Futures Spread Strategy For November, 2015 - Buy LCV16-LCQ16

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

Futures Spread Strategy For November, 2015 - Buy LCV16-LCQ16

This spread combines several conditions to create good trading opportunity.

  • 100% Win for last 15 years
  • Seasonal patterns correlation - All patterns up to 20 years have similar movement and correlation, more than 95% in seasonal window
  • Strong Support level to place stop loss
  • 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 LCV16-LCQ16 Entry: 2015-11-02 Exit: 2016-03-26

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% 145 4.90 9999 470.00 5.34 710.00 -544.00 710.00 0.00 930.00 -174.00 3550.00 3550.00 0.00 90.00
10 100% 10 0 70% 145 4.72 9999 470.00 5.02 684.00 -514.00 684.00 0.00 854.00 -170.00 6840.00 6840.00 0.00 130.00
15 100% 15 0 60% 145 4.06 9999 470.00 5.30 588.67 -524.67 588.67 0.00 816.00 -154.00 8830.00 8830.00 0.00 160.00
20 90% 18 2 75% 145 3.23 16.90 470.00 4.05 469.00 -527.00 553.89 -295.00 731.50 -180.50 9380.00 9970.00 -590.00 180.00
30 83% 25 5 73% 145 2.51 10.02 470.00 2.90 364.00 -506.33 485.20 -242.00 618.33 -213.00 10920.00 12130.00 -1210.00 200.00
40 68% 27 13 78% 145 1.40 2.89 470.00 1.86 202.75 -542.25 458.89 -329.23 516.75 -278.50 8110.00 12390.00 -4280.00 470.00
Equity for backtest
Year Enter date Enter price Exit date Exit price Points Profit Days# Best Date Best Worst Date Worst Drawdown
2015 2014-11-03 1.150 2015-03-26 2.200 1.050 420.00 144 2015-02-24 990.00 2014-11-14 -160.00 -810.00
2014 2013-11-04 2.125 2014-03-26 4.550 2.425 970.00 143 2014-03-24 1020.00 2013-12-04 -90.00 -500.00
2013 2012-11-02 3.650 2013-03-26 4.250 0.600 240.00 145 2013-02-27 520.00 2012-11-14 -470.00 -530.00
2012 2011-11-02 2.025 2012-03-26 5.525 3.500 1400.00 146 2012-03-26 1400.00 - 0.00 -410.00
2011 2010-11-02 2.050 2011-03-25 3.350 1.300 520.00 144 2011-03-18 720.00 2010-12-27 -150.00 -470.00
2010 2009-11-02 2.450 2010-03-26 3.100 0.650 260.00 145 2009-12-14 370.00 2010-03-22 -270.00 -640.00
2009 2008-11-03 2.700 2009-03-26 3.625 0.925 370.00 144 2009-02-18 580.00 2008-11-13 -200.00 -300.00
2008 2007-11-02 3.525 2008-03-26 5.825 2.300 920.00 146 2008-03-14 950.00 2007-11-06 -70.00 -530.00
2007 2006-11-02 2.150 2007-03-26 3.775 1.625 650.00 145 2007-03-16 750.00 2006-11-16 -160.00 -620.00
2006 2005-11-02 1.100 2006-03-24 3.825 2.725 1090.00 143 2006-03-17 1240.00 2005-11-07 -130.00 -330.00
2005 2004-11-02 0.725 2005-03-24 1.150 0.425 170.00 143 2005-02-18 540.00 2004-12-15 -130.00 -500.00
2004 2003-11-03 0.375 2004-03-26 2.375 2.000 800.00 145 2004-01-02 1410.00 2003-11-04 -50.00 -850.00
2003 2002-11-04 0.150 2003-03-26 1.425 1.275 510.00 143 2003-02-13 1090.00 - 0.00 -580.00
