Commodity futures spread strategy for April, 2015 - Buy FCV15-FCU15

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Commodity futures spread strategy for April, 2015 - Buy FCV15-FCU15

This spread combines several conditions to create good trading opportunity.

  • Historical lows - Current year is moving at historical lows - nice space for profit
  • 87% Win in last 15 years
  • Narrow legs spread with expected lower volatility
  • Strong seasonal patterns correlation in seasonal window
  • Spread historically moves in a narrow range
  • Possible to entry around support and use a small stop-loss

Backtest Buy FCV15-FCU15 Entry: 2015-04-08 Exit: 2015-05-11

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% 34 12.35 9999 175.00 5.97 420.00 -207.50 420.00 0.00 447.50 -75.00 2100.00 2100.00 0.00 125.00
10 90% 9 1 60% 34 7.98 22.70 325.00 2.75 271.25 -253.75 315.28 -125.00 350.00 -127.50 2712.50 2837.50 -125.00 125.00
15 87% 13 2 60% 34 6.10 13.45 325.00 2.71 207.50 -231.67 258.65 -125.00 298.33 -110.00 3112.50 3362.50 -250.00 237.50
20 80% 16 4 65% 34 5.26 8.33 325.00 2.68 178.75 -214.38 253.91 -121.87 276.88 -103.13 3575.00 4062.50 -487.50 237.50
30 70% 21 9 57% 34 3.91 6.50 325.00 2.48 132.92 -196.25 224.40 -80.56 230.00 -92.92 3987.50 4712.50 -725.00 237.50
43 67% 29 14 70% 34 2.77 3.30 325.00 1.69 94.19 -252.62 200.43 -125.89 223.84 -132.27 4050.00 5812.50 -1762.50 237.50
Equity for backtest
Year Enter date Enter price Exit date Exit price Points Profit Days# Best Date Best Worst Date Worst Drawdown
2014 2014-04-08 -0.700 2014-05-09 0.350 1.050 525.00 32 2014-05-08 537.50 2014-04-09 -62.50 -125.00
2013 2013-04-08 1.200 2013-05-10 1.925 0.725 362.50 33 2013-05-09 362.50 2013-04-12 -12.50 -212.50
2012 2012-04-09 0.150 2012-05-11 1.375 1.225 612.50 33 2012-05-10 612.50 - 0.00 -162.50
2011 2011-04-08 -0.275 2011-05-11 0.575 0.850 425.00 34 2011-05-06 525.00 2011-04-13 -125.00 -287.50
2010 2010-04-08 -0.800 2010-05-11 -0.450 0.350 175.00 34 2010-05-07 200.00 2010-04-09 -175.00 -250.00
2009 2009-04-08 0.450 2009-05-11 0.875 0.425 212.50 34 2009-05-11 212.50 2009-04-22 -237.50 -237.50
2008 2008-04-08 0.275 2008-05-09 0.925 0.650 325.00 32 2008-05-02 437.50 - 0.00 -162.50
2007 2007-04-09 -0.950 2007-05-11 -0.600 0.350 175.00 33 2007-04-12 500.00 - 0.00 -400.00
2006 2006-04-10 -0.650 2006-05-11 -0.600 0.050 25.00 32 2006-05-09 75.00 2006-04-18 -325.00 -325.00
2005 2005-04-08 -0.800 2005-05-11 -1.050 -0.250 -125.00 34 2005-04-11 37.50 2005-05-10 -337.50 -375.00
2004 2004-04-08 -0.200 2004-05-11 -0.450 -0.250 -125.00 34 2004-04-16 200.00 2004-05-05 -175.00 -375.00
2003 2003-04-08 -0.075 2003-05-09 0.100 0.175 87.50 32 2003-05-08 112.50 2003-05-01 -100.00 -187.50
2002 2002-04-08 -0.075 2002-05-10 0.050 0.125 62.50 33 2002-04-23 237.50 - 0.00 -225.00
2001 2001-04-09 0.000 2001-05-11 0.025 0.025 12.50 33 2001-05-02 62.50 2001-04-10 -50.00 -75.00
