Commodity Futures Spread Strategy for April, 2013 - BUY HOZ13-HOU13

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Commodity Futures Spread Strategy for April, 2013 - BUY HOZ13-HOU13

This spread combines several conditions to create good trading opportunity:

  • 93% Win probability - Only one year in fifteen was looser
  • Seasonal patterns correlation - All patterns up to 20 years have similar movement and correlation, more than 90% in seasonal window
  • Double bottom formation - Support level to place stop loss
  • Historical lows - Current year is moving around historical lows with nice space for profit
  • Long seasonal window - A lot of time for seasonality to kick in. Possibility to take profit earlier

Backtest BUY HOZ13-HOU13 Entry: 2013-04-02 Exit: 2013-07-23

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% 113 8.10 9999 756.00 5.80 915.60 -914.76 915.60 0.00 1480.08 -255.36 4578.00 4578.00 0.00 756.00
10 90% 9 1 70% 113 7.71 11.92 756.00 3.55 871.50 -814.38 1189.12 -399.00 1265.04 -356.58 8715.00 9513.00 -798.00 756.00
15 93% 14 1 53% 113 6.08 13.92 840.00 3.04 687.40 -721.00 854.54 -399.00 990.36 -325.92 10311.00 11109.00 -798.00 756.00
20 80% 16 4 45% 113 4.61 11.57 840.00 2.81 521.43 -594.51 761.04 -197.40 785.61 -279.51 10428.60 11415.60 -987.00 756.00
30 80% 24 6 40% 113 3.36 10.34 840.00 2.45 379.26 -535.64 547.64 -174.00 626.64 -255.50 11377.80 12595.80 -1218.00 756.00
34 71% 24 10 62% 113 2.49 4.17 840.00 1.86 281.52 -644.58 547.64 -274.91 617.52 -332.79 9571.80 12595.80 -3024.00 756.00
Equity for backtest
Year Enter date Enter price Exit date Exit price Points Profit Days# Best Date Best Worst Date Worst Drawdown
2012 2012-04-02 0.0134 2012-07-23 0.0181 0.0047 197.40 113 2012-06-04 1129.80 2012-07-10 -247.80 -1377.60
2011 2011-04-04 0.0413 2011-07-22 0.0442 0.0029 121.80 110 2011-06-24 877.80 2011-04-08 -63.00 -789.60
2010 2010-04-05 0.0602 2010-07-23 0.0801 0.0199 835.80 110 2010-07-01 1045.80 - 0.00 -777.00
2009 2009-04-02 0.0885 2009-07-23 0.1040 0.0155 651.00 113 2009-07-09 1365.00 2009-04-15 -210.00 -873.60
2008 2008-04-02 0.0395 2008-07-23 0.1055 0.0660 2772.00 113 2008-07-09 2982.00 2008-04-28 -756.00 -756.00
2007 2007-04-02 0.0850 2007-07-23 0.0660 -0.0190 -798.00 113 2007-04-03 210.00 2007-06-21 -1428.00 -1638.00
2006 2006-04-03 0.0860 2006-07-21 0.1575 0.0715 3003.00 110 2006-07-21 3003.00 2006-04-06 -147.00 -546.00
2005 2005-04-04 0.0410 2005-07-22 0.0820 0.0410 1722.00 110 2005-07-22 1722.00 - 0.00 -441.00
2004 2004-04-02 0.0215 2004-07-23 0.0215 0.0000 0.00 113 2004-07-21 84.00 2004-05-12 -441.00 -441.00
2003 2003-04-02 0.0130 2003-07-23 0.0180 0.0050 210.00 113 2003-04-28 231.00 2003-06-06 -273.00 -504.00
2002 2002-04-02 0.0140 2002-07-23 0.0230 0.0090 378.00 113 2002-06-11 567.00 - 0.00 -546.00
2001 2001-04-02 0.0205 2001-07-23 0.0240 0.0035 147.00 113 2001-07-18 231.00 2001-04-16 -378.00 -378.00
2000 2000-04-03 0.0120 2000-07-21 0.0125 0.0005 21.00 110 2000-04-04 42.00 2000-06-29 -840.00 -882.00
1999 1999-04-05 0.0165 1999-07-23 0.0205 0.0040 168.00 110 1999-06-01 441.00 1999-05-03 -21.00 -382.20
1998 1998-04-02 0.0285 1998-07-23 0.0495 0.0210 882.00 113 1998-06-18 924.00 1998-04-16 -84.00 -483.00
1997 1997-04-02 0.0210 1997-07-23 0.0230 0.0020 84.00 113 1997-06-20 294.00 1997-05-20 -168.00 -273.00
1996 1996-04-02 0.0135 1996-07-23 0.0110 -0.0025 -105.00 113 1996-04-18 189.00 1996-07-11 -189.00 -378.00
1995 1995-04-03 0.0265 1995-07-21 0.0255 -0.0010 -42.00 110 - 0.00 1995-05-23 -147.00 -147.00
1994 1994-04-04 0.0290 1994-07-22 0.0280 -0.0010 -42.00 110 1994-07-18 42.00 1994-04-15 -168.00 -168.00
1993 1993-04-02 0.0269 1993-07-23 0.0322 0.0053 222.60 113 1993-07-20 331.80 1993-05-10 -29.40 -109.20
1992 1992-04-02 0.0281 1992-07-23 0.0242 -0.0039 -163.80 113 1992-07-07 71.40 1992-06-25 -289.80 -315.00
1991 1991-04-02 0.0280 1991-07-23 0.0316 0.0036 151.20 113 1991-06-10 315.00 1991-04-12 -126.00 -357.00
1990 1990-04-02 0.0225 1990-07-23 0.0292 0.0067 281.40 113 1990-06-11 630.00 - 0.00 -462.00
1989 1989-04-03 0.0165 1989-07-21 0.0208 0.0043 180.60 110 1989-05-05 252.00 1989-04-11 -0.00 -218.40
1988 1988-04-04 0.0195 1988-07-22 0.0207 0.0012 50.40 110 1988-07-13 298.20 1988-04-21 -197.40 -285.60
1987 1987-04-02 0.0230 1987-07-23 0.0214 -0.0016 -67.20 113 1987-04-13 121.80 1987-05-06 -210.00 -331.80
1986 1986-04-02 0.0240 1986-07-23 0.0264 0.0024 100.80 113 1986-07-08 231.00 1986-05-19 -525.00 -525.00
1985 1985-04-02 0.0240 1985-07-23 0.0243 0.0003 12.60 113 1985-04-09 336.00 1985-06-21 -306.60 -642.60
1984 1984-04-02 0.0305 1984-07-23 0.0309 0.0004 16.80 113 1984-06-21 369.60 1984-05-24 -336.00 -525.00
1983 1983-04-04 0.0230 1983-07-22 0.0322 0.0092 386.40 110 1983-05-12 462.00 1983-04-06 -84.00 -516.60
1982 1982-04-02 0.0460 1982-07-23 0.0234 -0.0226 -949.20 113 1982-05-06 109.20 1982-07-14 -1255.80 -1365.00
1981 1981-04-02 0.0571 1981-07-23 0.0512 -0.0059 -247.80 113 1981-05-22 323.40 1981-06-16 -777.00 -1100.40
1980 1980-04-02 0.0520 1980-07-23 0.0510 -0.0010 -42.00 113 1980-04-23 924.00 1980-07-16 -147.00 -1071.00
1979 1979-04-02 0.0300 1979-07-23 0.0165 -0.0135 -567.00 113 1979-04-04 840.00 1979-07-13 -1470.00 -2310.00