Futures Spread Strategy For May, 2021 - Buy CLJ22-CLV21

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Futures Spread Strategy For May, 2021 - Buy CLJ22-CLV21

This spread combines several conditions to create good trading opportunity.

  • 93% Win in last 15years
  • High RRR
  • Price action - moving around strong support level
  • Current year moving in historical lows - only 4 years had lower values
  • Low margin

Backtest Buy CLJ22-CLV21 Entry: 2021-05-23 Exit: 2021-06-05

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 80% 14 24.29 2.75 110.00 2.85 340.00 -376.00 667.50 -970.00 666.00 -234.00 1700.00 2670.00 -970.00 90.00
10 90% 9 1 70% 14 27.14 4.92 590.00 3.01 380.00 -338.00 530.00 -970.00 593.00 -197.00 3800.00 4770.00 -970.00 90.00
15 93% 14 1 67% 14 29.81 7.45 590.00 3.05 417.33 -368.67 516.43 -970.00 620.67 -203.33 6260.00 7230.00 -970.00 510.00
20 85% 17 3 65% 14 24.64 4.22 590.00 2.56 345.00 -377.00 531.76 -713.33 563.50 -220.50 6900.00 9040.00 -2140.00 510.00
30 70% 21 9 57% 14 18.45 3.94 590.00 2.43 258.33 -295.67 494.76 -293.33 432.00 -178.00 7750.00 10390.00 -2640.00 510.00
37 68% 25 12 51% 14 17.30 3.90 590.00 2.46 242.16 -268.11 502.08 -237.69 402.70 -163.78 8960.00 12050.00 -3090.00 510.00
Equity for backtest
Year Enter date Enter price Exit date Exit price Points Profit Days# Best Date Best Worst Date Worst Drawdown
2020 2020-05-26 1.72 2020-06-05 0.75 -0.97 -970.00 11 2020-05-27 380.00 2020-06-05 -970.00 -1350.00
2019 2019-05-23 -1.36 2019-06-05 -0.68 0.68 680.00 14 2019-06-05 680.00 - 0.00 -50.00
2018 2018-05-23 -3.05 2018-06-05 -1.70 1.35 1350.00 14 2018-06-04 1630.00 - 0.00 -280.00
2017 2017-05-23 0.13 2017-06-05 0.62 0.49 490.00 14 2017-06-05 490.00 2017-05-24 -90.00 -90.00
2016 2016-05-23 1.00 2016-06-03 1.15 0.15 150.00 12 2016-06-03 150.00 2016-05-25 -110.00 -110.00
2015 2015-05-26 1.66 2015-06-05 1.78 0.12 120.00 11 2015-06-05 120.00 2015-06-02 -590.00 -590.00
2014 2014-05-23 -5.70 2014-06-05 -5.01 0.69 690.00 14 2014-06-05 690.00 - 0.00 -250.00
2013 2013-05-23 -2.69 2013-06-05 -2.59 0.10 100.00 14 2013-05-31 260.00 2013-05-28 -80.00 -160.00
2012 2012-05-23 0.63 2012-06-05 0.81 0.18 180.00 14 2012-06-01 520.00 2012-05-24 -130.00 -340.00
2011 2011-05-23 0.56 2011-06-03 1.57 1.01 1010.00 12 2011-06-03 1010.00 2011-05-24 -0.00 -160.00
2010 2010-05-24 2.67 2010-06-04 3.54 0.87 870.00 12 2010-06-04 870.00 2010-05-26 -50.00 -120.00
2009 2009-05-26 2.67 2009-06-05 3.79 1.12 1120.00 11 2009-06-05 1120.00 2009-06-01 -510.00 -510.00
2008 2008-05-23 -1.13 2008-06-05 -0.74 0.39 390.00 14 2008-06-04 920.00 2008-05-28 -160.00 -700.00
2007 2007-05-23 2.11 2007-06-05 2.18 0.07 70.00 14 2007-05-29 460.00 2007-06-04 -20.00 -480.00
2006 2006-05-23 1.24 2006-06-05 1.25 0.01 10.00 14 2006-06-05 10.00 2006-05-30 -340.00 -340.00
2005 2005-05-23 0.33 2005-06-03 -0.06 -0.39 -390.00 12 - 0.00 2005-06-01 -580.00 -580.00
2004 2004-05-24 -3.29 2004-06-04 -2.41 0.88 880.00 12 2004-06-04 880.00 - 0.00 -350.00
2003 2003-05-23 -1.54 2003-06-05 -2.32 -0.78 -780.00 14 - 0.00 2003-06-05 -780.00 -780.00
2002 2002-05-23 -1.10 2002-06-05 -0.88 0.22 220.00 14 2002-05-30 230.00 - 0.00 -160.00
2001 2001-05-23 -2.31 2001-06-05 -1.60 0.71 710.00 14 2001-06-01 850.00 - 0.00 -140.00
2000 2000-05-23 -2.37 2000-06-05 -2.43 -0.06 -60.00 14 - 0.00 2000-05-25 -290.00 -290.00
1999 1999-05-24 -0.38 1999-06-04 -0.40 -0.02 -20.00 12 1999-06-01 140.00 1999-05-26 -60.00 -160.00
1998 1998-05-26 0.93 1998-06-05 1.06 0.13 130.00 11 1998-06-03 150.00 1998-05-27 -60.00 -110.00
1997 1997-05-23 -0.66 1997-06-05 0.00 0.66 660.00 14 1997-06-05 660.00 - 0.00 -0.00
1996 1996-05-23 -1.14 1996-06-05 -0.74 0.40 400.00 14 1996-06-05 400.00 - 0.00 -70.00
1995 1995-05-23 -0.62 1995-06-05 -0.46 0.16 160.00 14 1995-05-31 270.00 - 0.00 -110.00
1994 1994-05-23 -0.09 1994-06-03 -0.12 -0.03 -30.00 12 1994-05-26 70.00 1994-06-02 -40.00 -110.00
1993 1993-05-24 0.04 1993-06-04 0.03 -0.01 -10.00 12 - 0.00 1993-05-27 -40.00 -40.00
1992 1992-05-26 -0.51 1992-06-05 -0.84 -0.33 -330.00 11 - 0.00 1992-06-05 -330.00 -330.00
1991 1991-05-23 -0.08 1991-06-05 -0.13 -0.05 -50.00 14 - 0.00 1991-06-04 -110.00 -110.00
1990 1990-05-23 0.26 1990-06-05 1.07 0.81 810.00 14 1990-06-05 810.00 - 0.00 -70.00
1989 1989-05-23 -0.79 1989-06-05 -0.79 0.00 0.00 14 1989-06-02 60.00 1989-05-30 -150.00 -150.00
1988 1988-05-23 0.08 1988-06-03 -0.10 -0.18 -180.00 12 - 0.00 1988-06-02 -200.00 -200.00
1987 1987-05-26 -0.26 1987-06-05 -0.13 0.13 130.00 11 1987-06-05 130.00 - 0.00 -40.00
1986 1986-05-23 -0.61 1986-06-05 0.11 0.72 720.00 14 1986-06-04 890.00 - 0.00 -170.00
1985 1985-05-23 -0.26 1985-06-05 -0.51 -0.25 -250.00 14 - 0.00 1985-06-04 -350.00 -350.00
1984 1984-05-23 -0.21 1984-06-05 -0.23 -0.02 -20.00 14 1984-05-29 50.00 1984-06-05 -20.00 -70.00