Futures Spread Strategy For May, 2015 - Buy BOZ15-BOQ15

You can also browse other Free Futures Spread Trading Strategies, we publish a free trading strategy each month.

Futures Spread Strategy For May, 2015 - Buy BOZ15-BOQ15

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

  • 100% Win in last 30 years
  • Strong seasonal patterns correlation in trading window
  • Now (at the time of entry) there is a nice role reversal pattern
  • The stoploss can be placed under a local support level.
  • Closer legs with expected lower volatility
  • Long seasonal window - A lot of time for seasonality to kick in. Possibility to take profit earlier

Backtest BUY BOZ15-BOQ15 Entry: 2015-05-03 Exit: 2015-07-28

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% 87 2.73 9999 288.00 4.95 237.60 -270.00 237.60 0.00 326.40 -66.00 1188.00 1188.00 0.00 288.00
10 100% 10 0 50% 87 2.23 9999 288.00 6.90 194.40 -204.60 194.40 0.00 277.20 -40.20 1944.00 1944.00 0.00 288.00
15 100% 15 0 47% 87 2.91 9999 288.00 5.39 253.60 -282.00 253.60 0.00 325.60 -60.40 3804.00 3804.00 0.00 288.00
20 100% 20 0 45% 87 2.78 9999 288.00 5.58 241.50 -257.40 241.50 0.00 311.40 -55.80 4830.00 4830.00 0.00 288.00
30 100% 30 0 43% 87 2.83 9999 678.00 3.21 246.00 -274.80 246.00 0.00 310.40 -96.80 7380.00 7380.00 0.00 678.00
53 83% 44 9 75% 87 1.23 1.97 1584.00 1.40 106.98 -437.21 261.68 -649.33 340.64 -243.85 5670.00 11514.00 -5844.00 1584.00
Equity for backtest
Year Enter date Enter price Exit date Exit price Points Profit Days# Best Date Best Worst Date Worst Drawdown
2014 2014-05-05 -0.42 2014-07-28 0.26 0.68 408.00 85 2014-06-02 480.00 - 0.00 -360.00
2013 2013-05-03 -0.83 2013-07-26 0.15 0.98 588.00 85 2013-07-26 588.00 2013-06-21 -288.00 -504.00
2012 2012-05-03 0.69 2012-07-27 0.77 0.08 48.00 86 2012-06-01 114.00 2012-06-18 -42.00 -156.00
2011 2011-05-03 0.62 2011-07-28 0.79 0.17 102.00 87 2011-06-22 306.00 - 0.00 -204.00
2010 2010-05-03 0.66 2010-07-28 0.73 0.07 42.00 87 2010-06-02 144.00 - 0.00 -126.00
2009 2009-05-04 0.61 2009-07-28 0.71 0.10 60.00 86 2009-06-11 90.00 2009-05-15 -60.00 -78.00
2008 2008-05-05 0.84 2008-07-28 1.30 0.46 276.00 85 2008-06-18 372.00 - 0.00 -114.00
2007 2007-05-03 0.94 2007-07-27 1.06 0.12 72.00 86 2007-06-19 120.00 - 0.00 -114.00
2006 2006-05-03 0.76 2006-07-28 0.92 0.16 96.00 87 2006-07-12 138.00 2006-07-26 -12.00 -150.00
2005 2005-05-03 -0.10 2005-07-28 0.32 0.42 252.00 87 2005-06-24 420.00 - 0.00 -240.00
2004 2004-05-03 -4.42 2004-07-28 -1.76 2.66 1596.00 87 2004-07-28 1596.00 2004-07-09 -132.00 -1356.00
2003 2003-05-05 -0.79 2003-07-28 -0.61 0.18 108.00 85 2003-06-12 294.00 2003-07-11 -240.00 -534.00
2002 2002-05-03 0.49 2002-07-26 0.51 0.02 12.00 85 2002-05-10 18.00 2002-06-14 -72.00 -90.00
2001 2001-05-03 0.57 2001-07-27 0.68 0.11 66.00 86 2001-07-17 120.00 2001-05-08 -18.00 -90.00
2000 2000-05-03 0.69 2000-07-28 0.82 0.13 78.00 87 2000-07-19 84.00 2000-06-26 -42.00 -114.00
1999 1999-05-03 0.49 1999-07-28 0.54 0.05 30.00 87 1999-05-26 54.00 1999-07-06 -36.00 -90.00
1998 1998-05-04 -0.49 1998-07-28 0.56 1.05 630.00 86 1998-06-26 660.00 1998-05-08 -60.00 -204.00
1997 1997-05-05 0.14 1997-07-28 0.51 0.37 222.00 85 1997-06-04 246.00 1997-07-11 -30.00 -276.00
1996 1996-05-03 0.58 1996-07-26 0.78 0.20 120.00 85 1996-07-12 162.00 1996-05-08 -66.00 -108.00
