Futures Spread Strategy For April, 2016 - Buy SMN16-SMV16

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Futures Spread Strategy For April, 2016 - Buy SMN16-SMV16

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

  • 95% Win in last 20 years
  • All seasonal patterns up to 30 years have similar movement and correlation over 90%
  • Possible to entry at support and use a small stop-loss
  • Historical lows - Current year is moving around historical lows with nice space for profit

Backtest BUY SMN16-SMV16 Entry: 2016-04-07 Exit: 2016-05-05

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% 29 34.90 9999 330.00 11.06 1012.00 -738.00 1012.00 0.00 1504.00 -136.00 5060.00 5060.00 0.00 10.00
10 100% 10 0 50% 29 28.07 9999 330.00 15.39 814.00 -786.00 814.00 0.00 1308.00 -85.00 8140.00 8140.00 0.00 10.00
15 93% 14 1 53% 29 20.07 44.65 330.00 7.78 582.00 -726.67 637.86 -200.00 1058.67 -136.00 8730.00 8930.00 -200.00 10.00
20 95% 19 1 50% 29 16.55 49.00 1380.00 4.84 480.00 -649.50 515.79 -200.00 852.00 -176.00 9600.00 9800.00 -200.00 260.00
30 83% 25 5 47% 29 11.62 11.76 1380.00 3.79 337.00 -515.00 442.00 -188.00 632.33 -167.00 10110.00 11050.00 -940.00 330.00
64 73% 47 17 39% 29 8.97 6.41 1380.00 3.25 260.16 -396.41 419.79 -181.18 499.69 -153.59 16650.00 19730.00 -3080.00 330.00
Equity for backtest
Year Enter date Enter price Exit date Exit price Points Profit Days# Best Date Best Worst Date Worst Drawdown
2015 2015-04-07 3.4 2015-05-05 8.2 4.8 480.00 29 2015-05-05 480.00 2015-04-09 -80.00 -190.00
2014 2014-04-07 82.8 2014-05-05 86.2 3.4 340.00 29 2014-04-29 1220.00 2014-04-11 -330.00 -1130.00
2013 2013-04-08 49.9 2013-05-03 61.3 11.4 1140.00 26 2013-04-29 1940.00 2013-04-10 -10.00 -800.00
2012 2012-04-09 21.0 2012-05-04 46.7 25.7 2570.00 26 2012-04-27 3350.00 - 0.00 -1270.00
2011 2011-04-07 0.4 2011-05-05 5.7 5.3 530.00 29 2011-05-05 530.00 2011-04-12 -260.00 -300.00
2010 2010-04-07 11.4 2010-05-05 15.1 3.7 370.00 29 2010-04-26 660.00 - 0.00 -490.00
2009 2009-04-07 36.4 2009-05-05 61.5 25.1 2510.00 29 2009-05-05 2510.00 - 0.00 -1300.00
2008 2008-04-07 29.1 2008-05-05 30.5 1.4 140.00 29 2008-04-23 2290.00 - 0.00 -2150.00
2007 2007-04-09 -6.1 2007-05-04 -5.7 0.4 40.00 26 2007-05-04 40.00 2007-04-17 -110.00 -110.00
2006 2006-04-07 -3.1 2006-05-05 -2.9 0.2 20.00 29 2006-04-13 60.00 2006-04-20 -60.00 -120.00
2005 2005-04-07 1.9 2005-05-05 3.2 1.3 130.00 29 2005-04-13 350.00 2005-04-11 -120.00 -390.00
