Futures Spread Strategy For August, 2018 - Buy FCK19-FCH19

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Futures Spread Strategy For August, 2018 - Buy FCK19-FCH19

This spread combines several conditions to create good trading opportunity:

  • 100% Win in last 15 years
  • The spread is moving in narrow historical range, see stacked chart in platform
  • You can speculate to buy a spread at bottom of historical range and sell on the top and vice versa
  • Long seasonal window - A lot of time for seasonality to kick in. Possibility to take profit earlier
  • Low margin requirement

Backtest Buy FCK19-FCH19 Entry: 2018-08-01 (green line) Exit: 2019-01-27 (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 80% 4 1 80% 177 1.75 2.41 600.00 2.09 310.00 -1367.50 662.50 -1100.00 1122.50 -537.50 1550.00 2650.00 -1100.00 550.00
10 90% 9 1 80% 177 4.38 8.05 600.00 4.91 775.00 -1193.75 983.33 -1100.00 1363.75 -277.50 7750.00 8850.00 -1100.00 550.00
15 93% 14 1 80% 177 5.30 13.80 1875.00 3.08 938.33 -1203.33 1083.93 -1100.00 1424.17 -462.50 14075.00 15175.00 -1100.00 925.00
20 85% 17 3 65% 177 4.19 12.75 1875.00 2.69 741.88 -1070.00 1006.25 -315.63 1183.75 -439.37 14837.50 16100.00 -1262.50 925.00
30 70% 21 9 67% 177 2.85 5.11 1875.00 2.11 504.58 -965.42 941.25 -368.75 952.08 -451.25 15137.50 18825.00 -3687.50 1875.00
42 57% 24 18 76% 177 1.44 2.16 1875.00 1.38 255.36 -994.94 867.93 -486.18 767.56 -557.44 10725.00 19962.50 -9237.50 1875.00
Equity for backtest
Year Enter date Enter price Exit date Exit price Points Profit Days# Best Date Best Worst Date Worst Drawdown
2018 2017-08-01 -1.850 2018-01-24 0.725 2.575 1287.50 177 2017-08-28 1937.50 2017-10-10 -125.00 -2062.50
2017 2016-08-01 -0.075 2017-01-24 -2.275 -2.200 -1100.00 177 2016-09-06 37.50 2017-01-20 -1350.00 -1387.50
2016 2015-08-03 -1.000 2016-01-22 -0.400 0.600 300.00 173 2015-11-17 1675.00 2015-08-17 -62.50 -1587.50
2015 2014-08-01 -0.200 2015-01-23 1.600 1.800 900.00 176 2015-01-20 1437.50 2014-08-20 -550.00 -925.00
2014 2013-08-01 1.000 2014-01-24 1.325 0.325 162.50 177 2013-11-01 525.00 2013-09-11 -600.00 -875.00
2013 2012-08-01 1.600 2013-01-24 6.300 4.700 2350.00 177 2013-01-24 2350.00 - 0.00 -737.50
2012 2011-08-01 -0.200 2012-01-24 2.650 2.850 1425.00 177 2012-01-24 1425.00 - 0.00 -1150.00
2011 2010-08-02 -0.100 2011-01-24 1.150 1.250 625.00 176 2010-10-12 1287.50 2010-09-02 -62.50 -1062.50
2010 2009-08-03 0.900 2010-01-22 1.600 0.700 350.00 173 2009-12-09 1287.50 2009-08-18 -25.00 -1275.00
2009 2008-08-01 0.000 2009-01-23 2.900 2.900 1450.00 176 2009-01-21 1675.00 - 0.00 -875.00
2008 2007-08-01 0.000 2008-01-24 5.875 5.875 2937.50 177 2008-01-23 2950.00 2007-08-09 -75.00 -875.00
2007 2006-08-01 -0.400 2007-01-24 2.800 3.200 1600.00 177 2007-01-22 1912.50 2006-09-12 -575.00 -800.00
2006 2005-08-01 -1.150 2006-01-24 1.300 2.450 1225.00 177 2006-01-18 1300.00 2005-11-29 -925.00 -1300.00
