Commodity Futures Spread Strategy for May, 2014 - Buy CZ14-CU14

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Commodity Futures Spread Strategy for May, 2014 - Buy CZ14-CU14

This futures spread combines several conditions to create good trading opportunity.

  • 100% Win in last 15 years
  • High seasonal patterns correlation
  • Possible to entry at support and use a small 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
  • Very low margin requirements

Please note that grains spreads can be too volatile, you must strictly follow your trading plan

Backtest Buy ZCZ14-ZCU14 Entry: 2014-04-29 Exit: 2014-08-04

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% 98 9.13 9999 900.00 2.58 895.00 -945.00 1118.75 0.00 1005.00 -390.00 4475.00 4475.00 0.00 225.00
10 100% 10 0 30% 98 7.13 9999 900.00 3.01 698.75 -562.50 776.39 0.00 760.00 -252.50 6987.50 6987.50 0.00 587.50
15 100% 15 0 40% 98 5.23 9999 900.00 2.97 512.50 -406.67 549.11 0.00 561.67 -189.17 7687.50 7687.50 0.00 900.00
20 95% 19 1 40% 98 4.48 38.00 1400.00 2.18 439.38 -443.75 501.39 -118.75 513.75 -235.62 8787.50 9025.00 -237.50 900.00
30 93% 28 2 40% 98 3.67 36.96 1400.00 2.05 359.58 -409.17 426.44 -75.00 447.08 -217.92 10787.50 11087.50 -300.00 1400.00
67 75% 50 17 58% 98 1.88 5.36 1400.00 1.49 184.42 -343.22 316.41 -149.03 305.90 -205.96 12356.00 15187.50 -2831.50 1400.00
Equity for backtest
Year Enter date Enter price Exit date Exit price Points Profit Days# Best Date Best Worst Date Worst Drawdown
2013 2013-04-29 -25.25 2013-08-02 -12.25 13.00 650.00 96 2013-08-02 650.00 2013-07-19 -900.00 -1087.50
2012 2012-04-30 -17.50 2012-08-03 -2.50 15.00 750.00 96 2012-06-29 1187.50 2012-07-19 -587.50 -1775.00
2011 2011-04-29 -46.50 2011-08-04 7.75 54.25 2712.50 98 2011-08-04 2712.50 2011-05-20 -225.00 -1425.00
2010 2010-04-29 7.50 2010-08-04 14.75 7.25 362.50 98 2010-08-04 362.50 2010-05-06 -25.00 -112.50
2009 2009-04-29 11.25 2009-08-04 11.25 0.00 0.00 98 2009-05-27 112.50 2009-07-14 -212.50 -325.00
2008 2008-04-29 7.25 2008-08-04 20.00 12.75 637.50 98 2008-06-23 662.50 2008-05-01 -125.00 -137.50
2007 2007-04-30 -1.00 2007-08-03 16.50 17.50 875.00 96 2007-08-02 912.50 2007-05-31 -287.50 -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 2005-04-29 9.25 2005-08-04 13.00 3.75 187.50 98 2005-08-02 187.50 2005-05-23 -50.00 -100.00
2004 2004-04-29 -1.75 2004-08-04 10.00 11.75 587.50 98 2004-08-04 587.50 2004-05-21 -100.00 -137.50
2003 2003-04-29 1.75 2003-08-04 7.75 6.00 300.00 98 2003-08-04 300.00 2003-05-13 -125.00 -150.00
2002 2002-04-29 9.75 2002-08-02 10.25 0.50 25.00 96 2002-06-25 50.00 2002-06-11 -62.50 -87.50
2001 2001-04-30 11.00 2001-08-03 11.50 0.50 25.00 96 2001-07-13 62.50 2001-06-21 -37.50 -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 1999-04-29 6.75 1999-08-04 11.50 4.75 237.50 98 1999-07-23 287.50 - 0.00 -87.50
1998 1998-04-29 5.25 1998-08-04 7.75 2.50 125.00 98 1998-08-04 125.00 1998-06-08 -112.50 -150.00
1997 1997-04-29 -3.75 1997-08-04 1.25 5.00 250.00 98 1997-07-29 300.00 1997-06-16 -25.00 -162.50
1996 1996-04-29 -41.25 1996-08-02 -34.00 7.25 362.50 96 1996-07-22 712.50 1996-05-17 -1400.00 -1912.50
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 1994-04-29 -8.00 1994-08-04 4.00 12.00 600.00 98 1994-08-03 625.00 1994-05-04 -75.00 -200.00
1993 1993-04-29 4.00 1993-08-04 5.25 1.25 62.50 98 1993-07-01 312.50 - 0.00 -275.00
1992 1992-04-29 0.00 1992-08-04 2.75 2.75 137.50 98 1992-06-29 275.00 1992-04-30 -25.00 -237.50
1991 1991-04-29 -1.25 1991-08-02 6.25 7.50 375.00 96 1991-08-02 375.00 - 0.00 -175.00
1990 1990-04-30 -5.25 1990-08-03 -5.25 0.00 0.00 96 1990-07-03 275.00 1990-05-07 -112.50 -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 1988-04-29 8.75 1988-08-04 7.50 -1.25 -62.50 98 1988-06-01 200.00 1988-06-23 -387.50 -587.50
