Commodity futures spread strategy for February, 2015 - Buy FCQ15-FCK15

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Commodity futures spread strategy for February, 2015 - Buy FCQ15-FCK15

This spread combines several conditions to create good trading opportunity.

  • 93% Win in last 15 years
  • Narrow legs spread with expected lower volatility
  • Spread historically moves in a narrow range
  • Possible to entry around support and use a small stop-loss

Backtest Buy FCQ15-FCK15 Entry: 2015-02-01 Exit: 2015-04-15

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% 74 11.69 9999 300.00 6.21 865.00 -607.50 865.00 0.00 1040.00 -167.50 4325.00 4325.00 0.00 175.00
10 100% 10 0 80% 74 8.70 9999 1125.00 4.65 643.75 -745.00 643.75 0.00 1017.50 -218.75 6437.50 6437.50 0.00 175.00
15 93% 14 1 80% 74 7.32 20.12 1125.00 3.98 541.67 -688.33 610.71 -425.00 918.33 -230.83 8125.00 8550.00 -425.00 175.00
20 90% 18 2 85% 74 6.33 11.14 1125.00 3.50 468.75 -661.88 572.22 -462.50 840.00 -240.00 9375.00 10300.00 -925.00 337.50
30 73% 22 8 73% 74 3.86 3.78 1125.00 2.14 285.42 -662.08 528.98 -384.37 655.00 -305.42 8562.50 11637.50 -3075.00 637.50
40 60% 24 16 82% 74 1.64 1.70 1125.00 1.40 121.56 -712.50 493.23 -435.94 553.44 -395.94 4862.50 11837.50 -6975.00 637.50
Equity for backtest
Year Enter date Enter price Exit date Exit price Points Profit Days# Best Date Best Worst Date Worst Drawdown
2014 2014-02-03 1.400 2014-04-15 2.800 1.400 700.00 72 2014-04-15 700.00 2014-03-18 -175.00 -525.00
2013 2013-02-01 5.375 2013-04-15 6.575 1.200 600.00 74 2013-03-22 1162.50 2013-02-04 -12.50 -575.00
2012 2012-02-01 1.450 2012-04-13 3.700 2.250 1125.00 73 2012-04-13 1125.00 2012-02-08 -175.00 -537.50
2011 2011-02-01 0.500 2011-04-15 3.225 2.725 1362.50 74 2011-04-05 1587.50 2011-02-25 -175.00 -475.00
2010 2010-02-01 1.250 2010-04-15 2.325 1.075 537.50 74 2010-03-08 625.00 2010-03-19 -300.00 -925.00
2009 2009-02-02 1.850 2009-04-15 1.925 0.075 37.50 73 2009-03-18 937.50 - 0.00 -937.50
2008 2008-02-01 0.625 2008-04-15 3.325 2.700 1350.00 75 2008-03-31 1950.00 - 0.00 -600.00
2007 2007-02-01 2.225 2007-04-13 2.275 0.050 25.00 72 2007-04-13 25.00 2007-02-26 -1125.00 -1125.00
2006 2006-02-01 0.125 2006-04-13 1.150 1.025 512.50 72 2006-03-27 1200.00 2006-02-09 -25.00 -687.50
2005 2005-02-01 0.975 2005-04-15 1.350 0.375 187.50 74 2005-02-18 862.50 2005-03-10 -200.00 -1062.50
2004 2004-02-02 2.375 2004-04-15 1.525 -0.850 -425.00 74 2004-02-10 500.00 2004-04-01 -1162.50 -1662.50
2003 2003-02-03 2.425 2003-04-15 3.375 0.950 475.00 72 2003-04-11 637.50 - 0.00 -212.50
2002 2002-02-01 1.225 2002-04-15 3.425 2.200 1100.00 74 2002-04-11 1462.50 - 0.00 -362.50