1995 1995-05-03 -0.35 1995-07-28 -0.31 0.04 24.00 87 1995-05-19 222.00 1995-06-21 -18.00 -240.00
1994 1994-05-03 -2.34 1994-07-28 -0.61 1.73 1038.00 87 1994-06-29 1182.00 1994-05-04 -42.00 -558.00
1993 1993-05-03 0.45 1993-07-28 0.53 0.08 48.00 87 1993-06-17 66.00 1993-07-19 -48.00 -114.00
1992 1992-05-04 0.64 1992-07-28 0.65 0.01 6.00 86 1992-05-07 78.00 1992-06-02 -66.00 -144.00
1991 1991-05-03 0.66 1991-07-26 0.72 0.06 36.00 85 1991-07-16 102.00 1991-07-03 -36.00 -114.00
1990 1990-05-03 -0.55 1990-07-27 0.05 0.60 360.00 86 1990-07-20 444.00 1990-05-18 -300.00 -300.00
1989 1989-05-03 0.73 1989-07-28 0.87 0.14 84.00 87 1989-05-15 102.00 1989-06-26 -138.00 -240.00
1988 1988-05-03 0.59 1988-07-28 0.99 0.40 240.00 87 1988-07-28 240.00 1988-07-01 -252.00 -408.00
1987 1987-05-04 0.62 1987-07-28 0.68 0.06 36.00 86 1987-06-30 138.00 1987-05-08 -36.00 -168.00
1986 1986-05-05 0.35 1986-07-28 0.84 0.49 294.00 85 1986-07-16 324.00 1986-05-23 -192.00 -234.00
1985 1985-05-03 -2.18 1985-07-26 -1.50 0.68 408.00 85 1985-07-26 408.00 1985-06-06 -678.00 -816.00
1984 1984-05-03 -5.05 1984-07-27 -3.16 1.89 1134.00 86 1984-07-06 1344.00 1984-05-18 -1584.00 -1626.00
1983 1983-05-03 0.59 1983-07-28 0.61 0.02 12.00 87 1983-07-25 120.00 1983-06-06 -108.00 -186.00
1982 1982-05-03 0.75 1982-07-28 0.69 -0.06 -36.00 87 1982-06-08 78.00 1982-07-19 -156.00 -234.00
1981 1981-05-04 1.63 1981-07-28 2.02 0.39 234.00 86 1981-07-27 264.00 1981-05-20 -282.00 -282.00
1980 1980-05-05 0.85 1980-07-28 0.65 -0.20 -120.00 85 1980-07-10 24.00 1980-07-17 -324.00 -348.00
1979 1979-05-03 -0.95 1979-07-27 -1.28 -0.33 -198.00 86 1979-06-14 798.00 1979-07-20 -294.00 -1092.00
1978 1978-05-03 -2.67 1978-07-28 -1.67 1.00 600.00 87 1978-06-28 642.00 1978-05-15 -222.00 -816.00
1977 1977-05-03 -3.05 1977-07-28 -2.01 1.04 624.00 87 1977-07-08 1422.00 1977-05-16 -1062.00 -1572.00
1976 1976-05-03 0.35 1976-07-28 0.43 0.08 48.00 87 1976-06-18 192.00 1976-05-05 -30.00 -210.00
1975 1975-05-05 -1.80 1975-07-28 -2.83 -1.03 -618.00 85 1975-05-08 312.00 1975-07-23 -618.00 -930.00
1974 1974-05-03 -2.85 1974-07-26 -5.48 -2.63 -1578.00 85 - 0.00 1974-07-22 -1578.00 -1578.00
1973 1973-05-03 -3.45 1973-07-27 -7.22 -3.77 -2262.00 86 1973-07-06 942.00 1973-07-27 -2262.00 -3204.00
1972 1972-05-03 -0.61 1972-07-28 -0.16 0.45 270.00 87 1972-07-27 330.00 1972-05-12 -192.00 -198.00
1971 1971-05-03 -0.41 1971-07-28 -1.54 -1.13 -678.00 87 1971-05-18 30.00 1971-07-27 -714.00 -744.00
1970 1970-05-04 -0.99 1970-07-28 -1.56 -0.57 -342.00 86 1970-06-29 378.00 1970-07-28 -342.00 -720.00
1969 1969-05-05 -0.97 1969-07-28 -0.63 0.34 204.00 85 1969-06-13 384.00 1969-05-06 -42.00 -180.00
1968 1968-05-03 -0.26 1968-07-26 0.04 0.30 180.00 85 1968-07-09 288.00 1968-05-06 -30.00 -138.00
1967 1967-05-03 -0.20 1967-07-28 0.23 0.43 258.00 87 1967-07-25 270.00 1967-05-18 -0.00 -42.00
1966 1966-05-03 -0.49 1966-07-28 -0.39 0.10 60.00 87 1966-07-18 168.00 1966-06-24 -48.00 -180.00
1965 1965-05-03 -1.23 1965-07-28 -0.90 0.33 198.00 87 1965-05-20 252.00 1965-06-04 -48.00 -300.00
1964 1964-05-04 0.24 1964-07-28 0.22 -0.02 -12.00 86 1964-07-07 78.00 1964-07-22 -72.00 -150.00
1963 1963-05-03 0.01 1963-07-26 0.17 0.16 96.00 85 1963-07-05 168.00 1963-05-09 -12.00 -72.00
1962 1962-05-03 -0.03 1962-07-27 0.33 0.36 216.00 86 1962-06-29 258.00 - 0.00 -126.00