Commodity Futures Spread Strategy for August, 2013 - Buy FCK14-FCH14

You can also browse other Free Futures Spread Trading Strategies, we publish a free trading strategy each month.

Commodity Futures Spread Strategy for August, 2013 - Buy FCK14-FCH14

This spread combines several conditions to create good trading opportunity:

  • 100% Win in last 15 years (there were only 2 losses in last 30 years)
  • Nice support level around 0.0, consider entry here (small SL)
  • Long seasonal window - A lot of time for seasonality to kick in. Possibility to take profit earlier

Backtest Buy FCK14-FCH14 Entry: 2013-08-21 (green line) Exit: 2014-01-28 (red line)

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 80% 161 6.94 9999 550.00 6.08 1117.50 -947.50 1117.50 0.00 1382.50 -227.50 5587.50 5587.50 0.00 312.50
10 100% 10 0 50% 161 8.59 9999 1000.00 4.08 1382.50 -1047.50 1382.50 0.00 1597.50 -391.25 13825.00 13825.00 0.00 1000.00
15 100% 15 0 60% 161 6.18 9999 1000.00 3.28 995.00 -921.67 995.00 0.00 1220.83 -372.50 14925.00 14925.00 0.00 1000.00
20 90% 18 2 65% 161 4.93 20.52 1000.00 3.00 793.13 -875.63 926.39 -406.25 1080.63 -360.00 15862.50 16675.00 -812.50 1000.00
30 67% 20 10 57% 161 2.55 3.19 1000.00 1.66 410.42 -909.58 896.88 -562.50 819.58 -495.00 12312.50 17937.50 -5625.00 1000.00
38 63% 24 14 68% 161 1.95 2.56 1000.00 1.47 313.16 -903.29 813.54 -544.64 744.41 -506.25 11900.00 19525.00 -7625.00 1000.00
Equity for backtest
Year Enter date Enter price Exit date Exit price Points Profit Days# Best Date Best Worst Date Worst Drawdown
2013 2012-08-21 2.500 2013-01-28 6.400 3.900 1950.00 161 2013-01-28 1950.00 2012-09-21 -312.50 -737.50
2012 2011-08-22 1.000 2012-01-27 3.050 2.050 1025.00 159 2012-01-26 1087.50 2011-09-14 -550.00 -787.50
2011 2010-08-23 -0.100 2011-01-28 1.325 1.425 712.50 159 2010-10-12 1287.50 2010-09-02 -62.50 -1062.50
2010 2009-08-21 1.100 2010-01-28 2.525 1.425 712.50 161 2009-12-09 1187.50 2010-01-19 -87.50 -1275.00
2009 2008-08-21 0.550 2009-01-28 2.925 2.375 1187.50 161 2009-01-21 1400.00 2008-08-26 -125.00 -875.00
2008 2007-08-21 0.800 2008-01-28 6.075 5.275 2637.50 161 2008-01-25 2687.50 2007-09-06 -287.50 -875.00
2007 2006-08-21 -1.100 2007-01-26 3.225 4.325 2162.50 159 2007-01-22 2262.50 2006-09-12 -225.00 -800.00
2006 2005-08-22 -1.050 2006-01-27 1.350 2.400 1200.00 159 2006-01-18 1250.00 2005-11-29 -975.00 -1250.00
2005 2004-08-23 -2.100 2005-01-28 -0.825 1.275 637.50 159 2004-11-09 975.00 2005-01-11 -287.50 -1262.50
2004 2003-08-21 -1.550 2004-01-28 1.650 3.200 1600.00 161 2004-01-13 1887.50 2003-10-10 -1000.00 -1550.00
2003 2002-08-21 -0.050 2003-01-28 0.925 0.975 487.50 161 2003-01-24 600.00 2002-11-08 -512.50 -612.50
