Commodity Futures Spread Strategy for September, 2013 - Buy HOG14-HOF14

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Commodity Futures Spread Strategy for September, 2013 - Buy HOG14-HOF14

This spread combines several conditions to create good trading opportunity.

  • 100% Win probability in last 15years
  • Seasonal patterns correlation - All patterns up to 20 years have similar movement and correlation
  • 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 HOG14-HOF14 Entry: 2013-09-11 Exit: 2013-12-10

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% 91 5.46 9999 806.40 1.31 496.44 -608.16 496.44 0.00 592.20 -452.76 2482.20 2482.20 0.00 806.40
10 100% 10 0 50% 91 7.88 9999 1176.00 1.79 717.36 -682.08 717.36 0.00 774.06 -432.18 7173.60 7173.60 0.00 1176.00
15 100% 15 0 53% 91 6.90 9999 1176.00 1.90 627.76 -668.08 627.76 0.00 732.76 -385.28 9416.40 9416.40 0.00 1176.00
20 90% 18 2 55% 91 5.63 41.63 1176.00 1.77 511.98 -594.93 582.87 -126.00 627.90 -354.06 10239.60 10491.60 -252.00 1176.00
30 77% 23 7 50% 91 4.54 7.46 1176.00 1.70 413.42 -571.06 622.70 -274.20 605.08 -356.58 12402.60 14322.00 -1919.40 1176.00
34 76% 26 8 50% 91 4.50 6.74 1176.00 1.71 409.25 -586.76 628.38 -302.93 621.97 -363.18 13914.60 16338.00 -2423.40 1176.00
Equity for backtest
Year Enter date Enter price Exit date Exit price Points Profit Days# Best Date Best Worst Date Worst Drawdown
2013 2012-09-11 -0.0134 2012-12-10 0.0094 0.0228 957.60 91 2012-12-04 982.80 2012-10-11 -777.00 -827.40
2012 2011-09-12 -0.0023 2011-12-09 0.0122 0.0145 609.00 89 2011-12-09 609.00 2011-10-14 -806.40 -882.00
2011 2010-09-13 0.0145 2010-12-10 0.0146 0.0001 4.20 89 2010-12-08 193.20 2010-11-10 -369.60 -457.80
2010 2009-09-11 0.0241 2009-12-10 0.0263 0.0022 92.40 91 2009-11-27 357.00 2009-10-21 -163.80 -264.60
2009 2008-09-11 0.0135 2008-12-10 0.0330 0.0195 819.00 91 2008-12-10 819.00 2008-09-16 -147.00 -609.00
2008 2007-09-11 -0.0190 2007-12-10 0.0005 0.0195 819.00 91 2007-12-10 819.00 2007-09-13 -42.00 -756.00
2007 2006-09-11 0.0255 2006-12-08 0.0394 0.0139 583.80 89 2006-12-07 634.20 - 0.00 -399.00
2006 2005-09-12 0.0050 2005-12-09 0.0518 0.0468 1965.60 89 2005-12-09 1965.60 2005-09-29 -630.00 -1050.00
2005 2004-09-13 -0.0120 2004-12-10 0.0129 0.0249 1045.80 89 2004-12-10 1045.80 2004-10-22 -1176.00 -1176.00
2004 2003-09-11 -0.0040 2003-12-10 0.0026 0.0066 277.20 91 2003-12-09 315.00 2003-10-10 -210.00 -399.00
2003 2002-09-11 -0.0120 2002-12-10 -0.0010 0.0110 462.00 91 2002-12-06 546.00 2002-09-24 -189.00 -420.00
2002 2001-09-14 -0.0130 2001-12-10 0.0146 0.0276 1159.20 88 2001-12-10 1159.20 - 0.00 -210.00
2001 2000-09-11 -0.0370 2000-12-08 -0.0363 0.0007 29.40 89 2000-11-06 840.00 2000-12-04 -1079.40 -1919.40
2000 1999-09-13 -0.0105 1999-12-10 -0.0023 0.0082 344.40 89 1999-10-08 399.00 1999-11-24 -168.00 -567.00
1999 1998-09-11 0.0065 1998-12-10 0.0124 0.0059 247.80 91 1998-12-04 306.60 1998-09-18 -21.00 -84.00
1998 1997-09-11 0.0040 1997-12-10 0.0078 0.0038 159.60 91 1997-12-10 159.60 1997-11-14 -210.00 -210.00
1997 1996-09-11 -0.0200 1996-12-10 -0.0052 0.0148 621.60 91 1996-12-10 621.60 1996-10-07 -588.00 -672.00
1996 1995-09-11 -0.0075 1995-12-08 -0.0124 -0.0049 -205.80 89 1995-10-19 294.00 1995-12-08 -205.80 -499.80
1995 1994-09-12 0.0035 1994-12-09 0.0024 -0.0011 -46.20 89 1994-12-02 197.40 1994-12-09 -46.20 -243.60
1994 1993-09-13 0.0035 1993-12-10 0.0105 0.0070 294.00 89 1993-12-10 294.00 1993-09-30 -252.00 -252.00
1993 1992-09-11 -0.0108 1992-12-10 0.0063 0.0171 718.20 91 1992-12-09 819.00 1992-10-15 -96.60 -214.20
1992 1991-09-11 -0.0125 1991-12-10 0.0118 0.0243 1020.60 91 1991-12-10 1020.60 1991-10-24 -310.80 -319.20
1991 1990-09-11 -0.0250 1990-12-10 -0.0321 -0.0071 -298.20 91 1990-12-05 533.40 1990-10-09 -1260.00 -1344.00
1990 1989-09-11 -0.0105 1989-12-08 -0.0204 -0.0099 -415.80 89 1989-11-10 193.20 1989-12-08 -415.80 -609.00
1989 1988-09-12 -0.0035 1988-12-09 -0.0061 -0.0026 -109.20 89 1988-10-03 180.60 1988-11-22 -378.00 -558.60
1988 1987-09-11 0.0025 1987-12-10 -0.0168 -0.0193 -810.60 91 1987-09-16 25.20 1987-12-10 -810.60 -835.80
1987 1986-09-11 0.0040 1986-12-10 0.0044 0.0004 16.80 91 1986-10-31 289.80 1986-09-19 -84.00 -294.00
1986 1985-09-11 -0.0190 1985-12-10 0.0235 0.0425 1785.00 91 1985-12-10 1785.00 - 0.00 -344.40
1985 1984-09-11 -0.0060 1984-12-10 0.0009 0.0069 289.80 91 1984-12-04 407.40 1984-10-02 -100.80 -235.20
1984 1983-09-12 -0.0087 1983-12-09 -0.0095 -0.0008 -33.60 89 1983-11-01 340.20 1983-09-23 -159.60 -478.80
1983 1982-09-13 -0.0015 1982-12-10 0.0001 0.0016 67.20 89 1982-09-22 277.20 1982-11-30 -554.40 -831.60
1982 1981-09-11 0.0135 1981-12-10 0.0015 -0.0120 -504.00 91 - 0.00 1981-12-08 -537.60 -537.60
1981 1980-09-11 0.0132 1980-12-10 0.0251 0.0119 499.80 91 1980-12-01 848.40 1980-09-25 -117.60 -399.00
1980 1979-09-11 0.0130 1979-12-10 0.0475 0.0345 1449.00 91 1979-11-14 1869.00 1979-09-24 -441.00 -1050.00