2000 2000-04-10 0.275 2000-05-11 1.000 0.725 362.50 32 2000-05-11 362.50 2000-04-12 -50.00 -75.00
1999 1999-04-08 0.225 1999-05-11 0.500 0.275 137.50 34 1999-05-07 237.50 1999-04-09 -62.50 -100.00
1998 1998-04-08 0.100 1998-05-11 0.050 -0.050 -25.00 34 1998-04-28 25.00 1998-04-09 -112.50 -112.50
1997 1997-04-08 0.600 1997-05-09 0.175 -0.425 -212.50 32 - 0.00 1997-05-08 -237.50 -237.50
1996 1996-04-08 0.275 1996-05-10 1.250 0.975 487.50 33 1996-04-30 687.50 - 0.00 -262.50
1995 1995-04-10 -0.100 1995-05-11 0.050 0.150 75.00 32 1995-04-17 112.50 - 0.00 -100.00
1994 1994-04-08 -0.175 1994-05-11 0.000 0.175 87.50 34 1994-04-18 100.00 - 0.00 -75.00
1993 1993-04-08 -0.150 1993-05-11 -0.425 -0.275 -137.50 34 1993-04-12 50.00 1993-04-26 -212.50 -262.50
1992 1992-04-08 -0.450 1992-05-11 -0.300 0.150 75.00 34 1992-05-06 162.50 1992-04-09 -25.00 -150.00
1991 1991-04-08 -0.075 1991-05-10 -0.100 -0.025 -12.50 33 1991-05-02 25.00 1991-04-16 -112.50 -112.50
1990 1990-04-09 -0.275 1990-05-11 -0.050 0.225 112.50 33 1990-04-26 225.00 - 0.00 -112.50
1989 1989-04-10 -0.025 1989-05-11 0.225 0.250 125.00 32 1989-04-11 287.50 - 0.00 -275.00
1988 1988-04-08 -0.425 1988-05-11 -0.450 -0.025 -12.50 34 1988-05-06 112.50 1988-04-26 -175.00 -237.50
1987 1987-04-08 -0.475 1987-05-11 0.025 0.500 250.00 34 1987-05-11 250.00 - 0.00 -75.00
1986 1986-04-08 0.125 1986-05-09 0.000 -0.125 -62.50 32 1986-04-24 112.50 1986-04-10 -75.00 -175.00
1985 1985-04-08 -0.100 1985-05-10 -0.125 -0.025 -12.50 33 1985-05-02 37.50 1985-04-11 -125.00 -125.00
1984 1984-04-09 -0.475 1984-05-11 -0.350 0.125 62.50 33 1984-05-11 62.50 1984-04-12 -162.50 -162.50
1983 1983-04-08 -0.550 1983-05-11 -0.575 -0.025 -12.50 34 1983-04-11 75.00 1983-05-06 -187.50 -262.50
1982 1982-04-08 -0.350 1982-05-11 -0.275 0.075 37.50 34 1982-04-19 87.50 1982-05-06 -125.00 -212.50
1981 1981-04-08 -0.050 1981-05-11 -0.425 -0.375 -187.50 34 1981-05-01 187.50 1981-04-21 -350.00 -387.50
1980 1980-04-08 -0.400 1980-05-09 -0.300 0.100 50.00 32 1980-04-29 250.00 1980-05-02 -25.00 -275.00
1979 1979-04-09 -0.600 1979-05-11 -1.375 -0.775 -387.50 33 - 0.00 1979-04-17 -737.50 -737.50
1978 1978-04-10 -0.750 1978-05-11 -0.075 0.675 337.50 32 1978-05-05 337.50 1978-04-11 -100.00 -300.00
1977 1977-04-11 -0.125 1977-05-11 0.475 0.600 300.00 31 1977-05-11 300.00 - 0.00 -200.00
1976 1976-04-08 -0.525 1976-05-11 -0.300 0.225 112.50 34 1976-04-21 287.50 1976-04-27 -87.50 -375.00
1975 1975-04-08 -0.500 1975-05-09 -0.750 -0.250 -125.00 32 1975-04-25 425.00 1975-04-21 -250.00 -650.00
1974 1974-04-08 0.500 1974-05-10 -0.150 -0.650 -325.00 33 1974-04-10 425.00 1974-04-22 -550.00 -975.00
1973 1973-04-09 -0.425 1973-05-11 -0.250 0.175 87.50 33 1973-05-11 87.50 1973-04-17 -287.50 -287.50
1972 1972-04-10 -0.275 1972-05-11 -0.050 0.225 112.50 32 1972-04-26 200.00 1972-04-18 -37.50 -150.00