Futures Spread Strategy For February, 2018 - Buy FCQ18-FCK18

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Futures Spread Strategy For February, 2018 - Buy FCQ18-FCK18

This spread combines several conditions to create good trading opportunity.

  • 87% 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 FCQ18-FCK18 Entry: 2018-02-01 Exit: 2018-04-16

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% 75 4.60 18.25 1350.00 1.56 345.00 -967.50 456.25 -100.00 750.00 -480.00 1725.00 1825.00 -100.00 262.50
10 90% 9 1 80% 75 8.22 62.63 1350.00 3.29 616.25 -855.00 695.83 -100.00 1002.50 -305.00 6162.50 6262.50 -100.00 300.00
15 87% 13 2 87% 75 5.84 9.35 1350.00 2.38 438.33 -889.17 566.35 -393.75 883.33 -370.83 6575.00 7362.50 -787.50 300.00
20 80% 16 4 85% 75 5.63 10.25 1350.00 2.72 421.88 -789.38 584.38 -228.12 846.25 -311.25 8437.50 9350.00 -912.50 337.50
30 67% 20 10 77% 75 3.43 3.42 1350.00 1.99 257.50 -739.17 545.63 -318.75 681.67 -342.92 7725.00 10912.50 -3187.50 637.50
43 53% 23 20 84% 75 1.71 1.82 1350.00 1.34 128.20 -759.59 530.98 -335.00 562.79 -420.35 5512.50 12212.50 -6700.00 637.50
Equity for backtest
Year Enter date Enter price Exit date Exit price Points Profit Days# Best Date Best Worst Date Worst Drawdown
2017 2017-02-01 1.025 2017-04-13 1.875 0.850 425.00 72 2017-03-07 575.00 2017-03-20 -262.50 -837.50
2016 2016-02-01 1.000 2016-04-15 1.075 0.075 37.50 75 2016-04-07 287.50 2016-03-16 -1350.00 -1350.00
2015 2015-02-02 1.875 2015-04-16 1.675 -0.200 -100.00 74 2015-02-05 887.50 2015-03-20 -600.00 -1487.50
2014 2014-02-03 1.400 2014-04-16 3.075 1.675 837.50 73 2014-04-16 837.50 2014-03-18 -175.00 -525.00
2013 2013-02-01 5.375 2013-04-16 6.425 1.050 525.00 75 2013-03-22 1162.50 2013-02-04 -12.50 -637.50
2012 2012-02-01 1.450 2012-04-16 3.550 2.100 1050.00 76 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 2010-04-16 2.600 1.350 675.00 75 2010-04-16 675.00 2010-03-19 -300.00 -925.00
2009 2009-02-02 1.850 2009-04-16 2.325 0.475 237.50 74 2009-03-18 937.50 - 0.00 -937.50
2008 2008-02-01 0.625 2008-04-16 2.850 2.225 1112.50 76 2008-03-31 1950.00 - 0.00 -837.50
2007 2007-02-01 2.225 2007-04-16 2.250 0.025 12.50 75 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 2004-04-16 1.000 -1.375 -687.50 75 2004-02-10 500.00 2004-04-01 -1162.50 -1662.50
2003 2003-02-03 2.425 2003-04-16 3.200 0.775 387.50 73 2003-04-11 637.50 - 0.00 -250.00
2002 2002-02-01 1.225 2002-04-16 3.175 1.950 975.00 75 2002-04-11 1462.50 - 0.00 -487.50
2001 2001-02-01 1.100 2001-04-16 0.950 -0.150 -75.00 75 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 1999-04-16 2.550 1.025 512.50 75 1999-03-17 725.00 1999-02-05 -337.50 -625.00
1998 1998-02-02 1.875 1998-04-16 1.775 -0.100 -50.00 74 1998-03-30 487.50 1998-04-13 -212.50 -700.00
1997 1997-02-03 3.650 1997-04-16 2.950 -0.700 -350.00 73 1997-03-27 162.50 1997-04-15 -500.00 -662.50
1996 1996-02-01 0.325 1996-04-16 1.950 1.625 812.50 76 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 1993-04-16 -0.600 -0.175 -87.50 75 1993-02-19 137.50 1993-03-23 -362.50 -500.00
1992 1992-02-03 -0.175 1992-04-16 -1.825 -1.650 -825.00 74 1992-02-26 62.50 1992-04-10 -900.00 -962.50
1991 1991-02-01 0.075 1991-04-16 -0.925 -1.000 -500.00 75 1991-02-07 137.50 1991-04-16 -500.00 -637.50
1990 1990-02-01 -0.400 1990-04-16 -0.450 -0.050 -25.00 75 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 1987-04-16 -0.750 -0.175 -87.50 74 - 0.00 1987-02-23 -687.50 -687.50
1986 1986-02-03 1.500 1986-04-16 1.825 0.325 162.50 73 1986-02-19 375.00 1986-03-12 -350.00 -725.00
1985 1985-02-01 0.700 1985-04-16 2.475 1.775 887.50 75 1985-04-16 887.50 1985-02-15 -75.00 -437.50
1984 1984-02-01 -0.050 1984-04-16 0.450 0.500 250.00 76 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 1982-04-16 -0.475 -0.600 -300.00 75 - 0.00 1982-04-05 -975.00 -975.00
1981 1981-02-02 0.950 1981-04-16 0.925 -0.025 -12.50 74 1981-04-02 425.00 1981-02-13 -375.00 -462.50
1980 1980-02-01 0.550 1980-04-16 0.425 -0.125 -62.50 76 1980-04-14 50.00 1980-02-15 -650.00 -687.50
1979 1979-02-01 0.700 1979-04-16 -1.175 -1.875 -937.50 75 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 1975-04-16 -0.500 -0.550 -275.00 73 1975-02-19 200.00 1975-04-11 -550.00 -750.00