Commodity Futures Spread Strategy for November, 2014 - Buy RBH15-HOJ15

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Commodity Futures Spread Strategy for November, 2014 - Buy RBH15-HOJ15

This spread combines several conditions to create good trading opportunity.

  • 100% Win in last 15 years
  • All patterns up to 20 years have similar movement and correlation over 94%
  • Long seasonal window - A lot of time for seasonality to kick in. Possibility to take profit earlier
  • Futures spread moves in a range
  • Strong support level = small StopLoss

Please note that this is intercommodity spread where you must expect higher volatility

Backtest Buy RBH15-HOJ15 Entry: 2014-10-30 Exit: 2015-01-08

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% 71 47.73 9999 6094.20 2.23 3388.56 -3265.08 3388.56 0.00 4479.72 -2005.92 16942.80 16942.80 0.00 6094.20
10 100% 10 0 70% 71 45.14 9999 6094.20 2.47 3205.02 -3270.54 3205.02 0.00 4465.02 -1805.58 32050.20 32050.20 0.00 6094.20
15 100% 15 0 60% 71 37.27 9999 6094.20 2.59 2646.00 -2605.96 2646.00 0.00 3654.00 -1410.92 39690.00 39690.00 0.00 6094.20
20 90% 18 2 60% 71 28.40 36.82 6094.20 2.39 2016.21 -2145.57 2302.77 -562.80 2867.76 -1198.05 40324.20 41449.80 -1125.60 6094.20
29 86% 25 4 45% 71 20.52 17.71 6094.20 2.23 1457.26 -1766.46 1791.55 -632.10 2210.36 -990.77 42260.40 44788.80 -2528.40 6094.20
Equity for backtest
Year Enter date Enter price Exit date Exit price Points Profit Days# Best Date Best Worst Date Worst Drawdown
2014 2013-10-30 -0.3126 2014-01-08 -0.2509 0.0617 2591.40 71 2013-12-24 3481.80 2013-11-05 -714.00 -2608.20
2013 2012-10-30 -0.3508 2013-01-08 -0.2181 0.1327 5573.40 71 2012-12-26 6287.40 2012-10-31 -159.60 -1738.80
2012 2011-10-31 -0.3781 2012-01-06 -0.2821 0.0960 4032.00 68 2011-12-23 7274.40 2011-11-14 -6094.20 -7849.80
2011 2010-11-01 -0.1666 2011-01-07 -0.0682 0.0984 4132.80 68 2011-01-07 4132.80 2010-11-10 -1554.00 -1554.00
2010 2009-10-30 -0.0576 2010-01-08 -0.0430 0.0146 613.20 71 2009-11-20 1222.20 2009-11-09 -1507.80 -2574.60
2009 2008-10-30 -0.5256 2009-01-08 -0.4019 0.1237 5195.40 71 2009-01-02 6690.60 2008-11-05 -2860.20 -3061.80
2008 2007-10-30 -0.0882 2008-01-08 -0.0870 0.0012 50.40 71 2007-11-02 3036.60 2007-11-29 -1982.40 -5019.00
2007 2006-10-30 -0.1530 2007-01-08 -0.1045 0.0485 2037.00 71 2006-12-29 4309.20 2006-12-06 -25.20 -2272.20
2006 2005-10-31 -0.1633 2006-01-06 0.0161 0.1794 7534.80 68 2006-01-06 7534.80 2005-11-21 -441.00 -2629.20
2005 2004-11-01 0.0036 2005-01-07 0.0105 0.0069 289.80 68 2004-11-03 680.40 2004-12-21 -2717.40 -3397.80
2004 2003-10-30 0.0320 2004-01-08 0.0826 0.0506 2125.20 71 2004-01-08 2125.20 - 0.00 -810.60
2003 2002-10-30 0.0389 2003-01-08 0.0598 0.0209 877.80 71 2002-12-24 2335.20 2002-11-20 -562.80 -1457.40
2002 2001-10-30 -0.0075 2002-01-08 0.0465 0.0540 2268.00 71 2002-01-07 2646.00 - 0.00 -546.00
2001 2000-10-30 0.0294 2001-01-08 0.0777 0.0483 2028.60 71 2001-01-08 2028.60 2000-12-08 -2322.60 -2322.60
2000 1999-11-01 0.0526 2000-01-07 0.0607 0.0081 340.20 68 1999-11-29 1024.80 1999-12-30 -222.60 -1247.40
1999 1998-10-30 0.0331 1999-01-08 0.0262 -0.0069 -289.80 71 1998-11-02 180.60 1998-12-22 -638.40 -819.00
1998 1997-10-30 0.0369 1998-01-08 0.0479 0.0110 462.00 71 1997-12-26 785.40 1997-11-05 -231.00 -567.00
1997 1996-10-30 0.0277 1997-01-08 0.0425 0.0148 621.60 71 1997-01-07 730.80 1996-11-21 -558.60 -558.60
1996 1995-10-30 0.0277 1996-01-05 0.0438 0.0161 676.20 68 1995-12-28 684.60 1995-11-13 -126.00 -470.40
1995 1994-10-31 0.0556 1995-01-06 0.0357 -0.0199 -835.80 68 1994-11-30 163.80 1994-12-19 -1243.20 -1407.00
1994 1993-11-01 -0.0179 1994-01-07 -0.0170 0.0009 37.80 68 1993-11-04 42.00 1993-12-27 -659.40 -701.40
1993 1992-10-30 -0.0039 1993-01-08 0.0063 0.0102 428.40 71 1993-01-06 630.00 1992-11-11 -243.60 -407.40
1992 1991-10-30 0.0151 1992-01-08 0.0193 0.0042 176.40 71 1992-01-02 1008.00 1991-12-11 -298.20 -1087.80
1991 1990-10-30 0.0193 1991-01-08 0.0202 0.0009 37.80 71 1991-01-07 1197.00 1990-12-19 -449.40 -1398.60
1990 1989-10-30 0.0090 1990-01-08 0.0349 0.0259 1087.80 71 1990-01-05 1608.60 1989-12-11 -785.40 -785.40
1989 1988-10-31 0.0233 1989-01-06 0.0049 -0.0184 -772.80 68 1988-11-17 382.20 1988-12-14 -1197.00 -1579.20
1988 1987-10-30 0.0026 1988-01-08 -0.0124 -0.0150 -630.00 71 - 0.00 1988-01-07 -793.80 -793.80
1987 1986-10-30 0.0070 1987-01-08 0.0131 0.0061 256.20 71 1987-01-06 537.60 1986-12-16 -323.40 -667.80
1986 1985-10-30 -0.0230 1986-01-08 0.0083 0.0313 1314.60 71 1985-12-06 1339.80 1985-11-19 -21.00 -894.60