Futures Spread Strategy For January, 2016 - Buy SN16-WN16

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Futures Spread Strategy For January, 2016 - Buy SN16-WN16

This spread combines several conditions to create good trading opportunity.

  • 93% Win in last 15 years
  • All patterns up to 30 years have similar movement and correlation over 90%
  • Long term seasonal window - possibility to take profit earlier
  • Soybeans futures didn't break major support, while wheat did.

Please note that this is intercommodity spread where you have expect higher volatility. This spread is not suitable for beginners.

Backtest Buy SN16-WN16 Entry: 2016-01-26 Exit: 2016-06-16

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% 142 52.62 9999 2887.50 8.97 7472.50 -6047.50 7472.50 0.00 9687.50 -1080.00 37362.50 37362.50 0.00 1737.50
10 90% 9 1 60% 142 45.89 94.09 10675.00 3.25 6516.25 -7046.25 7318.06 -700.00 8702.50 -2681.25 65162.50 65862.50 -700.00 10675.00
15 93% 14 1 53% 142 39.01 119.71 10675.00 3.49 5540.00 -5952.50 5985.71 -700.00 7716.67 -2209.17 83100.00 83800.00 -700.00 10675.00
20 80% 16 4 60% 142 30.10 24.26 10675.00 2.96 4274.38 -5348.75 5572.66 -918.75 6281.88 -2120.62 85487.50 89162.50 -3675.00 10675.00
30 70% 21 9 53% 142 23.87 11.99 10675.00 2.65 3390.00 -4401.25 5283.33 -1027.78 5236.67 -1976.25 101700.00 110950.00 -9250.00 10675.00
68 65% 44 24 50% 142 16.26 8.43 10675.00 3.06 2309.35 -3267.56 4049.55 -881.00 4103.93 -1342.74 157036.00 178180.00 -21144.00 10675.00
Equity for backtest
Year Enter date Enter price Exit date Exit price Points Profit Days# Best Date Best Worst Date Worst Drawdown
2015 2015-01-26 466.75 2015-06-16 468.75 2.00 100.00 142 2015-02-26 2925.00 2015-05-22 -2887.50 -5812.50
2014 2014-01-27 681.25 2014-06-16 840.75 159.50 7975.00 141 2014-06-02 9925.00 2014-01-28 -62.50 -5250.00
2013 2013-01-28 630.25 2013-06-14 835.75 205.50 10275.00 138 2013-06-12 11375.00 - 0.00 -6025.00
2012 2012-01-26 561.75 2012-06-15 766.50 204.75 10237.50 142 2012-05-02 15437.50 2012-01-31 -1737.50 -8712.50
2011 2011-01-26 501.75 2011-06-16 677.25 175.50 8775.00 142 2011-06-16 8775.00 2011-02-16 -712.50 -4437.50
2010 2010-01-26 444.25 2010-06-16 496.50 52.25 2612.50 142 2010-04-26 3837.50 2010-02-01 -850.00 -3762.50
2009 2009-01-26 407.75 2009-06-16 635.50 227.75 11387.50 142 2009-06-11 13225.00 2009-03-05 -4175.00 -5275.00
2008 2008-01-28 379.00 2008-06-16 657.50 278.50 13925.00 141 2008-06-12 15325.00 2008-03-12 -10675.00 -19275.00
2007 2007-01-26 254.75 2007-06-15 240.75 -14.00 -700.00 141 2007-04-02 4950.00 2007-04-26 -2037.50 -6987.50
2006 2006-01-26 229.75 2006-06-16 241.25 11.50 575.00 142 2006-01-30 1250.00 2006-05-22 -3675.00 -4925.00
2005 2005-01-26 216.25 2005-06-16 377.25 161.00 8050.00 142 2005-06-15 8162.50 2005-02-07 -762.50 -1650.00
2004 2004-01-26 455.25 2004-06-16 517.50 62.25 3112.50 143 2004-05-11 9400.00 2004-02-02 -2687.50 -10225.00
