Commodity Futures Spread Strategy for April, 2014 - Buy SMZ14-SMH15

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Commodity Futures Spread Strategy for April, 2014 - Buy SMZ14-SMH15

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

  • 100% Win in last 15 years
  • Seasonal patterns correlation - All patterns up to 15 years have similar movement and correlation
  • Spread moves in a narrow range
  • Possible to entry at support and use a small stop-loss

Backtest Buy SMZ14-SMH15 Entry: 2014-04-16 Exit: 2014-06-15

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% 61 7.38 9999 100.00 16.28 450.00 -552.00 450.00 0.00 814.00 -50.00 2250.00 2250.00 0.00 50.00
10 100% 10 0 60% 61 5.57 9999 190.00 6.39 340.00 -413.00 340.00 0.00 569.00 -89.00 3400.00 3400.00 0.00 50.00
15 100% 15 0 60% 61 4.23 9999 210.00 4.79 258.00 -345.33 276.43 0.00 446.67 -93.33 3870.00 3870.00 0.00 150.00
18 94% 17 1 61% 61 3.65 29.64 210.00 4.30 222.78 -353.89 259.37 -70.00 432.78 -100.56 4010.00 4150.00 -140.00 150.00
Equity for backtest
Year Enter date Enter price Exit date Exit price Points Profit Days# Best Date Best Worst Date Worst Drawdown
2013 2013-04-16 -4.9 2013-06-14 -1.0 3.9 390.00 60 2013-06-07 610.00 2013-05-02 -20.00 -430.00
2012 2012-04-16 8.4 2012-06-15 16.9 8.5 850.00 61 2012-05-03 1460.00 2012-04-18 -50.00 -1120.00
2011 2011-04-18 -3.5 2011-06-15 -3.2 0.3 30.00 59 2011-06-03 360.00 2011-05-16 -50.00 -330.00
2010 2010-04-16 -2.5 2010-06-15 -1.3 1.2 120.00 61 2010-04-22 190.00 2010-05-26 -100.00 -290.00
2009 2009-04-16 -2.0 2009-06-15 6.6 8.6 860.00 61 2009-05-21 1450.00 2009-04-17 -30.00 -590.00
2008 2008-04-16 -4.5 2008-06-13 -1.5 3.0 300.00 59 2008-06-13 300.00 2008-04-29 -150.00 -200.00
2007 2007-04-16 -3.0 2007-06-15 -1.3 1.7 170.00 61 2007-05-25 210.00 2007-05-08 -150.00 -210.00
2006 2006-04-17 -2.3 2006-06-15 -2.1 0.2 20.00 60 2006-04-25 120.00 2006-05-24 -120.00 -240.00
2005 2005-04-18 -1.6 2005-06-15 4.9 6.5 650.00 59 2005-06-15 650.00 2005-04-19 -30.00 -190.00
2004 2004-04-16 2.7 2004-06-15 2.8 0.1 10.00 61 2004-05-05 340.00 2004-06-10 -190.00 -530.00
2003 2003-04-16 -1.2 2003-06-13 -1.2 0.0 0.00 59 2003-04-29 10.00 2003-05-15 -150.00 -160.00
2002 2002-04-16 0.1 2002-06-14 1.3 1.2 120.00 60 2002-06-04 380.00 2002-04-17 -20.00 -260.00
2001 2001-04-16 -1.0 2001-06-15 0.8 1.8 180.00 61 2001-06-15 180.00 2001-04-30 -130.00 -170.00
2000 2000-04-17 -2.1 2000-06-15 -1.5 0.6 60.00 60 2000-05-10 270.00 - 0.00 -250.00
1999 1999-04-16 -4.6 1999-06-15 -3.5 1.1 110.00 61 1999-06-10 170.00 1999-04-22 -210.00 -210.00
1998 1998-04-16 -2.4 1998-06-15 -3.8 -1.4 -140.00 61 1998-04-24 90.00 1998-05-19 -240.00 -330.00
1997 1997-04-16 2.7 1997-06-13 5.1 2.4 240.00 59 1997-05-16 640.00 1997-04-17 -60.00 -400.00
1996 1996-04-16 -1.2 1996-06-14 -0.8 0.4 40.00 60 1996-04-26 360.00 1996-04-19 -110.00 -460.00