Commodity Futures Spread Strategy for March, 2013 - BUY LCZ13-LCV13

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Commodity Futures Spread Strategy for March, 2013 - BUY LCZ13-LCV13

Spread is moving for last several months in range area of 0.5 - 2. Seasonality starts in March and ends in first half of June. Aggresive traders can enter at around 1.2, more conservative traders can wait for better price at around 0.8. Spread has nice support so stop loss should be placed below it at around 0.5. First logical area to place profit target is top of the channel at 2 where all or portion of position can be sold. Development from last years suggest potentional to rise to level around 3.

Backtest BUY LCZ13-LCV13 (HEZ13-HEV13) Entry: 2013-03-02 Exit: 2013-06-11

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 40% 102 7.86 9999 580.00 4.61 802.00 -608.00 802.00 0.00 904.00 -196.00 4010.00 4010.00 0.00 110.00
10 90% 9 1 50% 102 5.21 12.80 580.00 2.42 531.00 -596.00 640.00 -450.00 686.00 -283.00 5310.00 5760.00 -450.00 110.00
15 87% 13 2 53% 102 4.01 11.96 580.00 2.37 409.33 -516.00 515.38 -280.00 563.33 -237.33 6140.00 6700.00 -560.00 580.00
20 75% 15 5 70% 102 2.82 4.99 580.00 2.04 287.50 -507.50 479.33 -288.00 502.50 -246.00 5750.00 7190.00 -1440.00 580.00
30 70% 21 9 67% 102 2.26 3.49 580.00 1.76 230.33 -470.33 461.43 -308.89 434.67 -246.33 6910.00 9690.00 -2780.00 580.00
48 58% 28 20 73% 102 1.07 2.02 580.00 1.24 108.75 -454.79 368.57 -255.00 330.83 -266.67 5220.00 10320.00 -5100.00 580.00
Equity for backtest
Year Enter date Enter price Exit date Exit price Points Profit Days# Best Date Best Worst Date Worst Drawdown
2012 2012-03-02 0.775 2012-06-11 3.775 3.000 1200.00 102 2012-06-11 1200.00 - 0.00 -480.00
2011 2011-03-02 0.350 2011-06-10 4.800 4.450 1780.00 101 2011-06-09 1840.00 2011-04-01 -110.00 -320.00
2010 2010-03-02 1.400 2010-06-11 2.675 1.275 510.00 102 2010-06-11 510.00 2010-05-25 -150.00 -550.00
2009 2009-03-02 1.750 2009-06-11 1.950 0.200 80.00 102 2009-03-26 360.00 2009-04-09 -140.00 -500.00
2008 2008-03-03 1.150 2008-06-11 2.250 1.100 440.00 101 2008-03-28 610.00 2008-05-02 -580.00 -1190.00
2007 2007-03-02 -0.100 2007-06-11 1.025 1.125 450.00 102 2007-06-08 590.00 2007-04-09 -230.00 -510.00
2006 2006-03-02 1.425 2006-06-09 1.850 0.425 170.00 100 2006-03-28 530.00 2006-03-07 -60.00 -560.00
2005 2005-03-02 1.550 2005-06-10 2.025 0.475 190.00 101 2005-06-03 210.00 2005-04-29 -290.00 -320.00
2004 2004-03-02 1.525 2004-06-10 0.400 -1.125 -450.00 101 2004-03-03 70.00 2004-05-06 -1270.00 -1340.00
2003 2003-03-03 1.025 2003-06-11 3.375 2.350 940.00 101 2003-06-11 940.00 - 0.00 -190.00
2002 2002-03-04 0.750 2002-06-11 1.800 1.050 420.00 100 2002-04-08 620.00 2002-03-05 -20.00 -400.00
2001 2001-03-02 0.925 2001-06-11 0.650 -0.275 -110.00 102 2001-03-08 80.00 2001-05-29 -280.00 -360.00
2000 2000-03-02 1.100 2000-06-09 1.625 0.525 210.00 100 2000-06-01 290.00 2000-03-07 -0.00 -200.00
1999 1999-03-02 1.450 1999-06-11 1.550 0.100 40.00 102 1999-03-31 230.00 1999-06-08 -200.00 -430.00
1998 1998-03-02 0.850 1998-06-11 1.525 0.675 270.00 102 1998-06-08 370.00 1998-04-21 -230.00 -390.00
1997 1997-03-03 2.000 1997-06-11 2.425 0.425 170.00 101 1997-06-05 290.00 1997-05-01 -170.00 -320.00
