Commodity futures spread strategy for March, 2015 - Buy WZ15-WU15

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Commodity futures spread strategy for March, 2015 - Buy WZ15-WU15

This spread combines several conditions to create good trading opportunity.

  • 90% Win in last 20 years
  • Narrow legs spread with expected lower volatility
  • Seasonal patterns correlation - All patterns up to 30 years have similar movement and correlation, more than 95% in seasonal window
  • Long seasonal window - A lot of time for seasonality to kick in. Possibility to take profit earlier

Backtest Buy WZ15-WU15 Entry: 2015-03-03 Exit: 2015-06-02

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 20% 92 7.17 9999 162.50 11.92 660.00 -387.50 660.00 0.00 745.00 -62.50 3300.00 3300.00 0.00 25.00
10 100% 10 0 40% 92 5.18 9999 362.50 5.22 476.25 -377.50 476.25 0.00 561.25 -107.50 4762.50 4762.50 0.00 225.00
15 93% 14 1 40% 92 3.62 401.00 362.50 4.84 333.33 -300.00 358.04 -12.50 415.83 -85.83 5000.00 5012.50 -12.50 225.00
20 90% 18 2 35% 92 2.87 25.88 362.50 3.69 264.38 -283.75 323.53 -70.83 350.62 -95.00 5287.50 5500.00 -212.50 225.00
30 80% 24 6 43% 92 1.98 10.10 362.50 2.59 182.08 -251.25 275.57 -75.00 266.67 -102.92 5462.50 6062.50 -600.00 225.00
67 79% 53 14 49% 92 1.06 6.32 362.50 2.02 97.74 -180.33 162.08 -64.82 168.75 -83.70 6548.50 7780.00 -1231.50 225.00
Equity for backtest
Year Enter date Enter price Exit date Exit price Points Profit Days# Best Date Best Worst Date Worst Drawdown
2014 2014-03-03 12.00 2014-06-02 22.50 10.50 525.00 92 2014-06-02 525.00 2014-03-19 -162.50 -175.00
2013 2013-03-04 13.25 2013-05-31 14.50 1.25 62.50 89 2013-05-08 212.50 2013-03-27 -125.00 -212.50
2012 2012-03-05 14.75 2012-06-01 26.00 11.25 562.50 89 2012-06-01 562.50 - 0.00 -500.00
2011 2011-03-03 17.50 2011-06-02 52.75 35.25 1762.50 92 2011-05-13 2025.00 2011-03-04 -25.00 -850.00
2010 2010-03-03 23.50 2010-06-02 31.25 7.75 387.50 92 2010-05-24 400.00 - 0.00 -200.00
2009 2009-03-03 21.00 2009-06-02 23.00 2.00 100.00 92 2009-03-31 150.00 2009-03-06 -25.00 -125.00
2008 2008-03-03 4.00 2008-06-02 21.50 17.50 875.00 92 2008-04-01 950.00 2008-03-14 -225.00 -775.00
2007 2007-03-05 11.00 2007-06-01 11.50 0.50 25.00 89 2007-04-02 237.50 2007-04-26 -362.50 -600.00
2006 2006-03-03 12.50 2006-06-02 18.75 6.25 312.50 92 2006-05-17 362.50 2006-03-16 -75.00 -187.50
2005 2005-03-03 7.25 2005-06-02 10.25 3.00 150.00 92 2005-04-15 187.50 2005-03-18 -75.00 -150.00
2004 2004-03-03 8.50 2004-06-02 10.50 2.00 100.00 92 2004-04-23 150.00 2004-03-23 -112.50 -225.00
