Futures Spread Strategy For November, 2016 - Buy LCV17-LCQ17

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Futures Spread Strategy For November, 2016 - Buy LCV17-LCQ17

This spread combines several conditions to create good trading opportunity.

  • 93% Win for last 15 years
  • Seasonal patterns correlation - All patterns up to 20 years have similar movement and correlation, more than 94% 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 LCV17-LCQ17 Entry: 2016-11-02 Exit: 2017-04-10

Years# Win% Win# Loss# APW% Days# APPD PF SL RRR ProfitØ DDØ WinØ LossØ BestØ WorstØ Total Profit Profit Loss SL ProfitØ
5 80% 4 1 80% 161 2.65 2.92 470.00 2.41 426.00 -742.00 810.00 -1110.00 956.00 -396.00 2130.00 3240.00 -1110.00 90.00
10 90% 9 1 70% 161 3.26 5.73 470.00 3.00 525.00 -627.00 706.67 -1110.00 848.00 -283.00 5250.00 6360.00 -1110.00 200.00
15 93% 14 1 73% 161 3.29 8.15 470.00 4.00 529.33 -625.33 646.43 -1110.00 884.67 -221.33 7940.00 9050.00 -1110.00 200.00
20 80% 16 4 80% 161 2.56 5.46 470.00 3.15 412.50 -601.50 631.25 -462.50 776.00 -246.00 8250.00 10100.00 -1850.00 200.00
30 80% 24 6 73% 161 2.32 5.71 470.00 2.68 373.33 -562.00 565.83 -396.67 677.33 -252.33 11200.00 13580.00 -2380.00 250.00
41 66% 27 14 78% 161 1.28 2.53 470.00 1.75 205.85 -596.83 516.67 -393.57 559.27 -319.27 8440.00 13950.00 -5510.00 470.00
Equity for backtest
Year Enter date Enter price Exit date Exit price Points Profit Days# Best Date Best Worst Date Worst Drawdown
2016 2015-11-02 1.950 2016-04-08 -0.825 -2.775 -1110.00 159 2015-11-04 160.00 2016-03-18 -1260.00 -1420.00
2015 2014-11-03 1.150 2015-04-10 1.875 0.725 290.00 159 2015-02-24 990.00 2014-11-14 -160.00 -850.00
2014 2013-11-04 2.125 2014-04-10 4.900 2.775 1110.00 158 2014-04-08 1430.00 2013-12-04 -90.00 -500.00
2013 2012-11-02 3.650 2013-04-10 4.275 0.625 250.00 160 2013-02-27 520.00 2012-11-14 -470.00 -530.00
2012 2011-11-02 2.025 2012-04-10 6.000 3.975 1590.00 161 2012-04-03 1680.00 - 0.00 -410.00
2011 2010-11-02 2.050 2011-04-08 4.250 2.200 880.00 158 2011-04-08 880.00 2010-12-27 -150.00 -470.00
2010 2009-11-02 2.450 2010-04-09 2.750 0.300 120.00 159 2009-12-14 370.00 2010-03-22 -270.00 -640.00
2009 2008-11-03 2.700 2009-04-09 4.200 1.500 600.00 158 2009-04-09 600.00 2008-11-13 -200.00 -300.00
2008 2007-11-02 3.525 2008-04-10 5.575 2.050 820.00 161 2008-04-09 1070.00 2007-11-06 -70.00 -530.00
2007 2006-11-02 2.150 2007-04-10 3.900 1.750 700.00 160 2007-03-30 780.00 2006-11-16 -160.00 -620.00
2006 2005-11-02 1.100 2006-04-10 3.675 2.575 1030.00 160 2006-03-17 1240.00 2005-11-07 -130.00 -330.00
2005 2004-11-02 0.725 2005-04-08 1.300 0.575 230.00 158 2005-02-18 540.00 2004-12-15 -130.00 -630.00
2004 2003-11-03 0.375 2004-04-08 1.375 1.000 400.00 158 2004-01-02 1410.00 2003-11-04 -50.00 -1020.00
