Commodity Futures Spread Strategy for October, 2013 - Buy CLH14-CLG14

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Commodity Futures Spread Strategy for October, 2013 - Buy CLH14-CLG14

This spread combines several conditions to create good trading opportunity.

  • 93% Win in last 15 years
  • Narrow legs spread with expected lower volatility
  • Seasonal patterns correlation - All patterns up to 30 years have similar movement and correlation
  • 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 CLH14-CLG14 Entry: 2013-10-14 Exit: 2013-12-08

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% 56 11.50 9999 350.00 5.72 644.00 -230.00 805.00 0.00 698.00 -122.00 3220.00 3220.00 0.00 10.00
10 100% 10 0 30% 56 9.46 9999 360.00 4.72 530.00 -263.00 588.89 0.00 613.00 -130.00 5300.00 5300.00 0.00 50.00
15 93% 14 1 47% 56 6.48 10.38 740.00 2.59 362.67 -312.00 463.08 -290.00 482.00 -186.00 5440.00 6020.00 -580.00 360.00
20 85% 17 3 45% 56 5.04 7.73 740.00 2.47 282.50 -275.50 405.62 -210.00 402.50 -163.00 5650.00 6490.00 -840.00 360.00
30 73% 22 8 53% 56 3.67 5.75 740.00 2.12 205.67 -253.67 355.71 -144.44 315.67 -148.67 6170.00 7470.00 -1300.00 360.00
Equity for backtest
Year Enter date Enter price Exit date Exit price Points Profit Days# Best Date Best Worst Date Worst Drawdown
2013 2012-10-15 0.43 2012-12-07 0.65 0.22 220.00 54 2012-11-13 260.00 2012-10-16 -20.00 -160.00
2012 2011-10-14 0.09 2011-12-08 0.20 0.11 110.00 56 2011-12-08 110.00 2011-10-25 -350.00 -430.00
2011 2010-10-14 0.47 2010-12-08 0.47 0.00 0.00 56 2010-11-17 110.00 2010-12-06 -230.00 -340.00
2010 2009-10-14 0.46 2009-12-08 1.52 1.06 1060.00 56 2009-12-07 1180.00 2009-10-15 -10.00 -120.00
2009 2008-10-14 0.43 2008-12-08 2.26 1.83 1830.00 56 2008-12-08 1830.00 - 0.00 -100.00
2008 2007-10-15 -0.72 2007-12-07 -0.21 0.51 510.00 54 2007-12-07 510.00 2007-11-23 -360.00 -410.00
2007 2006-10-16 0.74 2006-12-08 0.82 0.08 80.00 54 2006-11-20 450.00 - 0.00 -370.00
2006 2005-10-14 0.16 2005-12-08 0.68 0.52 520.00 56 2005-12-08 520.00 2005-10-19 -240.00 -240.00
2005 2004-10-14 -0.71 2004-12-08 0.16 0.87 870.00 56 2004-12-08 870.00 2004-10-22 -50.00 -130.00
2004 2003-10-14 -0.54 2003-12-08 -0.44 0.10 100.00 56 2003-10-30 290.00 2003-11-19 -40.00 -330.00
2003 2002-10-14 -0.57 2002-12-06 -0.29 0.28 280.00 54 2002-11-15 440.00 - 0.00 -240.00
2002 2001-10-15 0.05 2001-12-07 0.28 0.23 230.00 54 2001-12-07 230.00 2001-11-09 -80.00 -190.00
2001 2000-10-16 -0.43 2000-12-08 -0.34 0.09 90.00 54 2000-12-08 90.00 2000-11-20 -740.00 -770.00
2000 1999-10-14 -0.34 1999-12-08 -0.92 -0.58 -580.00 56 1999-10-29 90.00 1999-11-24 -630.00 -720.00
1999 1998-10-14 0.19 1998-12-08 0.31 0.12 120.00 56 1998-11-30 250.00 1998-10-26 -40.00 -130.00
1998 1997-10-14 -0.08 1997-12-08 0.14 0.22 220.00 56 1997-12-01 260.00 1997-10-22 -40.00 -70.00
1997 1996-10-14 -0.60 1996-12-06 -0.64 -0.04 -40.00 54 1996-11-07 290.00 1996-12-05 -50.00 -340.00
1996 1995-10-16 -0.04 1995-12-08 -0.26 -0.22 -220.00 54 1995-10-19 10.00 1995-12-08 -220.00 -230.00
1995 1994-10-14 0.03 1994-12-08 0.04 0.01 10.00 56 1994-12-05 20.00 1994-11-03 -160.00 -160.00
1994 1993-10-14 0.08 1993-12-08 0.32 0.24 240.00 56 1993-12-08 240.00 - 0.00 -30.00
1993 1992-10-14 -0.14 1992-12-08 0.09 0.23 230.00 56 1992-12-08 230.00 1992-10-15 -10.00 -50.00
1992 1991-10-14 -0.27 1991-12-06 -0.08 0.19 190.00 54 1991-12-06 190.00 1991-11-04 -70.00 -80.00
1991 1990-10-15 -1.26 1990-12-07 -0.77 0.49 490.00 54 1990-12-06 550.00 1990-11-08 -140.00 -540.00
1990 1989-10-16 -0.19 1989-12-08 -0.15 0.04 40.00 54 1989-10-26 100.00 1989-10-19 -20.00 -120.00
1989 1988-10-14 0.00 1988-12-08 -0.10 -0.10 -100.00 56 1988-10-25 70.00 1988-12-06 -100.00 -170.00
1988 1987-10-14 -0.07 1987-12-08 -0.15 -0.08 -80.00 56 1987-11-17 50.00 1987-12-08 -80.00 -130.00
1987 1986-10-14 -0.01 1986-12-08 0.02 0.03 30.00 56 1986-11-03 60.00 1986-11-18 -90.00 -150.00
1986 1985-10-14 -0.42 1985-12-06 -0.56 -0.14 -140.00 54 - 0.00 1985-11-20 -420.00 -420.00
1985 1984-10-15 -0.05 1984-12-07 -0.14 -0.09 -90.00 54 - 0.00 1984-11-12 -190.00 -190.00
1984 1983-10-14 -0.13 1983-12-08 -0.18 -0.05 -50.00 56 1983-11-10 170.00 1983-12-07 -80.00 -250.00