Commodity Futures Spread Strategy for September, 2014 - Buy LHV14-LCV14

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Commodity Futures Spread Strategy for September, 2014 - Buy LHV14-LCV14

This spread combines several conditions to create good trading opportunity.

  • 80% Win in last 15 years
  • Seasonal patterns correlation - All patterns up to 15 years have similar movement and correlation
  • Historical lows - Current year is moving around historical lows with nice space for profit
  • Possible to entry around strong support and use a small stop-loss

Please note that this is intercommodity spread where you must expect higher volatility

Backtest Buy LHV14-LCV14 Entry: 2014-08-29 Exit: 2014-10-04

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 80% 37 51.62 9999 2170.00 3.33 1910.00 -1412.00 1910.00 0.00 2334.00 -700.00 9550.00 9550.00 0.00 1330.00
10 80% 8 2 70% 37 31.84 4.06 2170.00 2.33 1178.00 -1705.00 1953.75 -1925.00 2089.00 -895.00 11780.00 15630.00 -3850.00 1330.00
15 80% 12 3 60% 37 35.48 3.94 2170.00 2.49 1312.67 -1692.67 2198.33 -2230.00 2288.00 -919.33 19690.00 26380.00 -6690.00 1330.00
20 70% 14 6 70% 37 31.56 3.77 2170.00 2.27 1167.68 -1548.80 2271.37 -1407.60 2028.82 -892.12 23353.60 31799.20 -8445.60 1330.00
30 67% 20 10 63% 37 25.57 2.93 2170.00 1.95 946.07 -1507.76 2154.54 -1470.88 1833.12 -940.91 28382.00 43090.80 -14708.80 1330.00
48 67% 32 16 60% 37 20.95 2.78 2170.00 1.90 775.11 -1384.12 1817.50 -1309.68 1628.59 -855.87 37205.20 58160.00 -20954.80 1781.60
Equity for backtest
Year Enter date Enter price Exit date Exit price Points Profit Days# Best Date Best Worst Date Worst Drawdown
2013 2013-08-29 -39.650 2013-10-04 -36.200 3.450 1380.00 37 2013-09-16 2490.00 - 0.00 -1200.00
2012 2012-08-29 -51.800 2012-10-04 -40.525 11.275 4510.00 37 2012-10-04 4510.00 2012-09-07 -1330.00 -1510.00
2011 2011-08-29 -28.200 2011-10-04 -27.625 0.575 230.00 37 2011-10-04 230.00 2011-09-06 -2170.00 -2170.00
2010 2010-08-30 -23.175 2010-10-04 -19.425 3.750 1500.00 36 2010-09-24 2470.00 - 0.00 -1130.00
2009 2009-08-31 -38.525 2009-10-02 -33.700 4.825 1930.00 33 2009-09-17 1970.00 - 0.00 -1050.00
2008 2008-08-29 -35.625 2008-10-03 -29.175 6.450 2580.00 36 2008-10-03 2580.00 2008-09-15 -310.00 -1190.00
2007 2007-08-29 -30.300 2007-10-04 -36.700 -6.400 -2560.00 37 2007-08-30 430.00 2007-10-01 -3110.00 -3540.00
2006 2006-08-29 -27.150 2006-10-04 -25.850 1.300 520.00 37 2006-09-15 1210.00 2006-09-26 -740.00 -1950.00
2005 2005-08-29 -19.700 2005-10-04 -22.925 -3.225 -1290.00 37 2005-08-31 460.00 2005-10-04 -1290.00 -1750.00
2004 2004-08-30 -19.400 2004-10-04 -11.950 7.450 2980.00 36 2004-09-24 4540.00 - 0.00 -1560.00
2003 2003-08-29 -28.075 2003-10-03 -35.175 -7.100 -2840.00 36 2003-09-19 1260.00 2003-10-03 -2840.00 -4100.00
2002 2002-08-29 -36.450 2002-10-04 -24.125 12.325 4930.00 37 2002-10-04 4930.00 2002-09-03 -190.00 -420.00
2001 2001-08-29 -15.225 2001-10-04 -7.675 7.550 3020.00 37 2001-10-02 3920.00 2001-08-30 -300.00 -900.00
2000 2000-08-29 -15.550 2000-10-04 -10.700 4.850 1940.00 37 2000-10-02 2030.00 - 0.00 -760.00
1999 1999-08-30 -21.125 1999-10-04 -18.975 2.150 860.00 36 1999-09-29 1290.00 1999-09-15 -1510.00 -2160.00
1998 1998-08-31 -21.725 1998-10-02 -17.350 4.375 1750.00 33 1998-09-30 2110.00 1998-09-11 -310.00 -1000.00