2003 2002-11-04 0.150 2003-04-10 1.625 1.475 590.00 158 2003-02-13 1090.00 - 0.00 -580.00
2002 2001-11-02 1.650 2002-04-10 2.750 1.100 440.00 160 2002-03-27 510.00 2001-12-31 -180.00 -550.00
2001 2000-11-02 1.825 2001-04-10 1.525 -0.300 -120.00 160 2001-02-27 180.00 2000-11-16 -250.00 -330.00
2000 1999-11-02 1.025 2000-04-10 2.600 1.575 630.00 161 2000-03-21 800.00 1999-11-18 -70.00 -250.00
1999 1998-11-02 2.075 1999-04-09 2.000 -0.075 -30.00 159 1998-11-23 430.00 1999-02-10 -410.00 -840.00
1998 1997-11-03 2.275 1998-04-09 0.800 -1.475 -590.00 158 1997-12-29 270.00 1998-04-02 -730.00 -1000.00
1997 1996-11-04 2.650 1997-04-10 3.700 1.050 420.00 158 1997-04-08 570.00 1996-11-12 -140.00 -230.00
1996 1995-11-02 0.775 1996-04-10 2.100 1.325 530.00 161 1996-04-10 530.00 1996-03-13 -90.00 -490.00
1995 1994-11-02 0.750 1995-04-10 1.400 0.650 260.00 160 1995-03-16 420.00 1994-12-27 -220.00 -300.00
1994 1993-11-02 0.450 1994-04-08 0.975 0.525 210.00 158 1994-03-30 320.00 1994-01-31 -230.00 -310.00
1993 1992-11-02 0.475 1993-04-08 1.300 0.825 330.00 158 1993-02-23 380.00 1993-03-23 -340.00 -720.00
1992 1991-11-04 0.550 1992-04-10 -0.375 -0.925 -370.00 159 1991-11-13 140.00 1992-03-05 -790.00 -930.00
1991 1990-11-02 0.200 1991-04-10 1.475 1.275 510.00 160 1991-03-27 540.00 1990-12-26 -200.00 -270.00
1990 1989-11-02 -0.675 1990-04-10 1.700 2.375 950.00 160 1990-02-21 1350.00 1989-11-09 -50.00 -650.00
1989 1988-11-02 -0.675 1989-04-10 0.750 1.425 570.00 160 1989-04-04 600.00 1988-11-28 -250.00 -280.00
1988 1987-11-02 -0.950 1988-04-08 -1.350 -0.400 -160.00 159 1987-12-08 240.00 1988-03-08 -280.00 -520.00
1987 1986-11-03 -1.100 1987-04-10 -0.800 0.300 120.00 159 1987-03-12 280.00 1987-01-26 -200.00 -360.00
1986 1985-11-04 -1.150 1986-04-10 -0.625 0.525 210.00 158 1986-04-04 490.00 1986-02-03 -220.00 -320.00
1985 1984-11-02 -2.075 1985-04-10 -2.050 0.025 10.00 160 1984-11-27 430.00 1984-11-30 -160.00 -590.00
1984 1983-11-02 -1.500 1984-04-10 -1.800 -0.300 -120.00 161 1984-03-21 30.00 1984-01-05 -360.00 -360.00
1983 1982-11-02 -0.950 1983-04-08 -4.025 -3.075 -1230.00 158 1982-12-10 120.00 1983-04-05 -1230.00 -1350.00
1982 1981-11-02 -0.925 1982-04-08 -1.500 -0.575 -230.00 158 1982-02-19 370.00 1982-03-08 -540.00 -910.00
1981 1980-11-03 -0.750 1981-04-10 -1.100 -0.350 -140.00 159 - 0.00 1981-02-06 -460.00 -460.00
1980 1979-11-02 -1.100 1980-04-10 -0.725 0.375 150.00 161 1979-11-08 440.00 1979-12-17 -360.00 -800.00
1979 1978-11-02 -0.025 1979-04-10 -2.125 -2.100 -840.00 160 1978-11-14 40.00 1979-04-05 -950.00 -990.00
1978 1977-11-02 0.175 1978-04-10 -0.250 -0.425 -170.00 160 1977-11-15 140.00 1978-03-27 -610.00 -750.00
1977 1976-11-03 0.675 1977-04-07 0.175 -0.500 -200.00 156 1976-12-27 140.00 1977-03-18 -330.00 -470.00
1976 1975-11-03 -0.400 1976-04-09 -0.900 -0.500 -200.00 159 1976-03-22 410.00 1975-11-04 -300.00 -610.00