1987 1987-04-29 4.25 1987-08-04 10.00 5.75 287.50 98 1987-07-31 287.50 1987-05-04 -175.00 -312.50
1986 1986-04-29 -6.25 1986-08-04 6.50 12.75 637.50 98 1986-08-04 637.50 1986-05-13 -137.50 -212.50
1985 1985-04-29 -6.00 1985-08-02 -3.75 2.25 112.50 96 1985-05-23 137.50 1985-07-18 -287.50 -425.00
1984 1984-04-30 -16.75 1984-08-03 -11.50 5.25 262.50 96 1984-07-30 450.00 1984-07-16 -450.00 -600.00
1983 1983-04-29 -7.50 1983-08-04 2.25 9.75 487.50 98 1983-07-28 662.50 1983-07-05 -962.50 -1050.00
1982 1982-04-29 4.25 1982-08-04 5.75 1.50 75.00 98 1982-07-29 150.00 1982-07-19 -312.50 -375.00
1981 1981-04-29 1.00 1981-08-04 6.75 5.75 287.50 98 1981-07-27 500.00 - 0.00 -212.50
1980 1980-04-29 4.75 1980-08-04 5.25 0.50 25.00 98 1980-07-15 300.00 - 0.00 -287.50
1979 1979-04-30 2.75 1979-08-03 -2.50 -5.25 -262.50 96 1979-06-13 237.50 1979-08-01 -300.00 -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 1977-04-29 3.25 1977-08-04 8.25 5.00 250.00 98 1977-08-01 275.00 1977-05-26 -62.50 -100.00
1976 1976-04-29 -5.00 1976-08-04 -9.00 -4.00 -200.00 98 - 0.00 1976-07-29 -412.50 -412.50
1975 1975-04-29 -18.00 1975-08-04 -9.50 8.50 425.00 98 1975-07-18 512.50 1975-06-23 -237.50 -487.50
1974 1974-04-29 -17.00 1974-08-02 -12.50 4.50 225.00 96 1974-07-23 525.00 1974-06-11 -212.50 -462.50
1973 1973-04-30 -1.38 1973-08-03 -12.25 -10.87 -543.50 96 1973-05-01 19.00 1973-07-27 -1131.00 -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 1971-04-29 -3.00 1971-08-04 -2.38 0.62 31.00 98 1971-06-11 212.50 1971-07-20 -112.50 -325.00
1970 1970-04-29 -5.12 1970-08-04 -4.25 0.87 43.50 98 1970-06-29 168.50 1970-05-22 -69.00 -175.00
1969 1969-04-29 -3.87 1969-08-04 -5.75 -1.88 -94.00 98 1969-07-07 168.50 1969-08-04 -94.00 -262.50
1968 1968-04-29 0.87 1968-08-02 0.25 -0.62 -31.00 96 1968-06-07 56.50 1968-07-25 -125.00 -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 1966-04-29 -3.50 1966-08-04 0.87 4.37 218.50 98 1966-07-28 331.50 - 0.00 -113.00
1965 1965-04-29 -7.88 1965-08-04 -4.50 3.38 169.00 98 1965-08-04 169.00 1965-05-14 -68.50 -81.00
1964 1964-04-29 -4.25 1964-08-04 -2.87 1.38 69.00 98 1964-06-16 93.50 1964-05-05 -31.50 -62.00
1963 1963-04-29 -3.13 1963-08-02 -9.00 -5.87 -293.50 96 - 0.00 1963-07-26 -312.50 -312.50
1962 1962-04-30 -0.12 1962-08-03 1.25 1.37 68.50 96 1962-05-14 68.50 1962-06-05 -56.50 -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 1960-04-29 -7.00 1960-08-04 -4.50 2.50 125.00 98 1960-08-01 200.00 1960-06-01 -12.50 -75.00
1959 1959-04-29 -5.50 1959-08-04 -7.13 -1.63 -81.50 98 1959-07-20 81.50 1959-05-19 -131.50 -163.00
1958 1958-04-29 -3.87 1958-08-04 -7.62 -3.75 -187.50 98 1958-05-29 43.50 1958-07-02 -213.00 -256.50
1957 1957-04-29 -7.38 1957-08-02 -3.75 3.63 181.50 96 1957-07-16 287.50 1957-05-07 -56.00 -187.00
1956 1956-04-30 -12.88 1956-08-03 -8.50 4.38 219.00 96 1956-08-03 219.00 1956-05-15 -143.50 -162.50
1955 1955-04-29 -5.88 1955-08-04 -5.50 0.38 19.00 98 1955-08-03 25.00 1955-06-17 -112.50 -131.50
1954 1954-04-29 -6.37 1954-08-04 -6.87 -0.50 -25.00 98 1954-07-20 87.50 1954-06-14 -194.00 -194.00
1953 1953-04-29 -3.88 1953-08-04 -8.13 -4.25 -212.50 98 1953-05-04 25.50 1953-07-23 -293.50 -319.00
1952 1952-04-29 -9.63 1952-08-04 -5.00 4.63 231.50 98 1952-08-04 231.50 1952-05-19 -81.00 -200.00
1951 1951-04-30 -13.25 1951-08-03 -9.38 3.87 193.50 96 1951-06-20 362.50 1951-05-01 -18.50 -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 1949-04-29 -10.38 1949-08-04 -11.88 -1.50 -75.00 98 1949-06-27 100.50 1949-07-21 -112.00 -212.50
1948 1948-04-29 -21.75 1948-08-04 -16.88 4.87 243.50 98 1948-07-13 262.50 1948-06-23 -356.50 -438.00
1947 1947-04-29 -8.75 1947-08-04 -16.63 -7.88 -394.00 98 - 0.00 1947-07-21 -700.00 -700.00