2003 2003-03-03 10.50 2003-06-02 10.25 -0.25 -12.50 92 2003-03-28 100.00 2003-05-06 -87.50 -187.50
2002 2002-03-04 10.00 2002-05-31 10.25 0.25 12.50 89 2002-04-26 125.00 2002-05-15 -12.50 -137.50
2001 2001-03-05 13.75 2001-06-01 14.25 0.50 25.00 89 2001-04-10 125.00 - 0.00 -100.00
2000 2000-03-03 13.75 2000-06-02 16.00 2.25 112.50 92 2000-05-03 125.00 - 0.00 -75.00
1999 1999-03-03 14.25 1999-06-02 14.25 0.00 0.00 92 1999-04-09 112.50 1999-03-05 -37.50 -137.50
1998 1998-03-03 10.00 1998-06-02 15.00 5.00 250.00 92 1998-05-18 275.00 - 0.00 -112.50
1997 1997-03-03 8.75 1997-06-02 10.50 1.75 87.50 92 1997-05-22 187.50 1997-03-10 -62.50 -237.50
1996 1996-03-04 10.75 1996-05-31 6.75 -4.00 -200.00 89 1996-03-05 50.00 1996-04-24 -500.00 -550.00
1995 1995-03-03 10.75 1995-06-02 13.75 3.00 150.00 92 1995-04-19 150.00 1995-03-16 -12.50 -137.50
1994 1994-03-03 8.25 1994-06-02 11.50 3.25 162.50 92 1994-05-23 187.50 1994-04-08 -62.50 -175.00
1993 1993-03-03 8.00 1993-06-02 12.25 4.25 212.50 92 1993-06-02 212.50 1993-03-17 -50.00 -125.00
1992 1992-03-03 10.25 1992-06-02 9.00 -1.25 -62.50 92 - 0.00 1992-05-01 -200.00 -200.00
1991 1991-03-04 13.50 1991-05-31 12.50 -1.00 -50.00 89 1991-04-03 112.50 1991-05-16 -87.50 -200.00
1990 1990-03-05 12.50 1990-06-01 13.50 1.00 50.00 89 1990-05-30 75.00 1990-04-10 -50.00 -100.00
1989 1989-03-03 11.25 1989-06-02 12.75 1.50 75.00 92 1989-04-06 137.50 1989-03-13 -75.00 -162.50
1988 1988-03-03 11.00 1988-06-02 10.00 -1.00 -50.00 92 1988-03-11 50.00 1988-03-28 -125.00 -175.00
1987 1987-03-03 7.25 1987-06-02 8.50 1.25 62.50 92 1987-05-26 75.00 1987-05-12 -175.00 -225.00
1986 1986-03-03 11.75 1986-06-02 7.25 -4.50 -225.00 92 1986-03-06 50.00 1986-04-23 -325.00 -375.00
1985 1985-03-04 9.75 1985-05-31 9.75 0.00 0.00 89 1985-04-17 87.50 1985-04-04 -37.50 -125.00
1984 1984-03-05 12.75 1984-06-01 16.00 3.25 162.50 89 1984-05-25 175.00 1984-03-30 -87.50 -225.00
1983 1983-03-03 17.50 1983-06-02 15.00 -2.50 -125.00 92 - 0.00 1983-03-18 -262.50 -262.50
1982 1982-03-03 20.25 1982-06-02 20.25 0.00 0.00 92 1982-05-05 87.50 1982-03-25 -187.50 -187.50
1981 1981-03-03 22.50 1981-06-02 24.25 1.75 87.50 92 1981-05-08 250.00 1981-03-12 -137.50 -212.50
1980 1980-03-03 14.75 1980-06-02 16.75 2.00 100.00 92 1980-03-31 287.50 1980-03-26 -50.00 -287.50
1979 1979-03-05 10.25 1979-06-01 10.50 0.25 12.50 89 1979-04-24 112.50 1979-03-23 -112.50 -212.50
1978 1978-03-03 6.75 1978-06-02 5.25 -1.50 -75.00 92 1978-04-03 162.50 1978-03-10 -337.50 -400.00
1977 1977-03-03 9.50 1977-06-02 11.00 1.50 75.00 92 1977-04-18 75.00 1977-05-10 -112.50 -187.50
1976 1976-03-03 10.00 1976-06-02 12.00 2.00 100.00 92 1976-04-14 156.50 1976-03-23 -25.00 -156.50
