Futures Spread Strategy For October, 2015 - Buy SMZ15-SMF16

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Futures Spread Strategy For October, 2015 - Buy SMZ15-SMF16

This futures spread combines several conditions to create good trading opportunity.

  • 100% Win in last 20 years
  • All seasonal patterns up to 30 years have similar movement and correlation
  • Possible to entry at support and use a small stop-loss
  • Closer legs with expected lower volatility

Backtest Buy SMZ15-SMF16 Entry: 2015-10-01 Exit: 2015-11-08

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 40% 39 12.36 9999 30.00 43.88 482.00 -308.00 482.00 0.00 702.00 -16.00 2410.00 2410.00 0.00 20.00
10 100% 10 0 50% 39 7.97 9999 120.00 15.77 311.00 -231.00 311.00 0.00 473.00 -30.00 3110.00 3110.00 0.00 120.00
15 100% 15 0 53% 39 6.31 9999 120.00 12.25 246.00 -205.33 246.00 0.00 392.00 -32.00 3690.00 3690.00 0.00 120.00
20 100% 20 0 50% 39 6.62 9999 220.00 9.36 258.00 -179.00 258.00 0.00 374.50 -40.00 5160.00 5160.00 0.00 220.00
30 83% 25 5 47% 39 5.04 23.69 220.00 5.63 196.67 -165.00 246.40 -52.00 300.00 -53.33 5900.00 6160.00 -260.00 220.00
64 61% 39 25 50% 39 2.45 4.70 220.00 2.89 95.47 -141.25 198.97 -66.00 186.09 -64.37 6110.00 7760.00 -1650.00 220.00
Equity for backtest
Year Enter date Enter price Exit date Exit price Points Profit Days# Best Date Best Worst Date Worst Drawdown
2014 2014-10-01 1.3 2014-11-07 18.7 17.4 1740.00 38 2014-10-29 2130.00 2014-10-02 -20.00 -630.00
2013 2013-10-01 2.4 2013-11-08 7.4 5.0 500.00 39 2013-10-24 770.00 - 0.00 -400.00
2012 2012-10-01 2.2 2012-11-08 3.7 1.5 150.00 39 2012-10-31 480.00 - 0.00 -330.00
2011 2011-10-03 -2.1 2011-11-08 -2.0 0.1 10.00 37 2011-10-20 70.00 2011-10-06 -30.00 -90.00
2010 2010-10-01 -1.6 2010-11-08 -1.5 0.1 10.00 39 2010-10-14 60.00 2010-11-01 -30.00 -90.00
2009 2009-10-01 2.8 2009-11-06 7.0 4.2 420.00 37 2009-10-30 470.00 2009-10-02 -120.00 -160.00
2008 2008-10-01 -2.8 2008-11-07 -1.5 1.3 130.00 38 2008-10-24 340.00 - 0.00 -290.00
2007 2007-10-01 -2.6 2007-11-08 -1.4 1.2 120.00 39 2007-11-06 220.00 2007-10-02 -50.00 -110.00
2006 2006-10-02 -1.2 2006-11-08 -1.0 0.2 20.00 38 2006-11-06 130.00 2006-10-06 -10.00 -110.00
2005 2005-10-03 -1.6 2005-11-08 -1.5 0.1 10.00 37 2005-10-13 60.00 2005-10-05 -40.00 -100.00
2004 2004-10-01 -1.0 2004-11-08 -0.9 0.1 10.00 39 2004-10-12 20.00 2004-10-26 -70.00 -90.00
