Futures Spread Strategy For February, 2019 - Buy CLV19-CLF20

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Futures Spread Strategy For February, 2019 - Buy CLV19-CLF20

This spread combines several conditions to create good trading opportunity.

  • 90% Win in last 20years
  • High RRR
  • Seasonal patterns correlation vs spread - over 90%
  • Price action - inverted head & shoulders
  • Low margin

Backtest Buy CLV19-CLF20 Entry: 2019-02-11 Exit: 2019-03-07

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% 25 16.40 9999 60.00 48.67 410.00 -262.00 410.00 0.00 584.00 -12.00 2050.00 2050.00 0.00 0.00
10 90% 9 1 60% 25 21.52 45.83 190.00 9.01 538.00 -306.00 611.11 -120.00 712.00 -79.00 5380.00 5500.00 -120.00 190.00
15 93% 14 1 47% 25 17.12 54.50 240.00 7.65 428.00 -269.33 467.14 -120.00 556.00 -72.67 6420.00 6540.00 -120.00 190.00
20 90% 18 2 40% 25 14.24 30.67 240.00 6.20 356.00 -233.50 408.89 -120.00 459.00 -74.00 7120.00 7360.00 -240.00 190.00
30 73% 22 8 47% 25 8.96 7.34 240.00 3.37 224.00 -207.67 353.64 -132.50 324.00 -96.00 6720.00 7780.00 -1060.00 190.00
35 66% 23 12 49% 25 6.90 4.25 240.00 2.53 172.57 -215.14 343.48 -155.00 286.00 -112.86 6040.00 7900.00 -1860.00 190.00
Equity for backtest
Year Enter date Enter price Exit date Exit price Points Profit Days# Best Date Best Worst Date Worst Drawdown
2018 2018-02-12 1.11 2018-03-07 1.24 0.13 130.00 24 2018-02-23 250.00 2018-02-13 -60.00 -170.00
2017 2017-02-13 -0.19 2017-03-07 -0.04 0.15 150.00 23 2017-02-23 300.00 - 0.00 -180.00
2016 2016-02-11 -1.74 2016-03-07 -0.93 0.81 810.00 26 2016-03-07 810.00 - 0.00 -100.00
2015 2015-02-11 -2.05 2015-03-06 -1.73 0.32 320.00 24 2015-02-17 670.00 - 0.00 -550.00
2014 2014-02-11 2.21 2014-03-07 2.85 0.64 640.00 25 2014-03-03 890.00 - 0.00 -310.00
2013 2013-02-11 1.07 2013-03-07 0.95 -0.12 -120.00 25 2013-02-12 120.00 2013-02-25 -340.00 -460.00
2012 2012-02-13 -0.20 2012-03-07 0.18 0.38 380.00 24 2012-02-24 980.00 2012-02-14 -30.00 -670.00
2011 2011-02-11 -1.09 2011-03-07 0.47 1.56 1560.00 25 2011-03-07 1560.00 2011-02-18 -100.00 -320.00
2010 2010-02-11 -1.17 2010-03-05 -0.79 0.38 380.00 23 2010-02-24 410.00 2010-02-12 -70.00 -80.00
2009 2009-02-11 -2.26 2009-03-06 -1.13 1.13 1130.00 24 2009-03-06 1130.00 2009-02-23 -190.00 -220.00
2008 2008-02-11 0.62 2008-03-07 1.16 0.54 540.00 26 2008-03-07 540.00 2008-02-13 -40.00 -310.00
2007 2007-02-12 -0.92 2007-03-07 -0.80 0.12 120.00 24 2007-02-16 160.00 2007-02-28 -20.00 -180.00
2006 2006-02-13 -0.60 2006-03-07 -0.59 0.01 10.00 23 2006-03-07 10.00 2006-02-23 -240.00 -240.00
2005 2005-02-11 1.02 2005-03-07 1.12 0.10 100.00 25 2005-02-23 240.00 - 0.00 -140.00
2004 2004-02-11 0.77 2004-03-05 1.04 0.27 270.00 24 2004-03-01 270.00 - 0.00 -110.00
2003 2003-02-11 1.32 2003-03-07 1.54 0.22 220.00 25 2003-03-07 220.00 2003-02-20 -20.00 -160.00
2002 2002-02-11 0.08 2002-03-07 0.29 0.21 210.00 25 2002-03-07 210.00 2002-02-20 -80.00 -90.00
2001 2001-02-12 0.97 2001-03-07 0.85 -0.12 -120.00 24 - 0.00 2001-03-01 -220.00 -220.00
2000 2000-02-11 1.29 2000-03-07 1.52 0.23 230.00 26 2000-03-07 230.00 2000-02-18 -60.00 -120.00
1999 1999-02-11 -0.37 1999-03-05 -0.21 0.16 160.00 23 1999-03-04 180.00 1999-02-16 -10.00 -40.00
1998 1998-02-11 -0.18 1998-03-06 -0.45 -0.27 -270.00 24 - 0.00 1998-03-06 -270.00 -270.00
1997 1997-02-11 0.49 1997-03-07 0.19 -0.30 -300.00 25 - 0.00 1997-03-03 -440.00 -440.00
1996 1996-02-12 0.02 1996-03-07 0.25 0.23 230.00 25 1996-02-27 250.00 - 0.00 -50.00
1995 1995-02-13 0.07 1995-03-07 0.09 0.02 20.00 23 1995-02-27 70.00 - 0.00 -50.00
1994 1994-02-11 -0.48 1994-03-07 -0.51 -0.03 -30.00 25 1994-03-03 20.00 1994-02-22 -60.00 -60.00
1993 1993-02-11 0.03 1993-03-05 0.06 0.03 30.00 23 1993-03-05 30.00 1993-02-18 -30.00 -30.00
1992 1992-02-11 0.03 1992-03-06 0.00 -0.03 -30.00 25 - 0.00 1992-02-26 -100.00 -100.00
1991 1991-02-11 0.01 1991-03-07 -0.12 -0.13 -130.00 25 1991-02-12 10.00 1991-02-22 -330.00 -340.00
1990 1990-02-12 0.14 1990-03-07 0.08 -0.06 -60.00 24 1990-02-16 20.00 1990-02-26 -170.00 -190.00
1989 1989-02-13 0.10 1989-03-07 0.24 0.14 140.00 23 1989-03-06 140.00 - 0.00 -30.00
1988 1988-02-11 0.27 1988-03-07 0.06 -0.21 -210.00 26 1988-02-16 30.00 1988-03-04 -210.00 -240.00
1987 1987-02-11 -0.15 1987-03-06 -0.03 0.12 120.00 24 1987-03-06 120.00 1987-03-02 -70.00 -130.00
1986 1986-02-11 -0.12 1986-03-07 -0.53 -0.41 -410.00 25 1986-02-13 60.00 1986-03-03 -560.00 -620.00
1985 1985-02-11 0.10 1985-03-07 -0.03 -0.13 -130.00 25 - 0.00 1985-02-22 -180.00 -180.00
1984 1984-02-13 0.05 1984-03-07 0.00 -0.05 -50.00 24 1984-03-06 80.00 1984-02-14 -50.00 -130.00