Commodity futures spread strategy for January, 2015 - Buy LCV15-LCQ15

You can also browse other Free Futures Spread Trading Strategies, we publish a free trading strategy each month.

Commodity futures spread strategy for January, 2015 - Buy LCV15-LCQ15

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
  • Strong Support level to place stop loss
  • Narrow legs spread with expected lower volatility
  • 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 LCV15-LCQ15 Entry: 2015-01-01 Exit: 2015-03-08

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% 67 5.07 9999 250.00 3.97 340.00 -354.00 340.00 0.00 484.00 -122.00 1700.00 1700.00 0.00 70.00
10 100% 10 0 80% 67 5.37 9999 250.00 6.31 360.00 -328.00 360.00 0.00 530.00 -84.00 3600.00 3600.00 0.00 90.00
15 93% 14 1 73% 67 4.01 6.76 250.00 3.95 268.67 -326.00 337.86 -700.00 455.33 -115.33 4030.00 4730.00 -700.00 110.00
20 85% 17 3 80% 67 2.99 3.62 400.00 2.29 200.50 -341.00 325.88 -510.00 389.00 -169.50 4010.00 5540.00 -1530.00 170.00
30 83% 25 5 80% 67 2.61 3.06 400.00 2.24 174.67 -324.67 311.20 -508.00 371.00 -165.67 5240.00 7780.00 -2540.00 180.00
50 64% 32 18 70% 67 1.27 1.86 400.00 1.65 85.00 -321.00 296.45 -260.00 294.60 -179.00 4250.00 9190.00 -4940.00 250.00
Equity for backtest
Year Enter date Enter price Exit date Exit price Points Profit Days# Best Date Best Worst Date Worst Drawdown
2014 2014-01-02 3.150 2014-03-07 3.500 0.350 140.00 65 2014-01-09 250.00 2014-01-29 -250.00 -500.00
2013 2013-01-02 3.675 2013-03-08 4.200 0.525 210.00 66 2013-02-27 510.00 2013-01-04 -170.00 -340.00
2012 2012-01-03 2.575 2012-03-08 4.950 2.375 950.00 66 2012-03-07 980.00 2012-01-26 -70.00 -230.00
2011 2011-01-03 2.300 2011-03-08 3.100 0.800 320.00 65 2011-02-07 450.00 2011-01-04 -70.00 -420.00
2010 2010-01-04 2.225 2010-03-08 2.425 0.200 80.00 64 2010-01-28 230.00 2010-02-19 -50.00 -280.00
2009 2009-01-02 2.950 2009-03-06 3.800 0.850 340.00 64 2009-02-18 480.00 - 0.00 -280.00
2008 2008-01-02 3.875 2008-03-07 5.325 1.450 580.00 66 2008-03-06 790.00 - 0.00 -230.00
2007 2007-01-03 2.025 2007-03-08 3.375 1.350 540.00 65 2007-02-16 760.00 - 0.00 -240.00
2006 2006-01-03 2.625 2006-03-08 3.675 1.050 420.00 65 2006-03-08 420.00 2006-01-17 -90.00 -260.00
2005 2005-01-03 1.000 2005-03-08 1.050 0.050 20.00 65 2005-02-18 430.00 2005-01-14 -140.00 -500.00
2004 2004-01-02 3.900 2004-03-08 2.150 -1.750 -700.00 67 - 0.00 2004-03-08 -700.00 -700.00
2003 2003-01-02 1.250 2003-03-07 1.975 0.725 290.00 65 2003-02-13 650.00 - 0.00 -390.00
2002 2002-01-02 1.475 2002-03-08 2.125 0.650 260.00 66 2002-03-08 260.00 - 0.00 -240.00
2001 2001-01-02 1.500 2001-03-08 2.175 0.675 270.00 66 2001-02-27 310.00 2001-01-17 -80.00 -120.00
2000 2000-01-03 1.975 2000-03-08 2.750 0.775 310.00 66 2000-02-22 310.00 2000-01-05 -110.00 -160.00
1999 1999-01-04 2.050 1999-03-08 2.125 0.075 30.00 64 1999-03-08 30.00 1999-02-10 -400.00 -400.00
1998 1998-01-02 2.825 1998-03-06 1.325 -1.500 -600.00 64 - 0.00 1998-02-23 -660.00 -660.00
1997 1997-01-02 2.800 1997-03-07 3.525 0.725 290.00 65 1997-02-24 430.00 1997-01-14 -110.00 -230.00
1996 1996-01-02 1.775 1996-03-08 1.200 -0.575 -230.00 67 - 0.00 1996-02-28 -490.00 -490.00
