Futures Spread Strategy For August, 2016 - Buy HOX16-HOG17

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Futures Spread Strategy For August, 2016 - Buy HOX16-HOG17

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

  • 87% Win in last 15 years, 100% win in last 10 years
  • Low margin requirements
  • Strong support level, possible to entry around support and use a small stop-loss
  • Seasonal patterns correlation over 89%

Backtest BUY HOX16-HOG17 Entry: 2016-08-01 Exit: 2016-08-30

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% 30 20.13 9999 865.20 3.70 603.96 -517.44 603.96 0.00 774.48 -209.16 3019.80 3019.80 0.00 50.40
10 100% 10 0 80% 30 17.57 9999 865.20 4.46 527.10 -525.84 527.10 0.00 780.36 -175.14 5271.00 5271.00 0.00 336.00
15 87% 13 2 73% 30 13.95 8.87 865.20 3.47 418.60 -517.16 544.38 -399.00 681.24 -196.56 6279.00 7077.00 -798.00 336.00
20 80% 16 4 70% 30 14.42 6.97 865.20 3.81 432.60 -471.66 631.31 -362.25 697.83 -183.12 8652.00 10101.00 -1449.00 336.00
30 73% 22 8 67% 30 11.48 5.45 865.20 3.49 344.40 -433.58 575.21 -290.33 610.26 -174.86 10332.00 12654.60 -2322.60 336.00
37 73% 27 10 62% 30 9.15 3.99 865.20 2.72 274.48 -456.21 521.12 -308.51 554.97 -204.21 10155.60 13549.20 -3393.60 865.20
Equity for backtest
Year Enter price Exit price Points Profit Drawdown
2015 -0.0503 -0.0431 0.0072 302.40 -730.80
2014 -0.0150 -0.0065 0.0085 357.00 -256.20
2013 0.0218 0.0291 0.0073 306.60 -865.20
2012 -0.0083 0.0190 0.0273 1146.60 -361.20
2011 -0.0285 -0.0069 0.0216 907.20 -373.80
2010 -0.0710 -0.0669 0.0041 172.20 -306.60
2009 -0.0946 -0.0846 0.0100 420.00 -600.60
2008 -0.0845 -0.0730 0.0115 483.00 -420.00
2007 -0.0325 -0.0095 0.0230 966.00 -756.00
2006 -0.1020 -0.0970 0.0050 210.00 -588.00
2005 -0.0530 -0.0285 0.0245 1029.00 -819.00
2004 0.0015 -0.0070 -0.0085 -357.00 -630.00
2003 0.0090 -0.0015 -0.0105 -441.00 -609.00
2002 -0.0090 -0.0010 0.0080 336.00 -189.00
2001 -0.0080 0.0025 0.0105 441.00 -252.00
2000 0.0130 0.0595 0.0465 1953.00 -399.00
1999 -0.0065 0.0020 0.0085 357.00 -252.00
1998 -0.0370 -0.0390 -0.0020 -84.00 -147.00
1997 -0.0080 -0.0215 -0.0135 -567.00 -693.00
1996 0.0090 0.0260 0.0170 714.00 -184.80
1995 -0.0072 -0.0025 0.0047 197.40 -84.00
1994 -0.0100 -0.0195 -0.0095 -399.00 -483.00
1993 -0.0197 -0.0140 0.0057 239.40 -264.60
1992 -0.0052 -0.0079 -0.0027 -113.40 -218.40
1991 0.0016 0.0075 0.0059 247.80 -281.40
1990 -0.0071 0.0236 0.0307 1289.40 -1348.20
1989 -0.0023 0.0080 0.0103 432.60 -147.00
1988 -0.0044 -0.0099 -0.0055 -231.00 -231.00
1987 -0.0155 -0.0186 -0.0031 -130.20 -277.20
1986 -0.0180 -0.0145 0.0035 147.00 -239.40
1985 0.0005 0.0013 0.0008 33.60 -231.00
1984 -0.0137 -0.0137 0.0000 0.00 -558.60
1983 -0.0075 0.0032 0.0107 449.40 -340.20
1982 -0.0200 -0.0130 0.0070 294.00 -386.40
1981 -0.0480 -0.0452 0.0028 117.60 -277.20
1980 -0.0350 -0.0480 -0.0130 -546.00 -819.00
1979 -0.0175 -0.0300 -0.0125 -525.00 -1260.00