2002 2001-08-21 -0.550 2002-01-28 0.075 0.625 312.50 161 2002-01-23 375.00 2001-08-31 -225.00 -537.50
2001 2000-08-21 -0.375 2001-01-26 -0.175 0.200 100.00 159 2000-09-06 262.50 2001-01-09 -512.50 -775.00
2000 1999-08-23 -0.025 2000-01-28 0.200 0.225 112.50 159 1999-11-18 212.50 1999-10-18 -300.00 -412.50
1999 1998-08-21 0.300 1999-01-28 0.475 0.175 87.50 161 1998-12-16 887.50 1999-01-25 -125.00 -1012.50
1998 1997-08-21 -0.075 1998-01-28 0.850 0.925 462.50 161 1998-01-05 1125.00 1997-09-08 -87.50 -750.00
1997 1996-08-21 -0.100 1997-01-28 0.900 1.000 500.00 161 1997-01-24 675.00 1996-11-11 -125.00 -625.00
1996 1995-08-21 -0.800 1996-01-26 0.775 1.575 787.50 159 1996-01-25 800.00 1995-09-27 -225.00 -437.50
1995 1994-08-22 -1.175 1995-01-27 -1.825 -0.650 -325.00 159 1994-09-30 350.00 1995-01-03 -687.50 -1037.50
1994 1993-08-23 -1.050 1994-01-28 -2.025 -0.975 -487.50 159 1993-11-30 350.00 1994-01-28 -487.50 -837.50
1993 1992-08-21 -2.000 1993-01-28 -2.325 -0.325 -162.50 161 1992-09-18 225.00 1993-01-20 -350.00 -575.00
1992 1991-08-21 -1.250 1992-01-28 -2.775 -1.525 -762.50 161 1991-08-30 100.00 1992-01-21 -787.50 -887.50
1991 1990-08-21 -1.400 1991-01-28 -3.425 -2.025 -1012.50 161 1990-08-23 200.00 1991-01-25 -1037.50 -1237.50
1990 1989-08-21 -1.500 1990-01-26 -1.600 -0.100 -50.00 159 1990-01-15 75.00 1989-09-14 -475.00 -475.00
1989 1988-08-22 -2.900 1989-01-27 -0.525 2.375 1187.50 159 1989-01-24 1225.00 - 0.00 -450.00
1988 1987-08-21 -2.500 1988-01-28 -2.350 0.150 75.00 161 1987-10-07 825.00 1988-01-19 -300.00 -1125.00
1987 1986-08-21 -0.650 1987-01-28 -2.225 -1.575 -787.50 161 - 0.00 1986-11-12 -950.00 -950.00
1986 1985-08-21 -1.100 1986-01-28 -1.250 -0.150 -75.00 161 1985-09-17 212.50 1985-11-29 -900.00 -1112.50
1985 1984-08-21 -0.900 1985-01-28 -3.200 -2.300 -1150.00 161 1984-09-18 50.00 1985-01-02 -1362.50 -1412.50
1984 1983-08-22 0.025 1984-01-27 -1.600 -1.625 -812.50 159 1983-09-19 62.50 1984-01-17 -1487.50 -1550.00
1983 1982-08-23 -0.750 1983-01-28 -1.775 -1.025 -512.50 159 1982-12-03 500.00 1983-01-18 -950.00 -1450.00
1982 1981-08-21 0.100 1982-01-28 -2.150 -2.250 -1125.00 161 1981-11-03 150.00 1982-01-21 -1162.50 -1312.50
1981 1980-08-21 0.150 1981-01-28 1.150 1.000 500.00 161 1981-01-27 712.50 1980-09-04 -200.00 -475.00
1980 1979-08-21 0.625 1980-01-28 1.400 0.775 387.50 161 1980-01-28 387.50 1979-08-31 -562.50 -600.00
1979 1978-08-21 0.125 1979-01-26 0.000 -0.125 -62.50 159 1978-10-23 675.00 1978-11-29 -587.50 -1262.50
1978 1977-08-22 0.300 1978-01-27 -0.300 -0.600 -300.00 159 1977-10-14 262.50 1978-01-25 -450.00 -712.50
1977 1976-08-23 0.200 1977-01-28 1.200 1.000 500.00 159 1977-01-10 687.50 1976-08-27 -75.00 -500.00
1976 1975-08-21 0.100 1976-01-28 0.500 0.400 200.00 161 1975-08-29 325.00 1975-09-17 -400.00 -725.00