Futures Spread Strategy For February, 2016 - Buy CLV16-CLF17

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Futures Spread Strategy For February, 2016 - Buy CLV16-CLF17

This spread combines several conditions to create good trading opportunity.

  • 80% Win in last 15 years
  • High RRR
  • Seasonal patterns correlation - All patterns up to 20 years have similar movement and correlation
  • Current year is moving around historical lows with nice space for profit
  • Entry on the strong level of support

Backtest Buy CLV16-CLF17 Entry: 2016-02-04 Exit: 2016-03-12

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% 37 11.89 111.00 190.00 9.27 440.00 -608.00 555.00 -20.00 964.00 -104.00 2200.00 2220.00 -20.00 190.00
10 80% 8 2 70% 37 11.30 17.72 360.00 5.60 418.00 -460.00 553.75 -125.00 773.00 -138.00 4180.00 4430.00 -250.00 360.00
15 80% 12 3 73% 37 9.42 13.76 360.00 5.41 348.67 -362.00 470.00 -136.67 620.67 -114.67 5230.00 5640.00 -410.00 360.00
20 75% 15 5 70% 37 6.93 4.66 360.00 3.73 256.50 -338.50 435.33 -280.00 520.00 -139.50 5130.00 6530.00 -1400.00 360.00
30 63% 19 11 53% 37 4.14 2.95 360.00 2.39 153.33 -300.33 366.32 -214.55 371.33 -155.67 4600.00 6960.00 -2360.00 360.00
32 59% 19 13 50% 37 3.83 2.86 360.00 2.35 141.56 -294.06 366.32 -186.92 355.31 -151.25 4530.00 6960.00 -2430.00 360.00
Equity for backtest
Year Enter date Enter price Exit date Exit price Points Profit Days# Best Date Best Worst Date Worst Drawdown
2015 2015-02-04 -2.19 2015-03-12 -1.96 0.23 230.00 37 2015-02-17 810.00 - 0.00 -580.00
2014 2014-02-04 1.96 2014-03-12 2.19 0.23 230.00 37 2014-03-03 1140.00 2014-02-05 -10.00 -910.00
2013 2013-02-04 1.05 2013-03-12 1.03 -0.02 -20.00 37 2013-02-12 140.00 2013-02-25 -320.00 -460.00
2012 2012-02-06 -0.48 2012-03-12 0.23 0.71 710.00 36 2012-02-24 1260.00 - 0.00 -670.00
2011 2011-02-04 -1.00 2011-03-11 0.05 1.05 1050.00 36 2011-03-07 1470.00 2011-02-18 -190.00 -420.00
2010 2010-02-04 -1.35 2010-03-12 -0.71 0.64 640.00 37 2010-03-12 640.00 2010-02-05 -10.00 -80.00
2009 2009-02-04 -2.09 2009-03-12 -1.41 0.68 680.00 37 2009-03-06 960.00 2009-02-23 -360.00 -550.00
2008 2008-02-04 0.42 2008-03-12 1.24 0.82 820.00 38 2008-03-10 1120.00 2008-02-06 -50.00 -310.00
2007 2007-02-05 -0.95 2007-03-12 -0.88 0.07 70.00 36 2007-02-16 190.00 - 0.00 -180.00
2006 2006-02-06 -0.40 2006-03-10 -0.63 -0.23 -230.00 33 - 0.00 2006-02-23 -440.00 -440.00
2005 2005-02-04 0.85 2005-03-11 1.06 0.21 210.00 36 2005-02-23 410.00 2005-02-09 -80.00 -200.00
2004 2004-02-04 0.66 2004-03-12 0.96 0.30 300.00 38 2004-03-01 380.00 2004-02-06 -20.00 -110.00
2003 2003-02-04 1.17 2003-03-12 1.51 0.34 340.00 37 2003-03-07 370.00 - 0.00 -160.00
2002 2002-02-04 -0.04 2002-03-12 0.32 0.36 360.00 37 2002-03-12 360.00 2002-02-07 -30.00 -90.00
2001 2001-02-05 0.96 2001-03-12 0.80 -0.16 -160.00 36 2001-02-08 60.00 2001-03-01 -210.00 -270.00
2000 2000-02-04 1.19 2000-03-10 1.39 0.20 200.00 36 2000-03-07 330.00 2000-02-08 -20.00 -130.00
1999 1999-02-04 -0.42 1999-03-12 0.00 0.42 420.00 37 1999-03-12 420.00 - 0.00 -40.00
1998 1998-02-04 -0.23 1998-03-12 -0.49 -0.26 -260.00 37 1998-02-06 70.00 1998-03-09 -280.00 -350.00
1997 1997-02-04 0.80 1997-03-12 0.07 -0.73 -730.00 37 - 0.00 1997-03-11 -770.00 -770.00
1996 1996-02-05 0.02 1996-03-12 0.29 0.27 270.00 37 1996-03-12 270.00 1996-02-07 -0.00 -50.00
1995 1995-02-06 0.11 1995-03-10 0.05 -0.06 -60.00 33 1995-02-27 30.00 1995-03-10 -60.00 -90.00
1994 1994-02-04 -0.36 1994-03-11 -0.43 -0.07 -70.00 36 - 0.00 1994-02-22 -180.00 -180.00
1993 1993-02-04 0.03 1993-03-12 0.06 0.03 30.00 37 1993-03-05 30.00 1993-02-18 -30.00 -40.00
1992 1992-02-04 -0.01 1992-03-12 0.03 0.04 40.00 38 1992-02-10 80.00 1992-02-26 -60.00 -140.00
1991 1991-02-04 0.00 1991-03-12 -0.11 -0.11 -110.00 37 1991-02-06 30.00 1991-02-22 -320.00 -350.00
1990 1990-02-05 0.22 1990-03-12 0.07 -0.15 -150.00 36 1990-02-06 40.00 1990-02-26 -250.00 -290.00
1989 1989-02-06 0.12 1989-03-10 0.25 0.13 130.00 33 1989-03-10 130.00 1989-02-09 -20.00 -40.00
1988 1988-02-04 0.30 1988-03-11 0.03 -0.27 -270.00 37 1988-02-05 0.00 1988-03-09 -300.00 -300.00
1987 1987-02-04 -0.12 1987-03-12 0.11 0.23 230.00 37 1987-03-11 280.00 1987-03-02 -100.00 -130.00
1986 1986-02-04 -0.12 1986-03-12 -0.42 -0.30 -300.00 37 1986-02-07 120.00 1986-03-03 -560.00 -680.00
1985 1985-02-04 0.00 1985-03-12 -0.03 -0.03 -30.00 37 1985-02-11 100.00 1985-02-22 -80.00 -180.00
1984 1984-02-06 0.00 1984-03-12 -0.04 -0.04 -40.00 36 1984-03-06 130.00 1984-03-09 -90.00 -220.00