Futures Spread Strategy For May, 2018 - Buy CTH19-CTV18

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Futures Spread Strategy For May, 2018 - Buy CTH19-CTV18

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

  • 100% Win in last 15 years
  • The spread is at the bottom of the narrow range - except in 2011
  • All seasonal patterns up to 30 years have similar movement and correlation over 84%
  • High RRR

Backtest BUY CTH19-CTV18 Entry: 2018-05-17 Exit: 2018-06-04

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 80% 19 14.26 9999 175.00 17.51 271.00 -443.00 271.00 0.00 613.00 -35.00 1355.00 1355.00 0.00 175.00
10 100% 10 0 80% 19 25.74 9999 1060.00 3.46 489.00 -429.00 489.00 0.00 660.00 -190.50 4890.00 4890.00 0.00 1060.00
15 100% 15 0 60% 19 22.79 9999 1060.00 4.14 433.00 -353.33 433.00 0.00 585.33 -141.33 6495.00 6495.00 0.00 1060.00
20 90% 18 2 75% 19 15.88 6.25 1060.00 3.02 301.75 -396.00 399.17 -575.00 526.25 -174.50 6035.00 7185.00 -1150.00 1060.00
30 73% 22 8 70% 19 10.32 2.74 1060.00 2.01 196.17 -404.33 421.14 -422.50 450.33 -224.00 5885.00 9265.00 -3380.00 1060.00
51 69% 35 16 67% 19 9.98 3.26 1060.00 2.24 189.71 -339.31 399.00 -268.12 409.22 -182.45 9675.00 13965.00 -4290.00 1060.00
Equity for backtest
Year Enter date Enter price Exit date Exit price Points Profit Days# Best Date Best Worst Date Worst Drawdown
2017 2017-05-17 -2.81 2017-06-02 -2.39 0.42 210.00 17 2017-05-25 655.00 - 0.00 -645.00
2016 2016-05-17 -0.55 2016-06-03 -0.02 0.53 265.00 18 2016-06-03 265.00 - 0.00 -50.00
2015 2015-05-18 -1.56 2015-06-04 -1.45 0.11 55.00 18 2015-05-28 775.00 - 0.00 -720.00
2014 2014-05-19 -0.31 2014-06-04 1.20 1.51 755.00 17 2014-06-04 755.00 2014-05-22 -175.00 -255.00
2013 2013-05-17 -0.53 2013-06-04 -0.39 0.14 70.00 19 2013-05-29 615.00 - 0.00 -545.00
2012 2012-05-17 -0.73 2012-06-04 1.49 2.22 1110.00 19 2012-06-04 1110.00 2012-05-22 -80.00 -185.00
2011 2011-05-17 -20.40 2011-06-03 -18.61 1.79 895.00 18 2011-06-03 895.00 2011-06-01 -1060.00 -1060.00
2010 2010-05-17 1.42 2010-06-04 2.09 0.67 335.00 19 2010-06-04 335.00 2010-05-20 -590.00 -590.00
2009 2009-05-18 2.91 2009-06-04 4.04 1.13 565.00 18 2009-06-04 565.00 - 0.00 -145.00
2008 2008-05-19 8.05 2008-06-04 9.31 1.26 630.00 17 2008-06-04 630.00 - 0.00 -95.00
2007 2007-05-17 4.30 2007-06-04 4.85 0.55 275.00 19 2007-06-01 300.00 - 0.00 -105.00
2006 2006-05-17 3.77 2006-06-02 4.10 0.33 165.00 17 2006-05-30 265.00 - 0.00 -100.00
2005 2005-05-17 2.50 2005-06-03 3.05 0.55 275.00 18 2005-06-01 350.00 2005-05-19 -130.00 -265.00
2004 2004-05-17 0.52 2004-06-04 1.85 1.33 665.00 19 2004-06-02 890.00 2004-05-24 -60.00 -390.00
2003 2003-05-19 3.65 2003-06-04 4.10 0.45 225.00 17 2003-06-03 375.00 2003-05-20 -25.00 -150.00
2002 2002-05-17 3.78 2002-06-04 3.45 -0.33 -165.00 19 2002-05-23 110.00 2002-05-30 -165.00 -275.00
2001 2001-05-17 3.15 2001-06-04 3.55 0.40 200.00 19 2001-05-25 410.00 - 0.00 -210.00
2000 2000-05-17 1.10 2000-06-02 2.00 0.90 450.00 17 2000-06-02 450.00 2000-05-22 -50.00 -205.00
1999 1999-05-17 0.67 1999-06-04 0.75 0.08 40.00 19 1999-05-28 775.00 1999-06-03 -35.00 -810.00