1995 1995-01-03 0.325 1995-03-08 1.550 1.225 490.00 65 1995-03-08 490.00 - 0.00 -150.00
1994 1994-01-03 0.075 1994-03-08 0.300 0.225 90.00 65 1994-02-10 220.00 1994-01-31 -80.00 -140.00
1993 1993-01-04 0.350 1993-03-08 1.150 0.800 320.00 64 1993-02-23 430.00 1993-01-05 -80.00 -170.00
1992 1992-01-02 0.575 1992-03-06 -1.275 -1.850 -740.00 65 1992-02-11 100.00 1992-03-05 -800.00 -900.00
1991 1991-01-02 -0.100 1991-03-08 1.100 1.200 480.00 66 1991-03-08 480.00 1991-01-03 -10.00 -120.00
1990 1990-01-02 -0.150 1990-03-08 1.725 1.875 750.00 66 1990-02-21 1140.00 - 0.00 -390.00
1989 1989-01-03 -1.025 1989-03-08 -0.700 0.325 130.00 65 1989-02-10 180.00 1989-02-23 -40.00 -220.00
1988 1988-01-04 -0.975 1988-03-08 -1.650 -0.675 -270.00 65 1988-01-05 20.00 1988-03-08 -270.00 -290.00
1987 1987-01-02 -1.150 1987-03-06 -0.650 0.500 200.00 64 1987-03-05 240.00 1987-01-26 -180.00 -200.00
1986 1986-01-02 -1.550 1986-03-07 -1.000 0.550 220.00 65 1986-03-06 230.00 1986-02-03 -60.00 -230.00
1985 1985-01-02 -2.075 1985-03-08 -1.950 0.125 50.00 66 1985-02-19 310.00 1985-01-11 -60.00 -260.00
1984 1984-01-03 -2.200 1984-03-08 -2.100 0.100 40.00 66 1984-01-19 80.00 1984-01-05 -80.00 -130.00
1983 1983-01-03 -1.100 1983-03-08 -2.100 -1.000 -400.00 65 - 0.00 1983-03-02 -520.00 -520.00
1982 1982-01-04 -0.975 1982-03-08 -2.275 -1.300 -520.00 64 1982-02-19 390.00 1982-03-08 -520.00 -910.00
1981 1981-01-02 -1.300 1981-03-06 -1.475 -0.175 -70.00 64 1981-01-23 80.00 1981-02-06 -240.00 -320.00
1980 1980-01-02 -1.350 1980-03-07 -1.100 0.250 100.00 66 1980-01-23 220.00 1980-01-10 -140.00 -270.00
1979 1979-01-02 -0.750 1979-03-08 -1.825 -1.075 -430.00 66 1979-01-05 120.00 1979-02-23 -450.00 -570.00
1978 1978-01-03 -0.125 1978-03-08 -0.325 -0.200 -80.00 65 1978-02-03 50.00 1978-02-22 -140.00 -190.00
1977 1977-01-03 0.925 1977-03-08 0.425 -0.500 -200.00 65 1977-01-05 30.00 1977-01-26 -350.00 -380.00
1976 1976-01-02 -0.350 1976-03-08 0.425 0.775 310.00 67 1976-03-08 310.00 1976-02-02 -150.00 -370.00
1975 1975-01-02 -0.375 1975-03-07 -0.725 -0.350 -140.00 65 1975-01-16 200.00 1975-03-04 -220.00 -420.00
1974 1974-01-02 -1.200 1974-03-08 0.950 2.150 860.00 66 1974-02-25 1010.00 1974-01-07 -100.00 -220.00
1973 1973-01-02 -0.900 1973-03-08 -0.900 0.000 0.00 66 1973-01-24 380.00 1973-02-22 -100.00 -480.00
1972 1972-01-03 -0.525 1972-03-08 -0.750 -0.225 -90.00 66 1972-01-20 20.00 1972-01-13 -130.00 -140.00
1971 1971-01-04 -0.525 1971-03-08 -0.450 0.075 30.00 64 1971-02-24 110.00 1971-02-11 -130.00 -230.00
1970 1970-01-05 -0.450 1970-03-06 -0.975 -0.525 -210.00 61 1970-01-06 60.00 1970-03-05 -250.00 -310.00
1969 1969-01-02 -0.050 1969-03-07 -0.200 -0.150 -60.00 65 1969-01-22 10.00 1969-03-03 -110.00 -120.00
1968 1968-01-02 0.200 1968-03-08 -0.025 -0.225 -90.00 67 1968-01-19 90.00 1968-03-07 -90.00 -180.00
1967 1967-01-03 0.300 1967-03-08 0.475 0.175 70.00 65 1967-03-06 340.00 1967-01-16 -40.00 -270.00
1966 1966-01-03 0.300 1966-03-08 0.075 -0.225 -90.00 65 1966-02-01 40.00 1966-01-17 -180.00 -180.00
1965 1965-01-04 0.150 1965-03-08 0.100 -0.050 -20.00 64 1965-01-18 60.00 1965-01-27 -40.00 -100.00