Futures Spread Strategy For October, 2021 - Buy CTH22-CTZ21

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Futures Spread Strategy For October, 2021 - Buy CTH22-CTZ21

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

  • 100% Win in last 15 years
  • All seasonal patterns up to 30 years have similar movement and correlation over 96%
  • The spread reached local support level - low stop loss
  • High RRR - over 6.5

Backtest BUY CTH22-CTZ21 Entry: 2021-10-21 Exit: 2021-11-04

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 40% 15 12.93 9999 75.00 7.63 194.00 -93.00 194.00 0.00 229.00 -30.00 970.00 970.00 0.00 15.00
10 100% 10 0 40% 15 24.00 9999 625.00 3.57 360.00 -173.00 360.00 0.00 392.50 -110.00 3600.00 3600.00 0.00 255.00
15 100% 15 0 47% 15 29.42 9999 625.00 6.52 441.33 -204.67 441.33 0.00 499.67 -76.67 6620.00 6620.00 0.00 255.00
20 85% 17 3 45% 15 22.07 12.51 625.00 3.32 331.00 -229.25 423.24 -191.67 415.50 -125.00 6620.00 7195.00 -575.00 255.00
30 73% 22 8 50% 15 15.17 5.35 625.00 2.20 227.50 -230.33 381.59 -196.25 325.50 -147.67 6825.00 8395.00 -1570.00 255.00
54 54% 29 25 50% 15 7.32 2.51 1000.00 1.28 109.81 -228.52 340.34 -157.60 217.41 -169.91 5930.00 9870.00 -3940.00 1000.00
Equity for backtest
Year Enter price Exit price Points Profit Drawdown
2020 0.69 0.96 0.27 135.00 -60.00
2019 0.78 1.61 0.83 415.00 -15.00
2018 1.43 1.52 0.09 45.00 -260.00
2017 -0.53 0.05 0.58 290.00 -45.00
2016 0.40 0.57 0.17 85.00 -85.00
2015 -0.18 0.08 0.26 130.00 -105.00
2014 -0.88 -0.83 0.05 25.00 -685.00
2013 1.19 2.28 1.09 545.00 -40.00
2012 -1.55 1.09 2.64 1320.00 -115.00
2011 -1.50 -0.28 1.22 610.00 -320.00
2010 -5.40 -3.79 1.61 805.00 -1015.00
2009 2.23 3.44 1.21 605.00 -50.00
2008 2.96 4.55 1.59 795.00 -195.00
2007 4.13 4.63 0.50 250.00 -50.00
2006 3.01 4.14 1.13 565.00 -30.00
2005 1.93 2.79 0.86 430.00 -100.00
2004 -0.22 -0.37 -0.15 -75.00 -515.00
2003 2.41 2.70 0.29 145.00 -215.00
2002 2.36 1.54 -0.82 -410.00 -430.00
2001 1.84 1.66 -0.18 -90.00 -255.00
2000 1.84 2.43 0.59 295.00 -75.00
1999 1.27 1.63 0.36 180.00 -70.00
1998 -0.05 -0.87 -0.82 -410.00 -445.00
1997 1.33 1.20 -0.13 -65.00 -180.00
1996 1.36 1.93 0.57 285.00 -10.00
1995 -0.02 -0.77 -0.75 -375.00 -790.00
1994 1.53 1.44 -0.09 -45.00 -170.00
1993 1.63 2.40 0.77 385.00 -40.00
1992 0.16 0.27 0.11 55.00 -270.00
1991 2.05 1.85 -0.20 -100.00 -275.00
1990 -0.09 -0.12 -0.03 -15.00 -355.00
1989 1.83 1.70 -0.13 -65.00 -190.00
1988 0.11 0.43 0.32 160.00 -105.00
1987 1.38 1.34 -0.04 -20.00 -90.00
1986 0.60 0.06 -0.54 -270.00 -305.00
1985 0.67 0.40 -0.27 -135.00 -185.00
1984 1.53 1.44 -0.09 -45.00 -155.00
1983 0.88 1.37 0.49 245.00 -185.00
1982 2.16 2.46 0.30 150.00 -75.00
1981 2.35 1.93 -0.42 -210.00 -315.00
1980 1.38 0.55 -0.83 -415.00 -560.00
1979 0.85 0.32 -0.53 -265.00 -390.00
1978 2.46 3.02 0.56 280.00 -65.00
1977 0.98 0.91 -0.07 -35.00 -85.00
1976 0.85 0.78 -0.07 -35.00 -110.00
1975 1.46 1.41 -0.05 -25.00 -110.00
1974 1.50 0.75 -0.75 -375.00 -435.00
1973 -2.55 -1.43 1.12 560.00 -1000.00
1972 0.24 -0.39 -0.63 -315.00 -320.00
1971 0.85 0.91 0.06 30.00 -65.00
1970 0.63 0.73 0.10 50.00 -90.00
1969 1.02 0.97 -0.05 -25.00 -65.00
1968 0.60 0.46 -0.14 -70.00 -110.00
1967 1.00 0.90 -0.10 -50.00 -65.00