2003 2003-10-01 -0.5 2003-11-07 2.1 2.6 260.00 38 2003-10-22 430.00 - 0.00 -290.00
2002 2002-10-01 -1.0 2002-11-08 -0.9 0.1 10.00 39 2002-10-23 90.00 2002-10-09 -50.00 -80.00
2001 2001-10-01 0.8 2001-11-08 3.0 2.2 220.00 39 2001-11-05 350.00 2001-10-02 -50.00 -130.00
2000 2000-10-02 0.1 2000-11-08 0.9 0.8 80.00 38 2000-10-25 260.00 2000-10-04 -10.00 -180.00
1999 1999-10-01 -0.9 1999-11-08 1.2 2.1 210.00 39 1999-11-05 250.00 1999-10-21 -30.00 -80.00
1998 1998-10-01 -2.8 1998-11-06 -2.5 0.3 30.00 37 1998-10-19 90.00 - 0.00 -60.00
1997 1997-10-01 2.7 1997-11-07 7.4 4.7 470.00 38 1997-11-07 470.00 1997-10-17 -220.00 -220.00
1996 1996-10-01 0.6 1996-11-08 7.6 7.0 700.00 39 1996-11-08 700.00 1996-10-02 -30.00 -70.00
1995 1995-10-02 -1.4 1995-11-08 -0.8 0.6 60.00 38 1995-10-30 100.00 1995-10-03 -40.00 -70.00
1994 1994-10-03 -1.6 1994-11-08 -1.7 -0.1 -10.00 37 1994-10-25 60.00 1994-11-07 -40.00 -100.00
1993 1993-10-01 -0.8 1993-11-08 2.7 3.5 350.00 39 1993-11-08 350.00 1993-10-04 -10.00 -70.00
1992 1992-10-01 -0.2 1992-11-06 -0.7 -0.5 -50.00 37 1992-10-19 40.00 1992-10-12 -80.00 -100.00
1991 1991-10-01 1.4 1991-11-08 2.2 0.8 80.00 39 1991-11-01 100.00 1991-10-15 -90.00 -150.00
1990 1990-10-01 -1.9 1990-11-08 -2.5 -0.6 -60.00 39 1990-10-08 90.00 1990-11-07 -90.00 -180.00
1989 1989-10-02 1.3 1989-11-08 1.1 -0.2 -20.00 38 1989-10-05 90.00 1989-10-16 -40.00 -130.00
1988 1988-10-03 1.5 1988-11-08 0.3 -1.2 -120.00 37 1988-10-04 100.00 1988-11-04 -170.00 -270.00
1987 1987-10-01 3.1 1987-11-06 5.8 2.7 270.00 37 1987-10-30 380.00 1987-10-12 -170.00 -180.00
1986 1986-10-01 -0.6 1986-11-07 0.8 1.4 140.00 38 1986-11-07 140.00 1986-10-16 -80.00 -80.00
1985 1985-10-01 -1.4 1985-11-08 0.2 1.6 160.00 39 1985-11-08 160.00 1985-10-28 -30.00 -110.00
1984 1984-10-01 -2.9 1984-11-08 -3.3 -0.4 -40.00 39 1984-10-02 0.00 1984-10-18 -40.00 -40.00
1983 1983-10-03 -0.5 1983-11-08 -2.0 -1.5 -150.00 37 1983-10-11 30.00 1983-11-04 -170.00 -200.00
1982 1982-10-01 -2.6 1982-11-08 -1.2 1.4 140.00 39 1982-11-03 170.00 1982-10-05 -20.00 -40.00
1981 1981-10-01 -3.9 1981-11-06 -3.8 0.1 10.00 37 1981-10-05 10.00 1981-10-23 -40.00 -50.00
1980 1980-10-01 -2.8 1980-11-07 -4.2 -1.4 -140.00 38 1980-10-07 10.00 1980-10-30 -220.00 -230.00
1979 1979-10-01 -1.9 1979-11-08 -2.1 -0.2 -20.00 39 - 0.00 1979-10-25 -120.00 -120.00
1978 1978-10-02 -1.2 1978-11-08 -0.7 0.5 50.00 38 1978-11-02 140.00 1978-10-23 -20.00 -120.00
1977 1977-10-03 -2.7 1977-11-08 -2.1 0.6 60.00 37 1977-11-07 60.00 1977-10-04 -50.00 -50.00