1975 1975-03-03 7.50 1975-06-02 8.50 1.00 50.00 92 1975-04-23 162.50 1975-05-19 -25.00 -187.50
1974 1974-03-04 0.00 1974-05-31 9.00 9.00 450.00 89 1974-05-29 575.00 1974-03-12 -50.00 -250.00
1973 1973-03-05 1.25 1973-06-01 -5.00 -6.25 -312.50 89 1973-04-05 50.00 1973-06-01 -312.50 -362.50
1972 1972-03-03 4.13 1972-06-02 4.00 -0.13 -6.50 92 1972-04-10 56.00 1972-03-22 -56.50 -112.50
1971 1971-03-03 4.87 1971-06-02 3.75 -1.12 -56.00 92 1971-03-31 19.00 1971-05-27 -81.00 -100.00
1970 1970-03-03 4.63 1970-06-02 5.13 0.50 25.00 92 1970-03-18 31.00 1970-03-12 -31.50 -62.50
1969 1969-03-03 5.63 1969-06-02 5.50 -0.13 -6.50 92 1969-03-24 12.00 1969-05-20 -44.00 -56.00
1968 1968-03-04 5.12 1968-05-31 6.00 0.88 44.00 89 1968-04-29 56.50 1968-03-06 -6.00 -31.50
1967 1967-03-03 4.75 1967-06-02 5.75 1.00 50.00 92 1967-05-26 69.00 - 0.00 -62.00
1966 1966-03-03 4.75 1966-06-02 5.12 0.37 18.50 92 1966-05-31 44.00 1966-03-16 -12.50 -25.50
1965 1965-03-03 4.50 1965-06-02 4.25 -0.25 -12.50 92 1965-03-19 25.00 1965-05-26 -19.00 -44.00
1964 1964-03-03 5.00 1964-06-02 5.37 0.37 18.50 92 1964-05-08 50.00 1964-04-09 -37.50 -68.50
1963 1963-03-04 4.12 1963-05-31 4.12 0.00 0.00 89 1963-05-13 31.50 1963-05-22 -31.00 -62.50
1962 1962-03-05 5.00 1962-06-01 5.25 0.25 12.50 89 1962-03-26 12.50 1962-05-07 -56.50 -69.00
1961 1961-03-03 6.00 1961-06-02 6.25 0.25 12.50 92 1961-05-26 31.50 1961-05-03 -50.00 -56.50
1960 1960-03-03 5.00 1960-06-02 5.50 0.50 25.00 92 1960-05-26 31.50 1960-03-04 -25.00 -25.00
1959 1959-03-03 4.87 1959-06-02 5.37 0.50 25.00 92 1959-04-27 25.00 1959-03-18 -24.50 -37.00
1958 1958-03-03 5.00 1958-06-02 5.50 0.50 25.00 92 1958-05-22 37.50 1958-04-02 -6.50 -31.50
1957 1957-03-04 3.50 1957-05-31 4.37 0.87 43.50 89 1957-05-24 81.50 1957-03-05 -19.00 -44.00
1956 1956-03-05 3.38 1956-06-01 3.62 0.24 12.00 89 1956-03-20 56.00 1956-05-21 -31.50 -87.50
1955 1955-03-03 3.00 1955-06-02 2.25 -0.75 -37.50 92 1955-04-14 25.00 1955-05-26 -75.00 -100.00
1954 1954-03-03 4.00 1954-06-02 5.00 1.00 50.00 92 1954-05-20 75.00 1954-04-06 -6.50 -50.00
1953 1953-03-03 3.63 1953-06-02 5.63 2.00 100.00 92 1953-04-15 118.50 1953-03-06 -0.50 -50.00
1952 1952-03-03 3.00 1952-06-02 4.87 1.87 93.50 92 1952-05-08 93.50 - 0.00 -68.50
1951 1951-03-05 3.25 1951-06-01 3.25 0.00 0.00 89 1951-03-13 50.00 1951-04-19 -25.00 -75.00
1950 1950-03-03 2.38 1950-06-02 2.63 0.25 12.50 92 1950-03-28 31.00 1950-04-24 -69.00 -100.00
1949 1949-03-03 1.75 1949-06-02 2.37 0.62 31.00 92 1949-06-02 31.00 1949-03-21 -87.50 -112.50
1948 1948-03-03 -1.25 1948-06-02 0.38 1.63 81.50 92 1948-05-24 118.50 1948-03-05 -25.00 -81.50