Commodity Futures Spread Strategy for July, 2013 - Buy SMF14-SMV13

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Commodity Futures Spread Strategy for July, 2013 - Buy SMF14-SMV13

This spread combines several conditions to create good trading opportunity:

  • 93% Win in last 15 years
  • Nice support level to place stop loss
  • High long (15 years) and short (5 years) term pattern correlation

Backtest BUY SMF14-SMV13 Entry: 2013-07-06 Exit: 2013-09-05

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% 62 7.58 9999 1110.00 2.26 470.00 -654.00 470.00 0.00 628.00 -278.00 2350.00 2350.00 0.00 1110.00
10 90% 9 1 50% 62 5.87 10.58 1110.00 2.41 364.00 -459.00 446.67 -380.00 510.00 -212.00 3640.00 4020.00 -380.00 1110.00
15 93% 14 1 40% 62 4.39 11.74 1110.00 2.26 272.00 -386.67 318.57 -380.00 400.00 -176.67 4080.00 4460.00 -380.00 1110.00
20 75% 15 5 80% 62 1.72 1.84 1110.00 1.24 106.50 -445.00 312.00 -510.00 331.00 -266.00 2130.00 4680.00 -2550.00 1110.00
30 63% 19 11 97% 62 0.41 1.18 1110.00 0.97 25.67 -445.67 270.53 -397.27 279.33 -287.33 770.00 5140.00 -4370.00 1110.00
61 62% 38 23 84% 62 0.96 1.63 2250.00 1.02 59.51 -391.64 253.78 -240.00 250.00 -246.07 3630.00 9390.00 -5760.00 2250.00
Equity for backtest
Year Enter date Enter price Exit date Exit price Points Profit Days# Best Date Best Worst Date Worst Drawdown
2012 2012-07-06 -11.6 2012-09-05 -4.4 7.2 720.00 62 2012-09-05 720.00 2012-07-20 -1110.00 -1410.00
2011 2011-07-06 2.8 2011-09-02 7.0 4.2 420.00 59 2011-09-01 440.00 - 0.00 -100.00
2010 2010-07-06 -0.8 2010-09-03 1.9 2.7 270.00 60 2010-09-03 270.00 2010-07-16 -170.00 -180.00
2009 2009-07-06 -15.1 2009-09-04 -7.3 7.8 780.00 61 2009-08-18 1120.00 2009-08-27 -10.00 -1130.00
2008 2008-07-07 0.0 2008-09-05 1.6 1.6 160.00 61 2008-08-21 590.00 2008-07-08 -100.00 -450.00
2007 2007-07-06 4.7 2007-09-05 7.4 2.7 270.00 62 2007-08-29 280.00 - 0.00 -140.00
2006 2006-07-06 3.7 2006-09-05 4.3 0.6 60.00 62 2006-08-04 100.00 2006-07-20 -100.00 -170.00
2005 2005-07-06 1.7 2005-09-02 2.8 1.1 110.00 59 2005-08-22 190.00 2005-07-20 -170.00 -250.00
2004 2004-07-06 -9.0 2004-09-03 3.3 12.3 1230.00 60 2004-09-02 1280.00 2004-07-07 -70.00 -260.00
2003 2003-07-07 -0.1 2003-09-05 -3.9 -3.8 -380.00 61 2003-08-11 110.00 2003-09-04 -390.00 -500.00
2002 2002-07-08 -3.1 2002-09-05 -1.3 1.8 180.00 60 2002-08-23 210.00 2002-07-15 -70.00 -260.00