1996 1996-03-04 -0.975 1996-06-11 -2.300 -1.325 -530.00 100 1996-04-25 250.00 1996-06-03 -640.00 -890.00
1995 1995-03-02 0.975 1995-06-09 0.700 -0.275 -110.00 100 1995-04-11 440.00 1995-06-08 -110.00 -550.00
1994 1994-03-02 0.300 1994-06-10 1.100 0.800 320.00 101 1994-06-07 540.00 1994-04-06 -90.00 -220.00
1993 1993-03-02 0.625 1993-06-11 0.025 -0.600 -240.00 102 1993-03-03 80.00 1993-03-18 -350.00 -430.00
1992 1992-03-02 0.750 1992-06-11 -0.525 -1.275 -510.00 102 1992-03-05 20.00 1992-05-05 -550.00 -570.00
1991 1991-03-04 0.825 1991-06-11 1.050 0.225 90.00 100 1991-06-10 90.00 1991-04-26 -330.00 -330.00
1990 1990-03-02 0.550 1990-06-11 -0.275 -0.825 -330.00 102 1990-04-30 90.00 1990-06-07 -390.00 -480.00
1989 1989-03-02 1.100 1989-06-09 0.300 -0.800 -320.00 100 1989-05-25 280.00 1989-06-09 -320.00 -600.00
1988 1988-03-02 0.475 1988-06-10 2.100 1.625 650.00 101 1988-06-10 650.00 - 0.00 -380.00
1987 1987-03-02 -0.250 1987-06-11 1.900 2.150 860.00 102 1987-06-11 860.00 1987-03-18 -30.00 -230.00
1986 1986-03-03 1.600 1986-06-11 2.375 0.775 310.00 101 1986-06-11 310.00 1986-05-09 -210.00 -470.00
1985 1985-03-04 1.450 1985-06-11 1.000 -0.450 -180.00 100 1985-04-24 20.00 1985-04-02 -250.00 -260.00
1984 1984-03-02 0.600 1984-06-11 1.700 1.100 440.00 102 1984-06-06 520.00 1984-03-07 -40.00 -170.00
1983 1983-03-02 0.950 1983-06-10 1.325 0.375 150.00 101 1983-06-10 150.00 1983-04-06 -350.00 -470.00
1982 1982-03-02 0.325 1982-06-11 0.000 -0.325 -130.00 102 1982-04-15 140.00 1982-05-28 -280.00 -420.00
1981 1981-03-02 1.225 1981-06-11 0.825 -0.400 -160.00 102 1981-05-27 390.00 1981-04-16 -170.00 -550.00
1980 1980-03-03 1.100 1980-06-11 1.350 0.250 100.00 101 1980-05-29 200.00 1980-04-23 -410.00 -580.00
1979 1979-03-02 1.325 1979-06-11 1.100 -0.225 -90.00 102 - 0.00 1979-04-30 -570.00 -570.00
1978 1978-03-02 0.450 1978-06-09 1.000 0.550 220.00 100 1978-06-06 240.00 1978-05-30 -240.00 -350.00
1977 1977-03-02 1.275 1977-06-10 1.325 0.050 20.00 101 1977-06-09 110.00 1977-05-10 -240.00 -330.00
1976 1976-03-02 0.625 1976-06-11 0.375 -0.250 -100.00 102 1976-03-16 210.00 1976-04-13 -720.00 -930.00
1975 1975-03-03 0.075 1975-06-11 -1.750 -1.825 -730.00 101 1975-03-12 130.00 1975-06-09 -790.00 -920.00
1974 1974-03-04 0.425 1974-06-11 -0.150 -0.575 -230.00 100 1974-03-06 400.00 1974-05-22 -600.00 -1000.00
1973 1973-03-02 -0.200 1973-06-11 0.025 0.225 90.00 102 1973-04-11 290.00 1973-04-10 -210.00 -400.00
1972 1972-03-02 -0.200 1972-06-09 0.050 0.250 100.00 100 1972-06-05 240.00 1972-04-06 -70.00 -140.00
1971 1971-03-02 -0.200 1971-06-11 -0.050 0.150 60.00 102 1971-03-03 80.00 1971-04-23 -70.00 -150.00
1970 1970-03-02 -0.300 1970-06-11 -0.550 -0.250 -100.00 102 1970-04-14 80.00 1970-05-28 -140.00 -220.00
1969 1969-03-03 0.125 1969-06-11 -0.925 -1.050 -420.00 101 - 0.00 1969-05-19 -420.00 -420.00
1968 1968-03-04 0.000 1968-06-11 -0.200 -0.200 -80.00 100 1968-04-02 50.00 1968-04-29 -100.00 -150.00
1967 1967-03-02 0.500 1967-06-09 0.050 -0.450 -180.00 100 1967-04-27 50.00 1967-06-09 -180.00 -230.00
1966 1966-03-02 0.500 1966-06-10 0.600 0.100 40.00 101 1966-05-26 120.00 1966-03-31 -80.00 -130.00
1965 1965-03-02 -0.275 1965-06-11 -0.525 -0.250 -100.00 102 1965-05-05 110.00 1965-06-10 -120.00 -230.00