Futures Spread Strategy For March, 2016 - Buy LCZ16-LCV16

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Futures Spread Strategy For March, 2016 - Buy LCZ16-LCV16

This spread combines several conditions to create good trading opportunity.

  • 87% Win for last 15 years
  • Seasonal patterns correlation - All patterns up to 20 years have similar movement and correlation, more than 80% in seasonal window
  • Strong Support level to place stop loss
  • Historical lows - Current year is moving at historical lows
  • Narrow legs spread with expected lower volatility
  • Long seasonal window - A lot of time for seasonality to kick in. Possibility to take profit earlier

Backtest Buy LCZ16-LCV16 Entry: 2016-03-01 Exit: 2016-06-01

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% 103 8.62 9999 270.00 7.59 888.00 -354.00 888.00 0.00 972.00 -128.00 4440.00 4440.00 0.00 50.00
10 100% 10 0 40% 103 5.88 9999 580.00 4.06 606.00 -508.00 606.00 0.00 743.00 -183.00 6060.00 6060.00 0.00 180.00
15 87% 13 2 60% 103 4.62 13.53 580.00 2.62 476.00 -512.67 593.08 -285.00 629.33 -240.00 7140.00 7710.00 -570.00 180.00
20 85% 17 3 55% 103 3.52 7.54 580.00 2.21 363.00 -496.00 523.12 -277.50 541.50 -244.50 7260.00 8370.00 -1110.00 580.00
30 73% 22 8 70% 103 2.55 3.86 580.00 1.90 262.67 -472.67 506.67 -306.67 469.67 -246.67 7880.00 10640.00 -2760.00 580.00
51 63% 32 19 71% 103 1.31 2.32 580.00 1.36 134.71 -447.06 390.00 -261.00 350.78 -258.43 6870.00 12090.00 -5220.00 580.00
Equity for backtest
Year Enter date Enter price Exit date Exit price Points Profit Days# Best Date Best Worst Date Worst Drawdown
2015 2015-03-02 0.700 2015-06-11 1.025 0.325 130.00 102 2015-04-20 360.00 2015-03-25 -270.00 -410.00
2014 2014-03-03 1.225 2014-06-11 3.125 1.900 760.00 101 2014-05-28 860.00 2014-03-14 -180.00 -330.00
2013 2013-03-01 1.375 2013-06-11 2.475 1.100 440.00 103 2013-06-10 470.00 2013-03-20 -140.00 -230.00
2012 2012-03-01 0.600 2012-06-11 3.775 3.175 1270.00 103 2012-06-11 1270.00 - 0.00 -480.00
2011 2011-03-01 0.200 2011-06-10 4.800 4.600 1840.00 102 2011-06-09 1900.00 2011-04-01 -50.00 -320.00
2010 2010-03-01 1.350 2010-06-11 2.675 1.325 530.00 103 2010-06-11 530.00 2010-05-25 -130.00 -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 2007-03-01 -0.050 2007-06-11 1.025 1.075 430.00 103 2007-06-08 570.00 2007-04-09 -250.00 -510.00
2006 2006-03-01 1.500 2006-06-09 1.850 0.350 140.00 101 2006-03-28 500.00 2006-03-07 -90.00 -560.00
2005 2005-03-01 1.275 2005-06-10 2.025 0.750 300.00 102 2005-06-03 320.00 2005-04-29 -180.00 -320.00
2004 2004-03-01 1.475 2004-06-10 0.400 -1.075 -430.00 102 2004-03-03 90.00 2004-05-06 -1250.00 -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 2002-03-01 0.775 2002-06-11 1.800 1.025 410.00 103 2002-04-08 610.00 2002-03-05 -30.00 -400.00
2001 2001-03-01 1.000 2001-06-11 0.650 -0.350 -140.00 103 2001-03-08 50.00 2001-05-29 -310.00 -360.00
