Commodity Futures Spread Strategy for June, 2014 - Buy SBV14-SBK15

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Commodity Futures Spread Strategy for June, 2014 - Buy SBV14-SBK15

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

  • 87% Win in last 15 years
  • High seasonal patterns correlation
  • Possible to entry around support and use a small stop-loss
  • Historical lows - Current year is moving around historical lows with nice space for profit
  • Long seasonal window - A lot of time for seasonality to kick in. Possibility to take profit earlier

Backtest Buy SBV14-SBK15 Entry: 2014-06-07 Exit: 2014-07-23

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% 47 36.46 9999 145.60 39.45 1713.60 -497.28 1713.60 0.00 1767.36 -44.80 8568.00 8568.00 0.00 0.00
10 90% 9 1 40% 47 21.07 28.62 145.60 13.97 990.08 -431.20 1139.91 -358.40 1111.04 -79.52 9900.80 10259.20 -358.40 0.00
15 87% 13 2 27% 47 15.81 25.87 145.60 10.02 742.93 -352.43 891.69 -224.00 845.23 -84.37 11144.00 11592.00 -448.00 0.00
20 75% 15 5 30% 47 11.59 12.18 145.60 5.86 544.88 -361.20 791.47 -194.88 695.52 -118.72 10897.60 11872.00 -974.40 0.00
30 67% 20 10 40% 47 9.44 5.44 145.60 3.97 443.89 -414.03 815.92 -300.16 644.00 -162.03 13316.80 16318.40 -3001.60 145.60
48 50% 24 24 52% 47 4.22 2.25 156.80 1.79 198.57 -489.53 715.87 -318.73 482.07 -269.97 9531.20 17180.80 -7649.60 156.80
Equity for backtest
Year Enter date Enter price Exit date Exit price Points Profit Days# Best Date Best Worst Date Worst Drawdown
2013 2013-06-07 -0.98 2013-07-23 -0.62 0.36 403.20 47 2013-07-19 403.20 2013-06-12 -78.40 -235.20
2012 2012-06-07 -1.13 2012-07-23 0.57 1.70 1904.00 47 2012-07-20 1971.20 - 0.00 -548.80
2011 2011-06-07 0.15 2011-07-22 3.23 3.08 3449.60 46 2011-07-22 3449.60 - 0.00 -907.20
2010 2010-06-07 -1.27 2010-07-23 0.98 2.25 2520.00 47 2010-07-22 2576.00 - 0.00 -336.00
2009 2009-06-08 -0.82 2009-07-23 -0.56 0.26 291.20 46 2009-06-29 436.80 2009-06-12 -145.60 -459.20
2008 2008-06-09 -2.42 2008-07-23 -1.67 0.75 840.00 45 2008-06-18 1176.00 - 0.00 -705.60
2007 2007-06-07 -0.85 2007-07-23 -0.33 0.52 582.40 47 2007-07-23 582.40 - 0.00 -190.40
2006 2006-06-07 -0.27 2006-07-21 -0.24 0.03 33.60 45 2006-06-20 280.00 2006-07-14 -123.20 -403.20
2005 2005-06-07 0.02 2005-07-22 0.23 0.21 235.20 46 2005-07-22 235.20 2005-06-15 -78.40 -156.80
2004 2004-06-07 -0.03 2004-07-23 -0.35 -0.32 -358.40 47 - 0.00 2004-06-28 -369.60 -369.60
2003 2003-06-09 -0.11 2003-07-23 0.03 0.14 156.80 45 2003-07-22 201.60 2003-06-24 -145.60 -156.80
2002 2002-06-07 -0.24 2002-07-23 0.23 0.47 526.40 47 2002-07-23 526.40 2002-06-21 -145.60 -156.80
2001 2001-06-07 0.50 2001-07-23 0.42 -0.08 -89.60 47 2001-06-22 156.80 2001-07-12 -100.80 -257.60
2000 2000-06-07 0.13 2000-07-21 0.58 0.45 504.00 45 2000-07-21 504.00 - 0.00 -145.60
1999 1999-06-07 -0.34 1999-07-23 -0.21 0.13 145.60 47 1999-06-24 179.20 1999-07-07 -78.40 -257.60
1998 1998-06-08 -0.67 1998-07-23 -0.60 0.07 78.40 46 1998-07-20 235.20 1998-06-10 -123.20 -212.80