2001 2001-07-06 -0.6 2001-09-05 -0.5 0.1 10.00 62 2001-08-30 120.00 2001-07-30 -170.00 -290.00
2000 2000-07-06 1.3 2000-09-05 1.9 0.6 60.00 62 2000-08-14 190.00 2000-08-24 -110.00 -300.00
1999 1999-07-06 3.5 1999-09-03 4.4 0.9 90.00 60 1999-07-23 170.00 1999-07-09 -50.00 -160.00
1998 1998-07-06 3.6 1998-09-04 4.6 1.0 100.00 61 1998-08-11 210.00 1998-07-13 -130.00 -200.00
1997 1997-07-07 -8.2 1997-09-05 -24.3 -16.1 -1610.00 61 1997-08-01 170.00 1997-09-05 -1610.00 -1780.00
1996 1996-07-08 -1.5 1996-09-05 -5.6 -4.1 -410.00 60 1996-07-23 90.00 1996-08-30 -520.00 -610.00
1995 1995-07-06 5.2 1995-09-05 4.3 -0.9 -90.00 62 1995-07-28 50.00 1995-07-19 -160.00 -190.00
1994 1994-07-06 -0.2 1994-09-02 2.0 2.2 220.00 59 1994-08-24 230.00 1994-07-07 -20.00 -110.00
1993 1993-07-06 1.0 1993-09-03 0.4 -0.6 -60.00 60 1993-08-27 80.00 1993-08-18 -360.00 -410.00
1992 1992-07-06 0.4 1992-09-04 -2.3 -2.7 -270.00 61 1992-07-07 70.00 1992-07-31 -340.00 -410.00
1991 1991-07-08 1.7 1991-09-05 -1.8 -3.5 -350.00 60 1991-08-20 50.00 1991-09-03 -440.00 -490.00
1990 1990-07-06 4.5 1990-09-05 6.0 1.5 150.00 62 1990-08-23 180.00 1990-07-20 -140.00 -190.00
1989 1989-07-06 -3.5 1989-09-05 -2.9 0.6 60.00 62 1989-08-04 400.00 1989-07-18 -130.00 -340.00
1988 1988-07-06 -4.8 1988-09-02 -4.2 0.6 60.00 59 1988-07-28 360.00 1988-07-08 -220.00 -530.00
1987 1987-07-06 2.3 1987-09-04 -3.1 -5.4 -540.00 61 - 0.00 1987-08-12 -570.00 -570.00
1986 1986-07-07 3.0 1986-09-05 0.3 -2.7 -270.00 61 1986-08-08 80.00 1986-08-21 -310.00 -390.00
1985 1985-07-08 7.0 1985-09-05 5.7 -1.3 -130.00 60 1985-07-12 130.00 1985-08-06 -350.00 -480.00
1984 1984-07-06 6.9 1984-09-05 8.8 1.9 190.00 62 1984-08-28 230.00 1984-07-18 -240.00 -250.00
1983 1983-07-06 6.3 1983-09-02 3.7 -2.6 -260.00 59 1983-07-29 260.00 1983-08-25 -560.00 -820.00
1982 1982-07-06 6.5 1982-09-03 7.3 0.8 80.00 60 1982-08-05 220.00 1982-07-15 -90.00 -240.00
1981 1981-07-06 9.4 1981-09-04 8.8 -0.6 -60.00 61 1981-07-09 210.00 1981-07-24 -170.00 -380.00
1980 1980-07-07 8.0 1980-09-05 8.2 0.2 20.00 61 1980-09-02 60.00 1980-08-07 -290.00 -290.00
1979 1979-07-06 3.8 1979-09-05 5.9 2.1 210.00 62 1979-08-24 210.00 1979-07-19 -200.00 -240.00
1978 1978-07-06 -2.1 1978-09-05 3.3 5.4 540.00 62 1978-09-05 540.00 1978-07-12 -80.00 -160.00
1977 1977-07-06 4.0 1977-09-02 3.1 -0.9 -90.00 59 1977-08-22 100.00 1977-07-21 -420.00 -450.00