2005 2004-08-02 -1.250 2005-01-24 -1.225 0.025 12.50 176 2004-11-09 550.00 2005-01-11 -712.50 -1262.50
2004 2003-08-01 0.200 2004-01-23 1.300 1.100 550.00 176 2004-01-13 1012.50 2003-10-10 -1875.00 -1875.00
2003 2002-08-01 -0.050 2003-01-24 1.150 1.200 600.00 177 2003-01-24 600.00 2002-11-08 -512.50 -637.50
2002 2001-08-01 -0.700 2002-01-24 -0.050 0.650 325.00 177 2002-01-23 450.00 2001-08-31 -150.00 -537.50
2001 2000-08-01 -0.450 2001-01-24 -0.450 0.000 0.00 177 2000-09-06 300.00 2001-01-09 -475.00 -775.00
2000 1999-08-02 0.250 2000-01-24 0.025 -0.225 -112.50 176 1999-11-18 75.00 1999-10-18 -437.50 -437.50
1999 1998-08-03 0.300 1999-01-22 0.200 -0.100 -50.00 173 1998-12-16 887.50 1998-08-13 -275.00 -962.50
1998 1997-08-01 -0.175 1998-01-23 0.800 0.975 487.50 176 1998-01-05 1175.00 1997-09-08 -37.50 -687.50
1997 1996-08-01 -0.025 1997-01-24 1.250 1.275 637.50 177 1997-01-24 637.50 1996-11-11 -162.50 -625.00
1996 1995-08-01 -1.200 1996-01-24 0.775 1.975 987.50 177 1996-01-24 987.50 1995-08-04 -175.00 -437.50
1995 1994-08-01 -1.325 1995-01-24 -1.800 -0.475 -237.50 177 1994-09-30 425.00 1995-01-03 -612.50 -1037.50
1994 1993-08-02 -1.350 1994-01-24 -1.525 -0.175 -87.50 176 1993-11-30 500.00 1993-10-04 -275.00 -600.00
1993 1992-08-03 -1.800 1993-01-22 -2.575 -0.775 -387.50 173 1992-09-18 125.00 1993-01-20 -450.00 -575.00
1992 1991-08-01 -1.050 1992-01-24 -2.725 -1.675 -837.50 177 - 0.00 1992-01-21 -887.50 -887.50
1991 1990-08-01 -1.850 1991-01-24 -3.450 -1.600 -800.00 177 1990-08-23 425.00 1991-01-24 -800.00 -1225.00
1990 1989-08-01 -1.350 1990-01-24 -1.500 -0.150 -75.00 177 - 0.00 1989-09-14 -550.00 -550.00
1989 1988-08-01 -1.675 1989-01-24 -0.450 1.225 612.50 177 1989-01-24 612.50 1988-08-17 -800.00 -937.50
1988 1987-08-03 -1.450 1988-01-22 -2.575 -1.125 -562.50 173 1987-10-07 300.00 1988-01-19 -825.00 -1125.00
1987 1986-08-05 -1.250 1987-01-23 -1.775 -0.525 -262.50 172 1986-08-06 325.00 1986-11-12 -650.00 -975.00
1986 1985-08-01 -0.600 1986-01-24 -1.350 -0.750 -375.00 177 - 0.00 1985-11-29 -1150.00 -1150.00
1985 1984-08-01 -0.900 1985-01-24 -3.100 -2.200 -1100.00 177 1984-08-07 237.50 1985-01-02 -1362.50 -1600.00
1984 1983-08-01 -0.600 1984-01-24 -1.800 -1.200 -600.00 177 1983-09-19 375.00 1984-01-17 -1175.00 -1550.00
1983 1982-08-02 -0.100 1983-01-24 -2.300 -2.200 -1100.00 176 1982-12-03 175.00 1983-01-18 -1275.00 -1450.00
1982 1981-08-03 0.350 1982-01-22 -1.600 -1.950 -975.00 173 1981-08-04 25.00 1982-01-21 -1287.50 -1312.50
1981 1980-08-01 0.500 1981-01-23 1.150 0.650 325.00 176 1981-01-22 425.00 1980-09-04 -375.00 -475.00
1980 1979-08-01 0.300 1980-01-24 1.125 0.825 412.50 177 1979-12-14 437.50 1979-08-31 -400.00 -725.00
1979 1978-08-01 0.350 1979-01-24 -0.025 -0.375 -187.50 177 1978-10-23 562.50 1978-11-29 -700.00 -1262.50
1978 1977-08-01 0.375 1978-01-24 -0.400 -0.775 -387.50 177 1977-10-14 225.00 1977-12-23 -475.00 -700.00
1977 1976-08-02 0.400 1977-01-24 1.200 0.800 400.00 176 1977-01-10 587.50 1976-08-03 -200.00 -500.00