1997 1997-06-09 0.24 1997-07-23 -0.13 -0.37 -414.40 45 - 0.00 1997-07-21 -436.80 -436.80
1996 1996-06-07 0.34 1996-07-23 0.52 0.18 201.60 47 1996-07-08 548.80 1996-06-10 -56.00 -347.20
1995 1995-06-07 0.20 1995-07-21 0.19 -0.01 -11.20 45 1995-06-26 280.00 1995-07-14 -246.40 -526.40
1994 1994-06-07 0.37 1994-07-22 0.28 -0.09 -100.80 46 1994-06-09 168.00 1994-06-27 -246.40 -414.40
1993 1993-06-07 0.40 1993-07-23 -0.45 -0.85 -952.00 47 1993-06-10 78.40 1993-07-23 -952.00 -1030.40
1992 1992-06-08 0.19 1992-07-23 0.43 0.24 268.80 46 1992-07-17 436.80 1992-07-09 -100.80 -268.80
1991 1991-06-07 -0.10 1991-07-23 0.50 0.60 672.00 47 1991-07-09 828.80 1991-06-10 -78.40 -470.40
1990 1990-06-07 0.58 1990-07-23 0.24 -0.34 -380.80 47 1990-07-03 123.20 1990-07-09 -448.00 -571.20
1989 1989-06-07 0.37 1989-07-21 1.21 0.84 940.80 45 1989-06-22 1019.20 - 0.00 -873.60
1988 1988-06-07 0.09 1988-07-22 2.01 1.92 2150.40 46 1988-07-19 2273.60 1988-06-13 -78.40 -884.80
1987 1987-06-08 -0.52 1987-07-23 -0.82 -0.30 -336.00 46 - 0.00 1987-07-21 -347.20 -347.20
1986 1986-06-09 -0.67 1986-07-23 -0.92 -0.25 -280.00 45 1986-06-10 56.00 1986-07-16 -358.40 -414.40
1985 1985-06-07 -1.06 1985-07-23 -0.69 0.37 414.40 47 1985-07-17 448.00 - 0.00 -112.00
1984 1984-06-07 -1.41 1984-07-23 -1.48 -0.07 -78.40 47 1984-07-05 145.60 1984-06-18 -123.20 -224.00
1983 1983-06-07 -1.27 1983-07-22 -1.04 0.23 257.60 46 1983-06-28 324.80 1983-07-18 -156.80 -481.60
1982 1982-06-07 -1.30 1982-07-23 -1.42 -0.12 -134.40 47 1982-07-13 526.40 1982-06-16 -336.00 -660.80
1981 1981-06-08 -0.30 1981-07-23 -0.50 -0.20 -224.00 46 1981-07-13 156.80 1981-07-01 -660.80 -660.80
1980 1980-06-09 -1.39 1980-07-23 -1.62 -0.23 -257.60 45 1980-06-13 1456.00 1980-07-11 -1019.20 -2475.20
1979 1979-06-07 -0.96 1979-07-23 -1.45 -0.49 -548.80 47 1979-06-08 33.60 1979-07-23 -548.80 -582.40
1978 1978-06-07 -1.03 1978-07-21 -0.75 0.28 313.60 45 1978-07-20 313.60 - 0.00 -112.00
1977 1977-06-07 -0.26 1977-07-22 -0.79 -0.53 -593.60 46 - 0.00 1977-07-06 -828.80 -828.80
1976 1976-06-07 -0.22 1976-07-23 -0.53 -0.31 -347.20 47 1976-06-18 156.80 1976-07-16 -369.60 -526.40
1975 1975-06-09 1.07 1975-07-23 0.69 -0.38 -425.60 45 - 0.00 1975-06-18 -1198.40 -1198.40
1974 1974-06-07 5.05 1974-07-23 4.15 -0.90 -1008.00 47 - 0.00 1974-07-09 -1601.60 -1601.60
1973 1973-06-07 0.53 1973-07-23 0.76 0.23 257.60 47 1973-07-06 470.40 1973-06-12 -56.00 -302.40
1972 1972-06-07 0.17 1972-07-21 -0.25 -0.42 -470.40 45 1972-06-13 112.00 1972-07-21 -470.40 -582.40
1971 1971-06-07 -0.12 1971-07-23 -0.17 -0.05 -56.00 47 1971-06-22 78.40 1971-07-16 -67.20 -145.60
1970 1970-06-08 0.02 1970-07-23 0.05 0.03 33.60 46 1970-07-15 56.00 1970-06-15 -67.20 -67.20
1969 1969-06-09 0.00 1969-07-23 -0.03 -0.03 -33.60 45 1969-07-07 123.20 1969-07-23 -33.60 -156.80
1968 1968-06-07 -0.39 1968-07-23 -0.49 -0.10 -112.00 47 1968-06-11 11.20 1968-07-18 -168.00 -179.20
1967 1967-06-07 -0.15 1967-07-21 -0.36 -0.21 -235.20 45 - 0.00 1967-07-18 -291.20 -291.20
1966 1966-06-07 -0.31 1966-07-22 -0.49 -0.18 -201.60 46 - 0.00 1966-07-18 -224.00 -224.00