Futures Spread Strategy For November, 2017 - Buy CLK18-CLF18

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Futures Spread Strategy For November, 2017 - Buy CLK18-CLF18

This spread combines several conditions to create good trading opportunity.

  • 93% Win in last 15 years
  • High RRR
  • Seasonal patterns correlation vs spread - over 90%
  • Price action - the spread reach support at time of entry
  • Low margin
  • Stoploss under the support

Backtest Buy CLK18-CLF18 Entry: 2017-11-12 Exit: 2017-11-30

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 60% 27 31.48 9999 320.00 7.07 850.00 -448.00 850.00 0.00 948.00 -134.00 4250.00 4250.00 0.00 130.00
10 100% 10 0 60% 27 38.33 9999 320.00 10.64 1035.00 -484.00 1035.00 0.00 1160.00 -109.00 10350.00 10350.00 0.00 130.00
15 93% 14 1 53% 27 28.79 49.58 320.00 5.40 777.33 -531.33 850.00 -240.00 982.00 -182.00 11660.00 11900.00 -240.00 130.00
20 85% 17 3 70% 27 17.98 3.41 610.00 2.15 485.50 -666.50 808.24 -1343.33 837.00 -389.00 9710.00 13740.00 -4030.00 210.00
30 77% 23 7 60% 27 13.22 3.11 610.00 2.23 357.00 -582.00 686.52 -725.71 701.33 -314.67 10710.00 15790.00 -5080.00 280.00
34 74% 25 9 56% 27 11.36 2.83 610.00 2.03 306.76 -561.76 644.80 -632.22 635.59 -312.35 10430.00 16120.00 -5690.00 280.00
Equity for backtest
Year Enter date Enter price Exit date Exit price Points Profit Days# Best Date Best Worst Date Worst Drawdown
2017 2016-11-02 2.24 2016-11-28 3.05 0.81 810.00 27 2016-11-25 890.00 - 0.00 -420.00
2016 2015-11-02 2.61 2015-11-27 4.06 1.45 1450.00 26 2015-11-24 1670.00 2015-11-04 -130.00 -230.00
2015 2014-11-03 0.02 2014-11-28 0.74 0.72 720.00 26 2014-11-28 720.00 2014-11-05 -210.00 -480.00
2014 2013-11-04 -0.55 2013-11-27 0.62 1.17 1170.00 24 2013-11-27 1170.00 2013-11-06 -10.00 -500.00
2013 2012-11-02 2.25 2012-11-28 2.35 0.10 100.00 27 2012-11-13 290.00 2012-11-19 -320.00 -610.00
2012 2011-11-02 -0.53 2011-11-28 0.16 0.69 690.00 27 2011-11-23 1140.00 2011-11-16 -40.00 -450.00
2011 2010-11-02 1.67 2010-11-26 1.76 0.09 90.00 25 2010-11-17 400.00 2010-11-10 -290.00 -380.00
2010 2009-11-02 2.35 2009-11-27 4.10 1.75 1750.00 26 2009-11-27 1750.00 - 0.00 -140.00
2009 2008-11-03 2.84 2008-11-28 4.86 2.02 2020.00 26 2008-11-28 2020.00 - 0.00 -360.00
2008 2007-11-02 -3.88 2007-11-28 -2.33 1.55 1550.00 27 2007-11-28 1550.00 2007-11-20 -90.00 -1270.00
2007 2006-11-02 3.73 2006-11-28 3.77 0.04 40.00 27 2006-11-20 710.00 2006-11-09 -270.00 -670.00
2006 2005-11-02 1.03 2005-11-28 1.57 0.54 540.00 27 2005-11-21 750.00 2005-11-04 -200.00 -440.00
2005 2004-11-02 -1.62 2004-11-24 -0.88 0.74 740.00 23 2004-11-23 960.00 2004-11-03 -150.00 -470.00
2004 2003-11-03 -1.11 2003-11-26 -1.35 -0.24 -240.00 24 - 0.00 2003-11-20 -1020.00 -1020.00
2003 2002-11-04 -1.31 2002-11-27 -1.08 0.23 230.00 24 2002-11-14 710.00 - 0.00 -530.00
2002 2001-11-02 0.50 2001-11-28 0.66 0.16 160.00 27 2001-11-19 330.00 2001-11-09 -610.00 -610.00
2001 2000-11-02 -2.38 2000-11-28 -3.68 -1.30 -1300.00 27 - 0.00 2000-11-20 -1870.00 -1870.00
2000 1999-11-02 -1.14 1999-11-24 -3.63 -2.49 -2490.00 23 - 0.00 1999-11-24 -2490.00 -2490.00
1999 1998-11-02 0.61 1998-11-25 1.50 0.89 890.00 24 1998-11-25 890.00 - 0.00 -80.00
1998 1997-11-03 -0.35 1997-11-26 0.44 0.79 790.00 24 1997-11-26 790.00 1997-11-14 -80.00 -310.00
1997 1996-11-04 -1.28 1996-11-27 -1.64 -0.36 -360.00 24 1996-11-07 110.00 1996-11-26 -470.00 -580.00
1996 1995-11-02 -0.45 1995-11-28 -0.77 -0.32 -320.00 27 1995-11-07 80.00 1995-11-28 -320.00 -400.00
1995 1994-11-02 -0.51 1994-11-28 -0.08 0.43 430.00 27 1994-11-16 530.00 1994-11-03 -10.00 -170.00
1994 1993-11-02 0.62 1993-11-24 0.85 0.23 230.00 23 1993-11-24 230.00 1993-11-03 -80.00 -80.00
1993 1992-11-02 -0.18 1992-11-25 -0.08 0.10 100.00 24 1992-11-13 240.00 - 0.00 -170.00
1992 1991-11-04 -1.24 1991-11-27 -0.54 0.70 700.00 24 1991-11-26 710.00 - 0.00 -100.00
1991 1990-11-02 -4.92 1990-11-28 -4.45 0.47 470.00 27 1990-11-20 1970.00 1990-11-08 -280.00 -1720.00
1990 1989-11-02 -0.59 1989-11-28 -0.63 -0.04 -40.00 27 1989-11-14 170.00 1989-11-21 -130.00 -300.00
1989 1988-11-02 0.15 1988-11-28 -0.18 -0.33 -330.00 27 1988-11-03 10.00 1988-11-21 -360.00 -370.00
1988 1987-11-02 -0.32 1987-11-25 -0.20 0.12 120.00 24 1987-11-18 250.00 1987-11-03 -10.00 -240.00
1987 1986-11-03 0.25 1986-11-26 0.09 -0.16 -160.00 24 - 0.00 1986-11-18 -500.00 -500.00
1986 1985-11-04 -2.39 1985-11-27 -2.84 -0.45 -450.00 24 1985-11-08 130.00 1985-11-20 -550.00 -680.00
1985 1984-11-02 -0.57 1984-11-28 -0.41 0.16 160.00 27 1984-11-28 160.00 1984-11-05 -40.00 -90.00
1984 1983-11-02 -0.46 1983-11-28 -0.29 0.17 170.00 27 1983-11-10 280.00 1983-11-15 -90.00 -370.00