1997 1997-08-29 3.250 1997-10-03 2.050 -1.200 -480.00 36 1997-09-03 340.00 1997-09-30 -1260.00 -1600.00
1996 1996-08-29 -1.064 1996-10-04 8.109 9.173 3669.20 37 1996-10-04 3669.20 1996-08-30 -126.40 -630.00
1995 1995-08-29 -1.624 1995-10-04 -1.630 -0.006 -2.40 37 1995-09-21 137.20 1995-09-01 -952.80 -952.80
1994 1994-08-29 -17.199 1994-10-04 -20.382 -3.183 -1273.20 37 - 0.00 1994-09-22 -1403.20 -1403.20
1993 1993-08-30 -11.782 1993-10-04 -6.862 4.920 1968.00 36 1993-10-04 1968.00 1993-09-02 -274.40 -925.60
1992 1992-08-31 -19.628 1992-10-02 -17.749 1.879 751.60 33 1992-10-02 751.60 1992-09-17 -654.40 -882.00
1991 1991-08-29 -10.545 1991-10-04 -11.417 -0.872 -348.80 37 1991-09-16 364.80 1991-09-30 -917.60 -1282.40
1990 1990-08-29 -10.095 1990-10-04 -2.385 7.710 3084.00 37 1990-10-04 3084.00 1990-09-07 -476.40 -693.60
1989 1989-08-29 -18.582 1989-10-04 -10.543 8.039 3215.60 37 1989-10-03 3271.20 1989-09-11 -291.20 -383.20
1988 1988-08-29 -19.239 1988-10-04 -18.540 0.699 279.60 37 1988-09-22 1152.00 1988-09-07 -444.80 -1207.20
1987 1987-08-31 2.024 1987-10-02 -1.511 -3.535 -1414.00 33 1987-09-01 652.00 1987-09-18 -2412.80 -3064.80
1986 1986-08-29 16.232 1986-10-03 7.949 -8.283 -3313.20 36 1986-09-03 543.20 1986-10-03 -3313.20 -3856.40
1985 1985-08-29 -6.271 1985-10-04 -1.289 4.982 1992.80 37 1985-10-02 2268.80 1985-09-03 -412.80 -412.80
1984 1984-08-29 0.755 1984-10-04 -2.213 -2.968 -1187.20 37 1984-09-20 361.60 1984-10-04 -1187.20 -1548.80
1983 1983-08-29 1.766 1983-10-04 -5.309 -7.075 -2830.00 37 1983-08-31 174.00 1983-09-23 -3220.40 -3394.40
1982 1982-08-30 21.359 1982-10-04 22.348 0.989 395.60 36 1982-09-08 1856.40 1982-09-20 -693.20 -2549.60
1981 1981-08-31 -0.101 1981-10-02 -0.276 -0.175 -70.00 33 1981-09-09 1370.80 1981-09-22 -275.20 -1646.00
1980 1980-08-29 -11.630 1980-10-03 -4.791 6.839 2735.60 36 1980-09-29 3564.80 1980-09-02 -145.60 -1382.40
1979 1979-08-29 -17.798 1979-10-04 -21.024 -3.226 -1290.40 37 1979-09-20 767.20 1979-10-01 -1719.20 -2486.40
1978 1978-08-29 8.697 1978-10-04 13.839 5.142 2056.80 37 1978-09-28 2683.60 1978-09-13 -860.80 -1233.60
1977 1977-08-29 12.491 1977-10-04 10.449 -2.042 -816.80 37 1977-09-07 82.40 1977-09-30 -866.80 -949.20
1976 1976-08-30 12.068 1976-10-04 9.352 -2.716 -1086.40 36 1976-09-02 341.60 1976-09-29 -1087.60 -1429.20
1975 1975-08-29 30.109 1975-10-03 37.607 7.498 2999.20 36 1975-10-02 3392.00 1975-09-02 -388.80 -817.20
1974 1974-08-29 5.918 1974-10-04 10.170 4.252 1700.80 37 1974-09-25 2654.40 1974-09-11 -1213.60 -1513.60
1973 1973-08-29 14.382 1973-10-04 16.611 2.229 891.60 37 1973-10-04 891.60 1973-09-12 -1781.60 -1781.60
1972 1972-08-29 3.719 1972-10-04 4.097 0.378 151.20 37 1972-09-06 492.80 1972-09-25 -62.80 -555.60
1971 1971-08-30 -7.730 1971-10-04 -5.338 2.392 956.80 36 1971-09-29 1149.20 1971-09-03 -57.60 -192.40
1970 1970-08-31 -2.462 1970-10-02 -2.843 -0.381 -152.40 33 1970-09-02 29.20 1970-09-25 -216.40 -245.60
1969 1969-08-29 4.016 1969-10-03 7.581 3.565 1426.00 36 1969-10-01 1651.20 1969-09-02 -145.60 -263.20
1968 1968-08-29 -1.149 1968-10-04 -0.311 0.838 335.20 37 1968-10-01 619.60 - 0.00 -287.20
1967 1967-08-29 -2.562 1967-10-04 -0.514 2.048 819.20 37 1967-09-25 856.80 - 0.00 -212.40
1966 1966-08-29 3.140 1966-10-04 4.643 1.503 601.20 37 1966-10-04 601.20 1966-09-15 -119.20 -265.20