2004 2004-04-07 69.7 2004-05-05 67.7 -2.0 -200.00 29 2004-04-30 980.00 2004-04-22 -930.00 -1580.00
2003 2003-04-07 20.4 2003-05-05 23.2 2.8 280.00 29 2003-05-01 800.00 2003-04-08 -40.00 -580.00
2002 2002-04-08 4.2 2002-05-03 6.0 1.8 180.00 26 2002-04-24 470.00 - 0.00 -290.00
2001 2001-04-09 6.8 2001-05-04 8.8 2.0 200.00 26 2001-05-04 200.00 2001-04-12 -100.00 -200.00
2000 2000-04-07 -0.5 2000-05-05 0.1 0.6 60.00 29 2000-04-25 80.00 - 0.00 -50.00
1999 1999-04-07 -4.4 1999-05-05 -3.9 0.5 50.00 29 1999-04-15 130.00 1999-04-22 -10.00 -140.00
1998 1998-04-07 -3.4 1998-05-05 -2.7 0.7 70.00 29 1998-04-15 250.00 - 0.00 -230.00
1997 1997-04-07 55.8 1997-05-05 57.3 1.5 150.00 29 1997-04-30 150.00 1997-04-11 -1380.00 -1380.00
1996 1996-04-08 4.0 1996-05-03 9.4 5.4 540.00 26 1996-04-26 550.00 1996-04-10 -90.00 -290.00
1995 1995-04-07 -5.8 1995-05-05 -5.3 0.5 50.00 29 1995-04-13 50.00 1995-04-26 -60.00 -110.00
1994 1994-04-07 4.4 1994-05-05 3.9 -0.5 -50.00 29 1994-04-25 170.00 1994-05-03 -80.00 -250.00
1993 1993-04-07 -2.8 1993-05-05 -0.3 2.5 250.00 29 1993-05-05 250.00 1993-04-12 -40.00 -40.00
1992 1992-04-07 -15.8 1992-05-05 -19.7 -3.9 -390.00 29 1992-04-08 50.00 1992-05-04 -420.00 -470.00
1991 1991-04-08 -5.1 1991-05-03 -3.0 2.1 210.00 26 1991-04-30 240.00 1991-04-12 -10.00 -130.00
1990 1990-04-09 -4.3 1990-05-04 -5.0 -0.7 -70.00 26 - 0.00 1990-04-18 -190.00 -190.00
1989 1989-04-07 4.9 1989-05-05 9.3 4.4 440.00 29 1989-04-26 580.00 - 0.00 -380.00
1988 1988-04-07 -2.6 1988-05-05 -0.8 1.8 180.00 29 1988-05-05 180.00 1988-04-19 -130.00 -160.00
1987 1987-04-07 -0.9 1987-05-05 0.3 1.2 120.00 29 1987-04-29 280.00 1987-04-14 -160.00 -200.00
1986 1986-04-07 4.6 1986-05-05 2.3 -2.3 -230.00 29 1986-04-10 130.00 1986-04-30 -400.00 -530.00
1985 1985-04-08 -8.6 1985-05-03 -8.5 0.1 10.00 26 1985-04-16 70.00 1985-04-10 -60.00 -90.00
1984 1984-04-09 8.4 1984-05-04 8.1 -0.3 -30.00 26 1984-04-10 20.00 1984-05-01 -530.00 -550.00
1983 1983-04-07 -6.2 1983-05-05 -4.6 1.6 160.00 29 1983-04-21 200.00 1983-04-18 -60.00 -200.00
1982 1982-04-07 -3.2 1982-05-05 -1.9 1.3 130.00 29 1982-05-05 130.00 1982-04-30 -60.00 -140.00
1981 1981-04-07 -9.7 1981-05-05 -4.9 4.8 480.00 29 1981-05-04 700.00 1981-04-14 -60.00 -220.00
1980 1980-04-07 -8.7 1980-05-05 -7.1 1.6 160.00 29 1980-05-05 160.00 1980-04-22 -80.00 -160.00
1979 1979-04-09 8.8 1979-05-04 3.5 -5.3 -530.00 26 - 0.00 1979-05-01 -960.00 -960.00
