Commodity Futures Spread Strategy for August, 2014 - Buy HOZ14-HOH15

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Commodity Futures Spread Strategy for August, 2014 - Buy HOZ14-HOH15

This futures spread combines several conditions to create good trading opportunity.

  • 87% Win in last 15 years
  • Seasonal patterns correlation over 90%
  • Possible to entry around support and use a small stop-loss
  • Double bottom pattern
  • Low margin requirements

Backtest Buy HOZ14-HOH15 Entry: 2014-08-03 Exit: 2014-08-27

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% 25 22.88 9999 256.20 5.72 572.04 -319.20 572.04 0.00 657.72 -115.08 2860.20 2860.20 0.00 256.20
10 90% 9 1 80% 25 12.70 7.05 357.00 3.20 317.52 -491.40 462.53 -262.50 587.16 -183.54 3175.20 3700.20 -525.00 357.00
15 87% 13 2 60% 25 17.88 8.79 357.00 4.23 446.88 -442.12 630.35 -287.00 682.64 -161.56 6703.20 7564.20 -861.00 256.20
20 75% 15 5 65% 25 12.19 3.87 357.00 2.85 304.71 -408.24 586.80 -353.50 549.78 -192.57 6094.20 8215.20 -2121.00 357.00
30 70% 21 9 60% 25 11.03 3.79 357.00 2.64 275.80 -361.90 561.75 -296.10 496.16 -188.16 8274.00 11235.00 -2961.00 357.00
35 69% 24 11 57% 25 11.00 3.73 357.00 2.33 274.92 -372.84 571.57 -293.65 490.80 -210.60 9622.20 13146.00 -3523.80 357.00
Equity for backtest
Year Enter date Enter price Exit date Exit price Points Profit Days# Best Date Best Worst Date Worst Drawdown
2013 2013-08-05 0.0255 2013-08-27 0.0405 0.0150 630.00 23 2013-08-27 630.00 2013-08-07 -256.20 -256.20
2012 2012-08-03 0.0179 2012-08-27 0.0420 0.0241 1012.20 25 2012-08-27 1012.20 2012-08-13 -58.80 -369.60
2011 2011-08-03 -0.0057 2011-08-26 0.0137 0.0194 814.80 24 2011-08-26 814.80 2011-08-09 -121.80 -331.80
2010 2010-08-03 -0.0512 2010-08-27 -0.0465 0.0047 197.40 25 2010-08-26 210.00 2010-08-10 -138.60 -222.60
2009 2009-08-03 -0.0726 2009-08-27 -0.0677 0.0049 205.80 25 2009-08-24 621.60 - 0.00 -415.80
2008 2008-08-04 -0.0430 2008-08-27 -0.0345 0.0085 357.00 24 2008-08-27 357.00 2008-08-25 -357.00 -546.00
2007 2007-08-03 0.0015 2007-08-27 0.0070 0.0055 231.00 25 2007-08-17 777.00 2007-08-06 -273.00 -777.00
2006 2006-08-03 -0.0415 2006-08-25 -0.0355 0.0060 252.00 23 2006-08-22 378.00 2006-08-14 -84.00 -378.00
2005 2005-08-03 -0.0240 2005-08-26 -0.0240 0.0000 0.00 24 2005-08-12 903.00 2005-08-26 -0.00 -903.00
2004 2004-08-03 0.0435 2004-08-27 0.0310 -0.0125 -525.00 25 2004-08-05 168.00 2004-08-26 -546.00 -714.00
2003 2003-08-04 0.0425 2003-08-27 0.0345 -0.0080 -336.00 24 2003-08-07 189.00 2003-08-19 -462.00 -651.00
2002 2002-08-05 0.0080 2002-08-27 0.0275 0.0195 819.00 23 2002-08-21 861.00 - 0.00 -126.00
2001 2001-08-03 0.0220 2001-08-27 0.0295 0.0075 315.00 25 2001-08-27 315.00 2001-08-20 -126.00 -315.00
2000 2000-08-03 0.0525 2000-08-25 0.1045 0.0520 2184.00 23 2000-08-25 2184.00 - 0.00 -331.80
1999 1999-08-03 0.0120 1999-08-27 0.0250 0.0130 546.00 25 1999-08-23 819.00 - 0.00 -294.00
1998 1998-08-03 -0.0245 1998-08-27 -0.0290 -0.0045 -189.00 25 - 0.00 1998-08-27 -189.00 -189.00
1997 1997-08-04 0.0120 1997-08-27 -0.0035 -0.0155 -651.00 24 1997-08-05 21.00 1997-08-26 -672.00 -693.00
1996 1996-08-05 0.0350 1996-08-27 0.0455 0.0105 441.00 23 1996-08-22 525.00 1996-08-06 -126.00 -147.00
1995 1995-08-03 0.0115 1995-08-25 0.0165 0.0050 210.00 23 1995-08-25 210.00 1995-08-14 -0.00 -63.00
1994 1994-08-03 0.0070 1994-08-26 -0.0030 -0.0100 -420.00 24 - 0.00 1994-08-23 -441.00 -441.00
1993 1993-08-03 -0.0015 1993-08-27 0.0025 0.0040 168.00 25 1993-08-27 168.00 1993-08-09 -336.00 -336.00
1992 1992-08-03 0.0270 1992-08-27 0.0210 -0.0060 -252.00 25 - 0.00 1992-08-11 -336.00 -336.00
1991 1991-08-05 0.0373 1991-08-27 0.0387 0.0014 58.80 23 1991-08-20 436.80 1991-08-14 -67.20 -378.00
1990 1990-08-03 0.0365 1990-08-27 0.0863 0.0498 2091.60 25 1990-08-27 2091.60 1990-08-06 -0.00 -96.60
1989 1989-08-03 0.0245 1989-08-25 0.0288 0.0043 180.60 23 1989-08-21 298.20 1989-08-08 -126.00 -126.00
1988 1988-08-03 0.0150 1988-08-26 0.0141 -0.0009 -37.80 24 1988-08-11 8.40 1988-08-15 -58.80 -67.20
1987 1987-08-03 0.0067 1987-08-27 -0.0020 -0.0087 -365.40 25 1987-08-06 12.60 1987-08-25 -415.80 -428.40
1986 1986-08-04 0.0145 1986-08-27 0.0234 0.0089 373.80 24 1986-08-26 441.00 - 0.00 -79.80
1985 1985-08-05 0.0306 1985-08-27 0.0341 0.0035 147.00 23 1985-08-15 327.60 1985-08-06 -46.20 -331.80
1984 1984-08-03 0.0238 1984-08-27 0.0194 -0.0044 -184.80 25 1984-08-07 105.00 1984-08-22 -407.40 -512.40
1983 1983-08-03 0.0162 1983-08-26 0.0238 0.0076 319.20 24 1983-08-15 483.00 1983-08-04 -168.00 -294.00
1982 1982-08-03 -0.0051 1982-08-27 0.0295 0.0346 1453.20 25 1982-08-20 1503.60 - 0.00 -214.20
1981 1981-08-03 -0.0419 1981-08-27 -0.0386 0.0033 138.60 25 1981-08-20 159.60 1981-08-12 -180.60 -201.60
1980 1980-08-04 -0.0290 1980-08-27 -0.0410 -0.0120 -504.00 24 1980-08-05 21.00 1980-08-21 -621.60 -642.60
1979 1979-08-03 -0.0060 1979-08-27 -0.0074 -0.0014 -58.80 25 1979-08-24 126.00 1979-08-14 -756.00 -840.00