2000 2000-03-01 1.075 2000-06-09 1.625 0.550 220.00 101 2000-06-01 300.00 - 0.00 -200.00
1999 1999-03-01 1.550 1999-06-11 1.550 0.000 0.00 103 1999-03-31 190.00 1999-06-08 -240.00 -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 1996-03-01 -0.950 1996-06-11 -2.300 -1.350 -540.00 103 1996-04-25 240.00 1996-06-03 -650.00 -890.00
1995 1995-03-01 1.050 1995-06-09 0.700 -0.350 -140.00 101 1995-04-11 410.00 1995-06-08 -140.00 -550.00
1994 1994-03-01 0.300 1994-06-10 1.100 0.800 320.00 102 1994-06-07 540.00 1994-04-06 -90.00 -220.00
1993 1993-03-01 0.775 1993-06-11 0.025 -0.750 -300.00 103 1993-03-03 20.00 1993-03-18 -410.00 -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 1991-03-01 0.800 1991-06-11 1.050 0.250 100.00 103 1991-06-10 100.00 1991-04-26 -320.00 -330.00
1990 1990-03-01 0.500 1990-06-11 -0.275 -0.775 -310.00 103 1990-04-30 110.00 1990-06-07 -370.00 -480.00
1989 1989-03-01 1.275 1989-06-09 0.300 -0.975 -390.00 101 1989-05-25 210.00 1989-06-09 -390.00 -600.00
1988 1988-03-01 0.400 1988-06-10 2.100 1.700 680.00 102 1988-06-10 680.00 - 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 1985-03-01 1.475 1985-06-11 1.000 -0.475 -190.00 103 1985-04-24 10.00 1985-04-02 -260.00 -260.00
1984 1984-03-01 0.575 1984-06-11 1.700 1.125 450.00 103 1984-06-06 530.00 1984-03-07 -30.00 -170.00
1983 1983-03-01 0.900 1983-06-10 1.325 0.425 170.00 102 1983-06-10 170.00 1983-04-06 -330.00 -470.00
1982 1982-03-01 0.200 1982-06-11 0.000 -0.200 -80.00 103 1982-04-15 190.00 1982-05-28 -230.00 -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 1979-03-01 0.975 1979-06-11 1.100 0.125 50.00 103 1979-03-02 140.00 1979-04-30 -430.00 -570.00
1978 1978-03-01 0.400 1978-06-09 1.000 0.600 240.00 101 1978-06-06 260.00 1978-05-30 -220.00 -350.00
1977 1977-03-01 1.050 1977-06-10 1.325 0.275 110.00 102 1977-06-09 200.00 1977-05-10 -150.00 -330.00
1976 1976-03-01 0.750 1976-06-11 0.375 -0.375 -150.00 103 1976-03-16 160.00 1976-04-13 -770.00 -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 1974-03-01 0.425 1974-06-11 -0.150 -0.575 -230.00 103 1974-03-06 400.00 1974-05-22 -600.00 -1000.00
1973 1973-03-01 -0.225 1973-06-11 0.025 0.250 100.00 103 1973-04-11 300.00 1973-04-10 -200.00 -400.00
1972 1972-03-01 -0.275 1972-06-09 0.050 0.325 130.00 101 1972-06-05 270.00 1972-04-06 -40.00 -140.00
1971 1971-03-01 -0.250 1971-06-11 -0.050 0.200 80.00 103 1971-03-03 100.00 1971-04-23 -50.00 -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 1968-03-01 0.025 1968-06-11 -0.200 -0.225 -90.00 103 1968-04-02 40.00 1968-04-29 -110.00 -150.00
1967 1967-03-01 0.575 1967-06-09 0.050 -0.525 -210.00 101 1967-04-27 20.00 1967-06-09 -210.00 -230.00
1966 1966-03-01 0.550 1966-06-10 0.600 0.050 20.00 102 1966-05-26 100.00 1966-03-31 -100.00 -130.00
1965 1965-03-01 -0.275 1965-06-11 -0.525 -0.250 -100.00 103 1965-05-05 110.00 1965-06-10 -120.00 -230.00