1978 1978-04-07 11.7 1978-05-05 11.8 0.1 10.00 29 1978-04-14 400.00 1978-04-24 -290.00 -690.00
1977 1977-04-07 77.8 1977-05-05 80.0 2.2 220.00 29 1977-04-22 1340.00 1977-04-14 -80.00 -1420.00
1976 1976-04-07 -3.6 1976-05-05 -2.6 1.0 100.00 29 1976-05-05 100.00 1976-04-19 -80.00 -80.00
1975 1975-04-07 -6.5 1975-05-05 -4.0 2.5 250.00 29 1975-05-05 250.00 1975-04-11 -50.00 -140.00
1974 1974-04-08 -5.3 1974-05-03 -9.5 -4.2 -420.00 26 1974-04-15 230.00 1974-04-29 -650.00 -880.00
1973 1973-04-09 31.7 1973-05-04 73.8 42.1 4210.00 26 1973-05-04 4210.00 - 0.00 -150.00
1972 1972-04-07 7.3 1972-05-05 6.9 -0.4 -40.00 29 1972-04-17 140.00 1972-04-27 -210.00 -350.00
1971 1971-04-07 1.8 1971-05-05 2.4 0.6 60.00 29 1971-04-29 130.00 1971-04-21 -40.00 -70.00
1970 1970-04-07 2.4 1970-05-05 3.7 1.3 130.00 29 1970-04-22 370.00 - 0.00 -270.00
1969 1969-04-07 6.5 1969-05-05 6.8 0.3 30.00 29 1969-04-11 120.00 - 0.00 -120.00
1968 1968-04-08 2.0 1968-05-03 2.5 0.5 50.00 26 1968-04-23 100.00 - 0.00 -50.00
1967 1967-04-07 0.7 1967-05-05 0.9 0.2 20.00 29 1967-05-05 20.00 1967-04-27 -100.00 -100.00
1966 1966-04-07 2.9 1966-05-05 6.8 3.9 390.00 29 1966-05-05 390.00 - 0.00 -50.00
1965 1965-04-07 6.8 1965-05-05 5.2 -1.6 -160.00 29 1965-04-09 10.00 1965-05-04 -210.00 -220.00
1964 1964-04-07 3.5 1964-05-05 1.8 -1.7 -170.00 29 1964-04-09 70.00 1964-05-05 -170.00 -240.00
1963 1963-04-08 5.2 1963-05-03 4.0 -1.2 -120.00 26 1963-04-18 40.00 1963-04-30 -120.00 -160.00
1962 1962-04-09 3.7 1962-05-04 3.9 0.2 20.00 26 1962-04-23 110.00 1962-04-10 -20.00 -120.00
1961 1961-04-07 17.5 1961-05-05 15.3 -2.2 -220.00 29 1961-04-11 470.00 1961-05-04 -260.00 -730.00
1960 1960-04-07 3.8 1960-05-05 3.7 -0.1 -10.00 29 1960-05-02 40.00 1960-04-13 -60.00 -60.00
1959 1959-04-07 5.8 1959-05-05 5.5 -0.3 -30.00 29 1959-04-23 90.00 1959-05-01 -50.00 -140.00
1958 1958-04-07 5.2 1958-05-05 3.6 -1.6 -160.00 29 1958-04-09 100.00 1958-05-05 -160.00 -260.00
1957 1957-04-08 1.0 1957-05-03 1.7 0.7 70.00 26 1957-04-25 80.00 1957-04-15 -120.00 -130.00
1956 1956-04-09 4.6 1956-05-04 11.0 6.4 640.00 26 1956-05-01 670.00 - 0.00 -110.00
1955 1955-04-07 3.5 1955-05-05 1.0 -2.5 -250.00 29 1955-04-11 20.00 1955-05-05 -250.00 -270.00
1954 1954-04-07 27.5 1954-05-05 35.7 8.2 820.00 29 1954-04-30 1290.00 - 0.00 -470.00
1953 1953-04-07 3.5 1953-05-05 4.3 0.8 80.00 29 1953-04-30 90.00 1953-04-09 -90.00 -90.00
1952 1952-04-07 0.0 1952-05-05 6.4 6.4 640.00 29 1952-04-29 850.00 - 0.00 -230.00