1998 1998-05-18 2.60 1998-06-04 0.63 -1.97 -985.00 18 - 0.00 1998-06-03 -1120.00 -1120.00
1997 1997-05-19 2.10 1997-06-04 1.98 -0.12 -60.00 17 1997-05-30 25.00 1997-05-28 -110.00 -110.00
1996 1996-05-17 0.65 1996-06-04 -0.15 -0.80 -400.00 19 1996-05-31 185.00 1996-06-04 -400.00 -585.00
1995 1995-05-17 -3.88 1995-06-02 -4.70 -0.82 -410.00 17 - 0.00 1995-05-24 -1070.00 -1070.00
1994 1994-05-17 -0.32 1994-06-03 -0.90 -0.58 -290.00 18 - 0.00 1994-05-19 -390.00 -390.00
1993 1993-05-17 0.23 1993-06-04 0.45 0.22 110.00 19 1993-06-03 120.00 1993-05-19 -120.00 -140.00
1992 1992-05-18 1.66 1992-06-04 1.21 -0.45 -225.00 18 1992-05-19 170.00 1992-06-03 -255.00 -425.00
1991 1991-05-17 -6.15 1991-06-04 -3.25 2.90 1450.00 19 1991-06-03 1575.00 1991-05-20 -40.00 -135.00
1990 1990-05-17 -1.89 1990-06-04 -3.58 -1.69 -845.00 19 1990-05-18 55.00 1990-06-04 -845.00 -900.00
1989 1989-05-17 0.22 1989-06-02 0.92 0.70 350.00 17 1989-05-25 530.00 - 0.00 -185.00
1988 1988-05-17 -1.10 1988-06-03 -0.76 0.34 170.00 18 1988-05-20 325.00 - 0.00 -270.00
1987 1987-05-18 -0.05 1987-06-04 -0.18 -0.13 -65.00 18 1987-05-20 135.00 1987-06-01 -200.00 -335.00
1986 1986-05-19 0.97 1986-06-04 1.28 0.31 155.00 17 1986-05-29 160.00 - 0.00 -105.00
1985 1985-05-17 1.09 1985-06-04 1.85 0.76 380.00 19 1985-06-04 380.00 1985-05-20 -35.00 -50.00
1984 1984-05-17 -2.06 1984-06-04 -1.80 0.26 130.00 19 1984-06-01 130.00 1984-05-25 -405.00 -405.00
1983 1983-05-17 1.48 1983-06-03 1.96 0.48 240.00 18 1983-05-27 435.00 1983-05-19 -165.00 -200.00
1982 1982-05-17 3.26 1982-06-04 3.52 0.26 130.00 19 1982-06-03 190.00 1982-05-27 -25.00 -85.00
1981 1981-05-18 -0.48 1981-06-04 -0.56 -0.08 -40.00 18 1981-06-03 195.00 1981-05-26 -235.00 -275.00
1980 1980-05-19 -2.12 1980-06-04 -0.23 1.89 945.00 17 1980-06-03 1235.00 1980-05-21 -45.00 -360.00
1979 1979-05-17 0.19 1979-06-04 -0.47 -0.66 -330.00 19 1979-05-23 245.00 1979-06-04 -330.00 -575.00
1978 1978-05-17 1.97 1978-06-02 2.62 0.65 325.00 17 1978-06-01 355.00 - 0.00 -60.00
1977 1977-05-17 -3.67 1977-06-03 -0.50 3.17 1585.00 18 1977-06-02 1635.00 - 0.00 -175.00
1976 1976-05-17 -1.25 1976-06-04 -1.63 -0.38 -190.00 19 1976-05-18 250.00 1976-05-27 -365.00 -615.00
1975 1975-05-19 1.60 1975-06-04 1.57 -0.03 -15.00 17 1975-05-28 50.00 1975-06-02 -100.00 -150.00
1974 1974-05-17 0.50 1974-06-04 0.55 0.05 25.00 19 1974-05-28 420.00 1974-05-21 -40.00 -395.00
1973 1973-05-17 -3.70 1973-06-04 -3.45 0.25 125.00 19 1973-06-01 440.00 - 0.00 -315.00
1972 1972-05-17 -2.60 1972-06-02 -2.92 -0.32 -160.00 17 - 0.00 1972-05-18 -325.00 -325.00
1971 1971-05-17 1.00 1971-06-04 0.94 -0.06 -30.00 19 1971-05-27 275.00 1971-05-20 -100.00 -350.00
1970 1970-05-18 0.47 1970-06-04 0.62 0.15 75.00 18 1970-06-04 75.00 1970-06-01 -25.00 -100.00
1969 1969-05-19 0.69 1969-06-04 0.53 -0.16 -80.00 17 - 0.00 1969-06-04 -80.00 -80.00
1968 1968-05-17 0.27 1968-06-04 0.29 0.02 10.00 19 1968-05-27 80.00 1968-05-24 -60.00 -95.00
1967 1967-05-17 0.00 1967-06-02 1.15 1.15 575.00 17 1967-06-01 675.00 1967-05-22 -50.00 -125.00