2001 2001-02-01 1.100 2001-04-12 1.175 0.075 37.50 71 2001-02-12 312.50 2001-04-03 -112.50 -425.00
2000 2000-02-01 1.050 2000-04-14 2.050 1.000 500.00 74 2000-04-04 687.50 - 0.00 -212.50
1999 1999-02-01 1.525 1999-04-15 2.575 1.050 525.00 74 1999-03-17 725.00 1999-02-05 -337.50 -625.00
1998 1998-02-02 1.875 1998-04-15 2.075 0.200 100.00 73 1998-03-30 487.50 1998-04-13 -212.50 -700.00
1997 1997-02-03 3.650 1997-04-15 2.650 -1.000 -500.00 72 1997-03-27 162.50 1997-04-15 -500.00 -662.50
1996 1996-02-01 0.325 1996-04-15 2.025 1.700 850.00 75 1996-04-11 850.00 1996-02-26 -112.50 -312.50
1995 1995-02-01 0.725 1995-04-13 1.275 0.550 275.00 72 1995-03-30 800.00 1995-02-21 -175.00 -612.50
1994 1994-02-01 1.075 1994-04-15 0.100 -0.975 -487.50 74 1994-02-07 187.50 1994-04-15 -487.50 -675.00
1993 1993-02-01 -0.425 1993-04-15 -0.775 -0.350 -175.00 74 1993-02-19 137.50 1993-03-23 -362.50 -500.00
1992 1992-02-03 -0.175 1992-04-15 -1.975 -1.800 -900.00 73 1992-02-26 62.50 1992-04-10 -900.00 -962.50
1991 1991-02-01 0.075 1991-04-15 -0.875 -0.950 -475.00 74 1991-02-07 137.50 1991-04-15 -475.00 -612.50
1990 1990-02-01 -0.400 1990-04-12 -0.475 -0.075 -37.50 71 1990-02-22 475.00 1990-04-12 -37.50 -512.50
1989 1989-02-01 -0.975 1989-04-14 -0.125 0.850 425.00 73 1989-04-13 462.50 1989-03-28 -637.50 -912.50
1988 1988-02-01 -0.750 1988-04-15 -0.650 0.100 50.00 75 1988-02-24 250.00 1988-03-30 -350.00 -600.00
1987 1987-02-02 -0.575 1987-04-15 -0.725 -0.150 -75.00 73 - 0.00 1987-02-23 -687.50 -687.50
1986 1986-02-03 1.500 1986-04-15 1.700 0.200 100.00 72 1986-02-19 375.00 1986-03-12 -350.00 -725.00
1985 1985-02-01 0.700 1985-04-15 2.225 1.525 762.50 74 1985-04-15 762.50 1985-02-15 -75.00 -437.50
1984 1984-02-01 -0.050 1984-04-13 0.200 0.250 125.00 73 1984-04-05 275.00 1984-03-05 -425.00 -525.00
1983 1983-02-01 0.775 1983-04-15 -1.400 -2.175 -1087.50 74 1983-02-03 12.50 1983-04-13 -1237.50 -1250.00
1982 1982-02-01 0.125 1982-04-15 -0.875 -1.000 -500.00 74 - 0.00 1982-04-05 -975.00 -975.00
1981 1981-02-02 0.950 1981-04-15 1.100 0.150 75.00 73 1981-04-02 425.00 1981-02-13 -375.00 -462.50
1980 1980-02-01 0.550 1980-04-15 0.425 -0.125 -62.50 75 1980-04-14 50.00 1980-02-15 -650.00 -687.50
1979 1979-02-01 0.700 1979-04-12 -1.400 -2.100 -1050.00 71 1979-02-09 50.00 1979-03-13 -1537.50 -1587.50
1978 1978-02-01 -0.100 1978-04-14 -0.525 -0.425 -212.50 73 1978-03-06 400.00 1978-03-15 -237.50 -637.50
1977 1977-02-01 0.650 1977-04-15 0.025 -0.625 -312.50 74 1977-02-24 375.00 1977-04-15 -312.50 -687.50
1976 1976-02-02 0.000 1976-04-15 -0.450 -0.450 -225.00 74 1976-03-01 700.00 1976-04-08 -375.00 -1075.00
1975 1975-02-03 0.050 1975-04-15 -0.850 -0.900 -450.00 72 1975-02-19 200.00 1975-04-11 -550.00 -750.00