2002 2001-11-02 1.650 2002-03-26 2.825 1.175 470.00 145 2002-03-25 480.00 2001-12-31 -180.00 -550.00
2001 2000-11-02 1.825 2001-03-26 1.925 0.100 40.00 145 2001-02-27 180.00 2000-11-16 -250.00 -250.00
2000 1999-11-02 1.025 2000-03-24 2.925 1.900 760.00 144 2000-03-21 800.00 1999-11-18 -70.00 -250.00
1999 1998-11-02 2.075 1999-03-26 1.950 -0.125 -50.00 145 1998-11-23 430.00 1999-02-10 -410.00 -840.00
1998 1997-11-03 2.275 1998-03-26 0.925 -1.350 -540.00 144 1997-12-29 270.00 1998-03-18 -590.00 -860.00
1997 1996-11-04 2.650 1997-03-26 3.450 0.800 320.00 143 1997-02-24 490.00 1996-11-12 -140.00 -230.00
1996 1995-11-02 0.775 1996-03-26 0.925 0.150 60.00 146 1996-01-02 400.00 1996-03-13 -90.00 -490.00
1995 1994-11-02 0.750 1995-03-24 1.450 0.700 280.00 143 1995-03-16 420.00 1994-12-27 -220.00 -300.00
1994 1993-11-02 0.450 1994-03-25 0.950 0.500 200.00 144 1994-03-17 270.00 1994-01-31 -230.00 -310.00
1993 1992-11-02 0.475 1993-03-26 -0.075 -0.550 -220.00 145 1993-02-23 380.00 1993-03-23 -340.00 -720.00
1992 1991-11-04 0.550 1992-03-26 0.050 -0.500 -200.00 144 1991-11-13 140.00 1992-03-05 -790.00 -930.00
1991 1990-11-02 0.200 1991-03-26 1.250 1.050 420.00 145 1991-03-26 420.00 1990-12-26 -200.00 -270.00
1990 1989-11-02 -0.675 1990-03-26 1.100 1.775 710.00 145 1990-02-21 1350.00 1989-11-09 -50.00 -640.00
1989 1988-11-02 -0.675 1989-03-23 -0.025 0.650 260.00 142 1989-03-22 290.00 1988-11-28 -250.00 -280.00
1988 1987-11-02 -0.950 1988-03-25 -1.450 -0.500 -200.00 145 1987-12-08 240.00 1988-03-08 -280.00 -520.00
1987 1986-11-03 -1.100 1987-03-26 -0.425 0.675 270.00 144 1987-03-12 280.00 1987-01-26 -200.00 -360.00
1986 1985-11-04 -1.150 1986-03-26 -1.100 0.050 20.00 143 1986-03-18 130.00 1986-02-03 -220.00 -320.00
1985 1984-11-02 -2.075 1985-03-26 -2.225 -0.150 -60.00 145 1984-11-27 430.00 1984-11-30 -160.00 -590.00
1984 1983-11-02 -1.500 1984-03-26 -1.800 -0.300 -120.00 146 1984-03-21 30.00 1984-01-05 -360.00 -360.00
1983 1982-11-02 -0.950 1983-03-25 -3.025 -2.075 -830.00 144 1982-12-10 120.00 1983-03-25 -830.00 -950.00
1982 1981-11-02 -0.925 1982-03-26 -1.550 -0.625 -250.00 145 1982-02-19 370.00 1982-03-08 -540.00 -910.00
1981 1980-11-03 -0.750 1981-03-26 -1.525 -0.775 -310.00 144 - 0.00 1981-02-06 -460.00 -460.00
1980 1979-11-02 -1.100 1980-03-26 -0.950 0.150 60.00 146 1979-11-08 440.00 1979-12-17 -360.00 -800.00
1979 1978-11-02 -0.025 1979-03-26 -2.325 -2.300 -920.00 145 1978-11-14 40.00 1979-03-23 -920.00 -960.00
1978 1977-11-02 0.175 1978-03-23 -1.050 -1.225 -490.00 142 1977-11-15 140.00 1978-03-23 -490.00 -630.00
1977 1976-11-03 0.675 1977-03-25 0.450 -0.225 -90.00 143 1976-12-27 140.00 1977-03-18 -330.00 -470.00
1976 1975-11-03 -0.400 1976-03-26 0.100 0.500 200.00 145 1976-03-22 410.00 1975-11-04 -300.00 -370.00