Commodity Futures Spread Strategy for February, 2014 - Buy FCQ14-FCK14

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Commodity Futures Spread Strategy for February, 2014 - Buy FCQ14-FCK14

This spread combines several conditions to create good trading opportunity.

  • 93% Win in last 15 years
  • Close legs with expected lower volatility
  • Seasonal patterns correlation over 90%
  • Spread historically moves in a narrow range
  • Possible to use small stop-loss

Backtest Buy FCQ14-FCK14 Entry: 2014-02-01 Exit: 2014-04-14

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% 73 10.31 9999 300.00 8.21 752.50 -690.00 940.62 0.00 1087.50 -132.50 3762.50 3762.50 0.00 175.00
10 90% 9 1 80% 73 7.41 8.73 1125.00 3.14 541.25 -857.50 764.06 -350.00 997.50 -317.50 5412.50 6112.50 -700.00 175.00
15 93% 14 1 80% 73 7.50 12.73 1125.00 3.81 547.50 -687.50 685.58 -350.00 920.00 -241.67 8212.50 8912.50 -700.00 175.00
20 80% 16 4 80% 73 5.77 6.22 1125.00 3.27 421.25 -657.50 669.17 -322.50 814.38 -249.37 8425.00 10037.50 -1612.50 337.50
30 70% 21 9 73% 73 3.72 3.58 1125.00 2.09 271.67 -650.42 565.63 -316.25 637.92 -305.83 8150.00 11312.50 -3162.50 637.50
39 59% 23 16 82% 73 1.54 1.62 1125.00 1.39 112.50 -707.37 519.32 -413.97 547.44 -394.55 4387.50 11425.00 -7037.50 637.50
Equity for backtest
Year Enter date Enter price Exit date Exit price Points Profit Days# Best Date Best Worst Date Worst Drawdown
2013 2013-02-01 5.375 2013-04-12 6.875 1.500 750.00 71 2013-03-22 1162.50 2013-02-04 -12.50 -575.00
2012 2012-02-01 1.450 2012-04-13 3.700 2.250 1125.00 73 2012-04-13 1125.00 2012-02-08 -175.00 -537.50
2011 2011-02-01 0.500 2011-04-14 3.600 3.100 1550.00 73 2011-04-05 1587.50 2011-02-25 -175.00 -475.00
2010 2010-02-01 1.250 2010-04-14 1.925 0.675 337.50 73 2010-03-08 625.00 2010-03-19 -300.00 -925.00
2009 2009-02-02 1.850 2009-04-14 1.850 0.000 0.00 72 2009-03-18 937.50 - 0.00 -937.50
2008 2008-02-01 0.625 2008-04-14 3.700 3.075 1537.50 74 2008-03-31 1950.00 - 0.00 -587.50
2007 2007-02-01 2.225 2007-04-13 2.275 0.050 25.00 72 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 2005-04-14 1.525 0.550 275.00 73 2005-02-18 862.50 2005-03-10 -200.00 -1062.50
2004 2004-02-02 2.375 2004-04-14 0.975 -1.400 -700.00 73 2004-02-10 500.00 2004-04-01 -1162.50 -1662.50
2003 2003-02-03 2.425 2003-04-14 3.550 1.125 562.50 71 2003-04-11 637.50 - 0.00 -212.50
2002 2002-02-01 1.225 2002-04-12 3.750 2.525 1262.50 71 2002-04-11 1462.50 - 0.00 -262.50
2001 2001-02-01 1.100 2001-04-12 1.175 0.075 37.50 71 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 1999-04-14 2.400 0.875 437.50 73 1999-03-17 725.00 1999-02-05 -337.50 -625.00
1998 1998-02-02 1.875 1998-04-14 1.775 -0.100 -50.00 72 1998-03-30 487.50 1998-04-13 -212.50 -700.00
1997 1997-02-03 3.650 1997-04-14 2.800 -0.850 -425.00 71 1997-03-27 162.50 1997-04-14 -425.00 -587.50
1996 1996-02-01 0.325 1996-04-12 2.025 1.700 850.00 72 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 1994-04-14 0.200 -0.875 -437.50 73 1994-02-07 187.50 1994-04-13 -437.50 -625.00
1993 1993-02-01 -0.425 1993-04-14 -0.725 -0.300 -150.00 73 1993-02-19 137.50 1993-03-23 -362.50 -500.00
1992 1992-02-03 -0.175 1992-04-14 -1.925 -1.750 -875.00 72 1992-02-26 62.50 1992-04-10 -900.00 -962.50
1991 1991-02-01 0.075 1991-04-12 -0.575 -0.650 -325.00 71 1991-02-07 137.50 1991-02-26 -362.50 -500.00
1990 1990-02-01 -0.400 1990-04-12 -0.475 -0.075 -37.50 71 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 1988-04-14 -0.700 0.050 25.00 74 1988-02-24 250.00 1988-03-30 -350.00 -600.00
1987 1987-02-02 -0.575 1987-04-14 -0.900 -0.325 -162.50 72 - 0.00 1987-02-23 -687.50 -687.50
1986 1986-02-03 1.500 1986-04-14 1.575 0.075 37.50 71 1986-02-19 375.00 1986-03-12 -350.00 -725.00
1985 1985-02-01 0.700 1985-04-12 2.025 1.325 662.50 71 1985-03-01 675.00 1985-02-15 -75.00 -437.50
1984 1984-02-01 -0.050 1984-04-13 0.200 0.250 125.00 73 1984-04-05 275.00 1984-03-05 -425.00 -525.00
1983 1983-02-01 0.775 1983-04-14 -1.425 -2.200 -1100.00 73 1983-02-03 12.50 1983-04-13 -1237.50 -1250.00
1982 1982-02-01 0.125 1982-04-14 -1.025 -1.150 -575.00 73 - 0.00 1982-04-05 -975.00 -975.00
1981 1981-02-02 0.950 1981-04-14 1.075 0.125 62.50 72 1981-04-02 425.00 1981-02-13 -375.00 -462.50
1980 1980-02-01 0.550 1980-04-14 0.650 0.100 50.00 74 1980-04-14 50.00 1980-02-15 -650.00 -687.50
1979 1979-02-01 0.700 1979-04-12 -1.400 -2.100 -1050.00 71 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 1977-04-14 0.100 -0.550 -275.00 73 1977-02-24 375.00 1977-04-14 -275.00 -650.00
1976 1976-02-02 0.000 1976-04-14 -0.500 -0.500 -250.00 73 1976-03-01 700.00 1976-04-08 -375.00 -1075.00
1975 1975-02-03 0.050 1975-04-14 -0.775 -0.825 -412.50 71 1975-02-19 200.00 1975-04-11 -550.00 -750.00