2003 2003-01-27 253.00 2003-06-16 301.25 48.25 2412.50 141 2003-05-01 4837.50 2003-02-07 -1100.00 -3112.50
2002 2002-01-28 144.00 2002-06-14 202.75 58.75 2937.50 138 2002-06-06 4437.50 2002-02-01 -225.00 -1500.00
2001 2001-01-26 174.25 2001-06-15 202.75 28.50 1425.00 141 2001-06-13 1887.50 2001-04-25 -1550.00 -2337.50
2000 2000-01-26 249.00 2000-06-16 241.75 -7.25 -362.50 143 2000-05-01 2700.00 2000-02-14 -875.00 -3062.50
1999 1999-01-26 231.00 1999-06-16 207.25 -23.75 -1187.50 142 1999-04-20 237.50 1999-03-05 -1775.00 -1850.00
1998 1998-01-26 321.50 1998-06-16 340.00 18.50 925.00 142 1998-02-10 1237.50 1998-03-13 -712.50 -1950.00
1997 1997-01-27 407.00 1997-06-16 495.75 88.75 4437.50 141 1997-05-30 5650.00 1997-04-21 -787.50 -5637.50
1996 1996-01-26 302.25 1996-06-14 273.75 -28.50 -1425.00 141 1996-01-31 62.50 1996-04-29 -5125.00 -5187.50
1995 1995-01-26 231.50 1995-06-16 208.50 -23.00 -1150.00 142 1995-03-17 1562.50 1995-06-05 -1687.50 -3250.00
1994 1994-01-26 368.75 1994-06-16 366.25 -2.50 -125.00 142 1994-05-23 1337.50 1994-04-07 -2487.50 -3512.50
1993 1993-01-26 256.75 1993-06-16 307.50 50.75 2537.50 142 1993-05-26 3350.00 1993-02-01 -312.50 -1250.00
1992 1992-01-27 207.00 1992-06-16 242.25 35.25 1762.50 142 1992-06-02 3250.00 1992-02-10 -1950.00 -2025.00
1991 1991-01-28 322.75 1991-06-14 274.50 -48.25 -2412.50 138 1991-03-08 362.50 1991-06-12 -2537.50 -2900.00
1990 1990-01-26 232.50 1990-06-15 258.00 25.50 1275.00 141 1990-05-10 3937.50 - 0.00 -2662.50
1989 1989-01-26 371.75 1989-06-16 338.75 -33.00 -1650.00 142 1989-03-22 1137.50 1989-05-24 -3662.50 -4800.00
1988 1988-01-26 315.75 1988-06-16 562.50 246.75 12337.50 143 1988-06-16 12337.50 1988-02-08 -950.00 -1150.00
1987 1987-01-26 246.25 1987-06-16 323.75 77.50 3875.00 142 1987-06-15 4037.50 1987-02-26 -1275.00 -1350.00
1986 1986-01-27 288.25 1986-06-16 283.50 -4.75 -237.50 141 1986-04-01 150.00 1986-05-08 -2012.50 -2162.50
1985 1985-01-28 297.75 1985-06-14 256.75 -41.00 -2050.00 138 - 0.00 1985-06-04 -2725.00 -2725.00
1984 1984-01-26 420.75 1984-06-15 413.25 -7.50 -375.00 142 1984-05-18 5587.50 1984-02-13 -1075.00 -5962.50
1983 1983-01-26 269.25 1983-06-16 243.50 -25.75 -1287.50 142 1983-04-22 1625.00 1983-06-16 -1287.50 -2912.50
1982 1982-01-26 281.50 1982-06-16 292.25 10.75 537.50 142 1982-05-12 1625.00 1982-03-08 -1375.00 -1975.00
1981 1981-01-26 304.00 1981-06-16 331.00 27.00 1350.00 142 1981-04-09 4212.50 - 0.00 -3500.00
1980 1980-01-28 239.00 1980-06-16 228.25 -10.75 -537.50 141 1980-02-07 462.50 1980-05-07 -2262.50 -2725.00
1979 1979-01-26 395.25 1979-06-15 357.25 -38.00 -1900.00 141 1979-02-20 3975.00 1979-06-14 -2737.50 -6712.50
1978 1978-01-26 301.00 1978-06-16 356.50 55.50 2775.00 142 1978-03-27 7037.50 1978-02-10 -112.50 -4537.50
1977 1977-01-26 445.00 1977-06-16 547.62 102.62 5131.00 142 1977-04-22 16456.00 1977-02-02 -412.50 -11325.00