1976 1976-07-06 2.2 1976-09-03 2.8 0.6 60.00 60 1976-08-02 320.00 1976-08-06 -100.00 -420.00
1975 1975-07-07 5.2 1975-09-05 5.0 -0.2 -20.00 61 1975-08-18 450.00 1975-07-24 -100.00 -510.00
1974 1974-07-08 8.4 1974-09-05 9.5 1.1 110.00 60 1974-08-27 240.00 1974-07-11 -260.00 -260.00
1973 1973-07-06 -28.0 1973-09-05 -8.0 20.0 2000.00 62 1973-08-30 2400.00 1973-07-23 -2250.00 -3900.00
1972 1972-07-06 -4.0 1972-09-05 -2.1 1.9 190.00 62 1972-08-18 260.00 1972-08-08 -50.00 -150.00
1971 1971-07-06 -0.9 1971-09-03 1.6 2.5 250.00 60 1971-09-03 250.00 1971-07-21 -30.00 -120.00
1970 1970-07-06 -0.4 1970-09-04 -2.2 -1.8 -180.00 61 1970-07-17 20.00 1970-08-25 -260.00 -280.00
1969 1969-07-07 -1.5 1969-09-05 -0.9 0.6 60.00 61 1969-08-27 100.00 1969-08-08 -40.00 -90.00
1968 1968-07-08 -0.5 1968-09-05 -2.2 -1.7 -170.00 60 1968-08-12 40.00 1968-08-27 -320.00 -360.00
1967 1967-07-06 -0.1 1967-09-05 -2.3 -2.2 -220.00 62 1967-07-18 10.00 1967-08-30 -260.00 -270.00
1966 1966-07-06 -2.9 1966-09-02 -5.8 -2.9 -290.00 59 1966-07-20 130.00 1966-08-29 -410.00 -540.00
1965 1965-07-06 -0.7 1965-09-03 -0.3 0.4 40.00 60 1965-08-17 80.00 1965-07-27 -50.00 -100.00
1964 1964-07-06 0.4 1964-09-04 0.5 0.1 10.00 61 1964-08-12 60.00 1964-08-27 -50.00 -110.00
1963 1963-07-08 0.0 1963-09-05 -1.3 -1.3 -130.00 60 - 0.00 1963-08-26 -150.00 -150.00
1962 1962-07-06 0.3 1962-09-05 -0.6 -0.9 -90.00 62 1962-07-19 90.00 1962-09-04 -110.00 -200.00
1961 1961-07-06 0.8 1961-09-05 2.6 1.8 180.00 62 1961-09-05 180.00 1961-07-28 -30.00 -130.00
1960 1960-07-06 0.7 1960-09-02 0.7 0.0 0.00 59 1960-08-04 90.00 1960-08-26 -30.00 -120.00
1959 1959-07-06 0.2 1959-09-04 0.6 0.4 40.00 61 1959-08-26 100.00 1959-07-08 -20.00 -80.00
1958 1958-07-07 -0.1 1958-09-05 -0.5 -0.4 -40.00 61 1958-08-18 100.00 1958-07-21 -90.00 -180.00
1957 1957-07-08 0.4 1957-09-05 0.7 0.3 30.00 60 1957-07-12 30.00 1957-08-22 -90.00 -120.00
1956 1956-07-06 0.0 1956-09-05 0.8 0.8 80.00 62 1956-09-05 80.00 1956-08-23 -60.00 -80.00
1955 1955-07-06 0.6 1955-09-02 -0.1 -0.7 -70.00 59 - 0.00 1955-08-31 -100.00 -100.00
1954 1954-07-06 -0.9 1954-09-03 0.0 0.9 90.00 60 1954-08-06 190.00 1954-07-13 -40.00 -190.00
1953 1953-07-06 0.1 1953-09-04 -0.2 -0.3 -30.00 61 1953-07-21 50.00 1953-08-24 -90.00 -140.00
1952 1952-07-07 -2.6 1952-09-05 0.0 2.6 260.00 61 1952-08-04 260.00 1952-07-17 -150.00 -160.00