Futures Spread Strategy For September, 2019 - Buy CLK20-CLH20

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Futures Spread Strategy For September, 2019 - Buy CLK20-CLH20

This spread combines several conditions to create good trading opportunity.

  • 93% Win in last 15years
  • High RRR
  • Price action - currently at strong support after role reversal
  • Low margin

Backtest Buy CLK20-CLH20 Entry: 2019-09-06 Exit: 2020-02-15

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 60% 163 8.20 10.54 660.00 3.96 1336.00 -692.00 1845.00 -700.00 1696.00 -428.00 6680.00 7380.00 -700.00 660.00
10 90% 9 1 40% 163 9.45 23.00 1040.00 4.94 1540.00 -946.00 1788.89 -700.00 2065.00 -418.00 15400.00 16100.00 -700.00 710.00
15 93% 14 1 40% 163 11.08 39.71 1300.00 5.77 1806.67 -1150.00 1985.71 -700.00 2551.33 -442.00 27100.00 27800.00 -700.00 710.00
20 80% 16 4 40% 163 7.71 6.89 1300.00 3.24 1257.50 -1269.00 1838.75 -1067.50 2071.50 -640.00 25150.00 29420.00 -4270.00 800.00
30 70% 21 9 47% 163 4.72 3.98 1300.00 2.21 770.00 -1161.33 1469.52 -862.22 1507.67 -682.33 23100.00 30860.00 -7760.00 800.00
35 66% 23 12 54% 163 3.80 3.18 1300.00 1.90 619.71 -1134.00 1376.09 -830.00 1348.00 -708.00 21690.00 31650.00 -9960.00 1010.00
Equity for backtest
Year Enter date Enter price Exit date Exit price Points Profit Days# Best Date Best Worst Date Worst Drawdown
2019 2018-09-06 -0.46 2019-02-15 0.95 1.41 1410.00 163 2019-02-13 1440.00 2018-09-19 -30.00 -350.00
2018 2017-09-06 0.14 2018-02-15 -0.56 -0.70 -700.00 163 2017-09-08 100.00 2018-02-02 -980.00 -1080.00
2017 2016-09-06 0.80 2017-02-15 0.88 0.08 80.00 163 2017-01-09 800.00 2016-10-11 -190.00 -720.00
2016 2015-09-08 0.93 2016-02-12 4.41 3.48 3480.00 158 2016-02-11 3620.00 2015-10-08 -280.00 -530.00
2015 2014-09-08 -0.23 2015-02-13 2.18 2.41 2410.00 159 2015-02-12 2520.00 2014-09-29 -660.00 -780.00
2014 2013-09-06 -2.70 2014-02-14 -0.83 1.87 1870.00 162 2013-11-29 2750.00 - 0.00 -1740.00
2013 2012-09-06 0.22 2013-02-15 1.06 0.84 840.00 163 2012-11-13 990.00 2012-09-14 -200.00 -570.00
2012 2011-09-06 0.50 2012-02-15 0.82 0.32 320.00 163 2012-02-06 650.00 2011-10-25 -1040.00 -1190.00
2011 2010-09-07 0.90 2011-02-15 6.54 5.64 5640.00 162 2011-02-14 6550.00 2010-12-06 -710.00 -1180.00
2010 2009-09-08 0.85 2010-02-12 0.90 0.05 50.00 158 2009-12-07 1230.00 2010-02-05 -90.00 -1320.00
2009 2008-09-08 0.59 2009-02-13 7.43 6.84 6840.00 159 2009-02-12 11350.00 2008-09-24 -350.00 -4510.00
2008 2007-09-06 -0.53 2008-02-15 -0.34 0.19 190.00 163 2008-02-07 620.00 2007-11-26 -1300.00 -1330.00
2007 2006-09-06 0.81 2007-02-15 1.17 0.36 360.00 163 2007-01-09 1140.00 - 0.00 -810.00
2006 2005-09-06 -0.11 2006-02-15 2.68 2.79 2790.00 163 2006-02-15 2790.00 - 0.00 -320.00
2005 2004-09-07 -0.74 2005-02-15 0.78 1.52 1520.00 162 2005-02-07 1720.00 2004-10-22 -800.00 -820.00
2004 2003-09-08 -0.61 2004-02-13 -1.03 -0.42 -420.00 159 2003-09-19 340.00 2004-02-02 -1620.00 -1960.00
2003 2002-09-06 -0.87 2003-02-14 -2.76 -1.89 -1890.00 162 2002-11-14 630.00 2003-02-14 -1890.00 -2520.00
2002 2001-09-06 -0.60 2002-02-15 0.32 0.92 920.00 163 2002-01-17 1240.00 2001-09-14 -290.00 -330.00
2001 2000-09-06 -1.05 2001-02-15 -0.35 0.70 700.00 163 2000-10-05 700.00 2000-11-22 -980.00 -1680.00
2000 1999-09-07 -0.75 2000-02-15 -2.01 -1.26 -1260.00 162 1999-10-11 250.00 2000-02-10 -1390.00 -1640.00
1999 1998-09-08 0.30 1999-02-12 0.21 -0.09 -90.00 158 1998-11-30 460.00 1999-01-22 -270.00 -730.00
1998 1997-09-08 0.01 1998-02-13 0.49 0.48 480.00 159 1998-01-23 510.00 1997-10-03 -400.00 -420.00
1997 1996-09-06 -0.77 1997-02-14 -0.70 0.07 70.00 162 1997-02-07 340.00 1997-01-06 -620.00 -800.00
1996 1995-09-06 -0.10 1996-02-15 -1.10 -1.00 -1000.00 163 1995-10-05 100.00 1996-02-15 -1000.00 -1100.00
1995 1994-09-06 0.05 1995-02-15 -0.23 -0.28 -280.00 163 1994-12-15 160.00 1995-02-03 -580.00 -740.00
1994 1993-09-07 0.26 1994-02-15 0.47 0.21 210.00 162 1993-12-27 370.00 1994-02-03 -350.00 -720.00
1993 1992-09-08 -0.23 1993-02-12 0.00 0.23 230.00 158 1993-01-13 570.00 1992-10-15 -50.00 -360.00
1992 1991-09-06 -0.20 1992-02-14 0.25 0.45 450.00 162 1992-02-03 480.00 1991-10-18 -400.00 -420.00
1991 1990-09-06 -1.16 1991-02-15 -2.79 -1.63 -1630.00 163 1991-01-18 800.00 1991-01-16 -2780.00 -2940.00
1990 1989-09-06 -0.11 1990-02-15 -0.60 -0.49 -490.00 163 1989-09-19 10.00 1990-01-26 -1220.00 -1230.00
1989 1988-09-06 0.10 1989-02-15 -1.27 -1.37 -1370.00 163 1988-10-05 60.00 1989-02-15 -1370.00 -1430.00
1988 1987-09-08 0.02 1988-02-12 -0.04 -0.06 -60.00 158 - 0.00 1988-01-21 -310.00 -310.00
1987 1986-09-08 -0.14 1987-02-13 -0.12 0.02 20.00 159 1986-11-07 240.00 1987-01-14 -520.00 -760.00
1986 1985-09-06 -0.44 1986-02-14 0.33 0.77 770.00 162 1986-02-04 1410.00 1986-01-07 -1010.00 -1010.00
1985 1984-09-06 -0.28 1985-02-15 -1.05 -0.77 -770.00 163 1984-10-08 240.00 1985-02-14 -1100.00 -1340.00