1976 1976-01-26 129.75 1976-06-16 281.75 152.00 7600.00 143 1976-06-14 9012.50 1976-02-27 -1987.50 -2100.00
1975 1975-01-27 254.00 1975-06-16 205.00 -49.00 -2450.00 141 1975-01-29 750.00 1975-02-28 -3962.50 -4712.50
1974 1974-01-28 141.75 1974-06-14 157.25 15.50 775.00 138 1974-05-24 3675.00 1974-02-26 -1912.50 -4387.50
1973 1973-01-26 208.50 1973-06-15 770.25 561.75 28087.50 141 1973-06-04 35462.50 - 0.00 -10800.00
1972 1972-01-26 180.87 1972-06-16 205.88 25.01 1250.50 143 1972-05-17 1731.50 1972-01-28 -43.50 -725.00
1971 1971-01-26 159.00 1971-06-16 159.25 0.25 12.50 142 1971-06-08 125.00 1971-04-12 -1256.00 -1256.00
1970 1970-01-26 124.00 1970-06-16 139.37 15.37 768.50 142 1970-06-10 1006.00 1970-02-11 -69.00 -425.50
1969 1969-01-27 133.50 1969-06-16 138.12 4.62 231.00 141 1969-04-10 419.00 1969-02-05 -31.00 -381.50
1968 1968-01-26 127.00 1968-06-14 140.37 13.37 668.50 141 1968-06-10 668.50 1968-03-14 -162.50 -244.00
1967 1967-01-26 122.63 1967-06-16 128.37 5.74 287.00 142 1967-06-15 350.00 1967-03-16 -869.00 -987.50
1966 1966-01-26 127.37 1966-06-16 152.75 25.38 1269.00 142 1966-06-15 1331.50 - 0.00 -550.00
1965 1965-01-26 162.12 1965-06-16 149.25 -12.87 -643.50 142 1965-02-03 312.50 1965-05-24 -1393.50 -1706.00
1964 1964-01-27 95.75 1964-06-16 102.38 6.63 331.50 142 1964-03-12 618.50 1964-05-11 -50.00 -668.50
1963 1963-01-28 86.62 1963-06-14 76.50 -10.12 -506.00 138 - 0.00 1963-03-26 -987.50 -987.50
1962 1962-01-26 39.00 1962-06-15 33.50 -5.50 -275.00 141 1962-03-23 112.50 1962-06-11 -437.50 -550.00
1961 1961-01-26 71.25 1961-06-16 79.12 7.87 393.50 142 1961-04-25 3743.50 1961-01-31 -31.50 -3475.00
1960 1960-01-26 35.13 1960-06-16 26.75 -8.38 -419.00 143 - 0.00 1960-06-14 -456.50 -456.50
1959 1959-01-26 37.25 1959-06-16 36.75 -0.50 -25.00 142 1959-05-22 393.50 1959-02-10 -87.50 -418.50
1958 1958-01-27 40.38 1958-06-16 39.75 -0.63 -31.50 141 1958-04-21 299.50 1958-03-05 -438.00 -469.00
1957 1957-01-28 19.00 1957-06-14 28.87 9.87 493.50 138 1957-05-28 675.00 1957-02-26 -256.50 -456.50
1956 1956-01-26 53.25 1956-06-15 97.12 43.87 2193.50 142 1956-05-01 3512.50 - 0.00 -1319.00
1955 1955-01-26 60.00 1955-06-16 42.25 -17.75 -887.50 142 1955-02-09 231.50 1955-05-25 -943.50 -1175.00
1954 1954-01-26 106.25 1954-06-16 196.75 90.50 4525.00 142 1954-04-30 5131.00 1954-02-01 -200.00 -3081.00
1953 1953-01-26 61.75 1953-06-16 92.75 31.00 1550.00 142 1953-06-15 1662.50 1953-02-16 -331.00 -406.00
1952 1952-01-28 42.25 1952-06-16 95.62 53.37 2668.50 141 1952-06-11 2806.50 1952-02-26 -225.00 -387.50
1951 1951-01-26 84.00 1951-06-15 74.87 -9.13 -456.50 141 1951-05-21 606.00 1951-06-14 -619.00 -1225.00
1950 1950-01-26 32.87 1950-06-16 84.25 51.38 2569.00 142 1950-05-31 3762.50 1950-02-01 -43.50 -1193.50
1949 1949-01-26 33.00 1949-06-16 32.00 -1.00 -50.00 142 - 0.00 1949-03-28 -900.00 -900.00
1948 1948-01-26 144.75 1948-06-16 180.00 35.25 1762.50 143 1948-06-10 2587.50 1948-02-20 -2337.50 -2337.50