1976 1976-10-01 -1.6 1976-11-08 -2.5 -0.9 -90.00 39 1976-10-11 60.00 1976-10-22 -110.00 -170.00
1975 1975-10-01 -2.7 1975-11-07 0.1 2.8 280.00 38 1975-11-07 280.00 - 0.00 -100.00
1974 1974-10-01 -3.5 1974-11-08 -5.4 -1.9 -190.00 39 1974-10-18 150.00 1974-10-15 -220.00 -340.00
1973 1973-10-01 1.7 1973-11-08 0.0 -1.7 -170.00 39 1973-10-11 280.00 1973-10-24 -470.00 -750.00
1972 1972-10-02 -0.1 1972-11-08 3.0 3.1 310.00 38 1972-11-08 310.00 - 0.00 -100.00
1971 1971-10-01 -0.1 1971-11-08 -0.6 -0.5 -50.00 39 1971-10-11 10.00 1971-11-04 -50.00 -60.00
1970 1970-10-01 0.4 1970-11-06 0.3 -0.1 -10.00 37 - 0.00 1970-10-16 -50.00 -50.00
1969 1969-10-01 0.4 1969-11-07 -0.2 -0.6 -60.00 38 1969-10-27 110.00 1969-11-07 -60.00 -170.00
1968 1968-10-01 0.8 1968-11-08 0.2 -0.6 -60.00 39 1968-10-16 30.00 1968-10-30 -80.00 -110.00
1967 1967-10-02 0.0 1967-11-08 -0.4 -0.4 -40.00 38 1967-10-06 20.00 1967-11-07 -50.00 -70.00
1966 1966-10-03 0.7 1966-11-07 0.6 -0.1 -10.00 36 - 0.00 1966-10-05 -60.00 -60.00
1965 1965-10-01 -0.2 1965-11-08 1.9 2.1 210.00 39 1965-10-28 220.00 1965-10-07 -10.00 -60.00
1964 1964-10-01 0.1 1964-11-06 0.0 -0.1 -10.00 37 1964-10-30 40.00 1964-10-19 -20.00 -60.00
1963 1963-10-01 -0.5 1963-11-08 -0.3 0.2 20.00 39 1963-10-10 30.00 1963-10-31 -40.00 -70.00
1962 1962-10-01 -0.2 1962-11-08 1.2 1.4 140.00 39 1962-10-23 200.00 - 0.00 -80.00
1961 1961-10-02 -1.1 1961-11-08 0.3 1.4 140.00 38 1961-11-08 140.00 1961-10-09 -10.00 -60.00
1960 1960-10-03 -0.8 1960-11-07 -1.0 -0.2 -20.00 36 1960-10-05 10.00 1960-11-02 -30.00 -40.00
1959 1959-10-01 -0.5 1959-11-06 0.6 1.1 110.00 37 1959-11-05 120.00 - 0.00 -40.00
1958 1958-10-01 -0.1 1958-11-07 0.1 0.2 20.00 38 1958-11-07 20.00 1958-10-24 -80.00 -80.00
1957 1957-10-01 -0.2 1957-11-08 -0.4 -0.2 -20.00 39 1957-10-15 20.00 1957-11-05 -30.00 -50.00
1956 1956-10-01 -0.4 1956-11-08 -0.1 0.3 30.00 39 1956-10-30 50.00 1956-10-03 -10.00 -20.00
1955 1955-10-03 -0.3 1955-11-08 -0.5 -0.2 -20.00 37 1955-10-05 40.00 1955-11-01 -20.00 -60.00
1954 1954-10-01 -0.6 1954-11-08 -0.7 -0.1 -10.00 39 1954-10-11 60.00 1954-10-04 -70.00 -110.00
1953 1953-10-01 -0.4 1953-11-06 -1.4 -1.0 -100.00 37 1953-10-02 20.00 1953-11-03 -110.00 -130.00
1952 1952-10-01 -0.2 1952-11-07 -2.0 -1.8 -180.00 38 1952-10-09 20.00 1952-10-23 -210.00 -230.00
1951 1951-10-01 0.0 1951-11-08 0.8 0.8 80.00 39 1951-10-17 250.00 1951-10-04 -50.00 -170.00