.25 -562.50 95 - 0.00 1973-07-27 -1150.00 -1150.00
1972 1972-05-01 0.25 1972-08-04 0.00 -0.25 -12.50 96 1972-07-03 62.50 1972-05-15 -112.50 -137.50
1971 1971-05-03 -3.37 1971-08-04 -2.38 0.99 49.50 94 1971-06-11 231.00 1971-07-20 -94.00 -325.00
1970 1970-05-01 -5.75 1970-08-04 -4.25 1.50 75.00 96 1970-06-29 200.00 1970-05-22 -37.50 -175.00
1969 1969-05-01 -4.00 1969-08-04 -5.75 -1.75 -87.50 96 1969-07-07 175.00 1969-08-04 -87.50 -262.50
1968 1968-05-01 1.00 1968-08-02 0.25 -0.75 -37.50 94 1968-06-07 50.00 1968-07-25 -131.50 -181.50
1967 1967-05-01 -0.13 1967-08-04 -1.88 -1.75 -87.50 96 1967-06-05 6.50 1967-07-26 -156.00 -162.50
1966 1966-05-02 -3.50 1966-08-04 0.87 4.37 218.50 95 1966-07-28 331.50 - 0.00 -113.00
1965 1965-05-03 -8.25 1965-08-04 -4.50 3.75 187.50 94 1965-08-04 187.50 1965-05-14 -50.00 -50.00
1964 1964-05-01 -4.50 1964-08-04 -2.87 1.63 81.50 96 1964-06-16 106.00 1964-05-05 -19.00 -62.00
1963 1963-05-01 -3.63 1963-08-02 -9.00 -5.37 -268.50 94 1963-07-03 13.00 1963-07-26 -287.50 -300.50
1962 1962-05-01 -0.13 1962-08-03 1.25 1.38 69.00 95 1962-05-14 69.00 1962-06-05 -56.00 -125.00
1961 1961-05-01 1.50 1961-08-04 3.75 2.25 112.50 96 1961-07-03 131.00 - 0.00 -56.50
1960 1960-05-02 -6.63 1960-08-04 -4.50 2.13 106.50 95 1960-08-01 181.50 1960-06-01 -31.00 -75.00
1959 1959-05-01 -5.88 1959-08-04 -7.13 -1.25 -62.50 96 1959-07-20 100.50 1959-05-19 -112.50 -163.00
1958 1958-05-01 -4.25 1958-08-04 -7.62 -3.37 -168.50 96 1958-05-29 62.50 1958-07-02 -194.00 -256.50
1957 1957-05-01 -7.25 1957-08-02 -3.75 3.50 175.00 94 1957-07-16 281.00 1957-05-07 -62.50 -187.00
1956 1956-05-01 -14.50 1956-08-03 -8.50 6.00 300.00 95 1956-08-03 300.00 1956-05-15 -62.50 -162.50
1955 1955-05-02 -5.87 1955-08-04 -5.50 0.37 18.50 95 1955-08-03 24.50 1955-06-17 -113.00 -131.50
1954 1954-05-03 -6.87 1954-08-04 -6.87 0.00 0.00 94 1954-07-20 112.50 1954-06-14 -169.00 -187.50
1953 1953-05-01 -3.75 1953-08-04 -8.13 -4.38 -219.00 96 1953-05-04 19.00 1953-07-23 -300.00 -319.00
1952 1952-05-01 -9.00 1952-08-04 -5.00 4.00 200.00 96 1952-08-04 200.00 1952-05-19 -112.50 -200.00
1951 1951-05-01 -13.62 1951-08-03 -9.38 4.24 212.00 95 1951-06-20 381.00 - 0.00 -244.00
1950 1950-05-01 -8.75 1950-08-04 -9.38 -0.63 -31.50 96 1950-07-25 106.50 1950-06-23 -68.50 -156.00
1949 1949-05-02 -10.75 1949-08-04 -11.88 -1.13 -56.50 95 1949-06-27 119.00 1949-07-21 -93.50 -212.50
1948 1948-05-03 -20.37 1948-08-04 -16.88 3.49 174.50 94 1948-07-13 193.50 1948-06-23 -425.50 -438.00
1947 1947-05-01 -9.38 1947-08-04 -16.63 -7.25 -362.50 96 1947-05-06 25.00 1947-07-21 -668.50 -693.50