Futures Spread Strategy For October, 2016 - Buy FCK17-FCJ17

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Futures Spread Strategy For October, 2016 - Buy FCK17-FCJ17

This spread combines several conditions to create good trading opportunity.

  • 90% Win in last 20 years
  • This spread moves historically in narrow range, so you have ability close & re-enter during the window.
  • Historical lows - Current year is moving at historical lows
  • Strong seasonal patterns correlation in seasonal window
  • Narrow legs spread with expected lower volatility
  • Possible to entry around support and use a small stop-loss
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 0 100% 71 3.56 9999 237.50 2.91 252.50 -407.50 315.63 0.00 472.50 -162.50 1262.50 1262.50 0.00 237.50
10 100% 10 0 90% 71 4.00 9999 325.00 2.38 283.75 -430.00 315.28 0.00 458.75 -192.50 2837.50 2837.50 0.00 325.00
15 93% 14 1 73% 71 3.98 29.25 325.00 2.21 282.50 -445.00 337.50 -75.00 453.33 -205.00 4237.50 4387.50 -150.00 325.00
20 90% 18 2 65% 71 3.20 19.15 325.00 2.01 226.88 -411.88 299.22 -62.50 393.13 -195.63 4537.50 4787.50 -250.00 325.00
30 73% 22 8 73% 71 2.01 4.69 325.00 1.58 142.92 -385.83 286.84 -105.68 318.75 -202.08 4287.50 5450.00 -1162.50 325.00
41 66% 27 14 83% 71 1.17 2.43 350.00 1.26 83.23 -387.80 263.64 -125.66 273.48 -217.68 3412.50 5800.00 -2387.50 325.00
Equity for backtest
Year Enter price Exit price Points Profit Drawdown
2016 -0.300 0.450 0.750 375.00 -312.50
2015 -0.225 0.325 0.550 275.00 -487.50
2014 -0.025 0.525 0.550 275.00 -287.50
2013 1.250 1.250 0.000 0.00 -350.00
2012 0.150 0.825 0.675 337.50 -600.00
2011 0.400 0.600 0.200 100.00 -725.00
2010 1.075 1.125 0.050 25.00 -387.50
2009 1.000 1.625 0.625 312.50 -425.00
2008 0.050 1.275 1.225 612.50 -387.50
2007 -0.100 0.950 1.050 525.00 -337.50
2006 -0.350 -0.650 -0.300 -150.00 -700.00
2005 -0.250 0.075 0.325 162.50 -700.00
2004 -1.100 1.200 2.300 1150.00 -387.50
2003 0.250 0.575 0.325 162.50 -225.00
2002 -0.050 0.100 0.150 75.00 -362.50
2001 -0.500 -0.700 -0.200 -100.00 -250.00
2000 -0.200 -0.025 0.175 87.50 -200.00
1999 0.700 0.850 0.150 75.00 -300.00
1998 0.500 0.975 0.475 237.50 -425.00
1997 0.275 0.275 0.000 0.00 -387.50
1996 -0.500 0.000 0.500 250.00 -287.50
1995 -0.325 -0.900 -0.575 -287.50 -375.00
1994 -0.950 -0.350 0.600 300.00 -187.50
1993 -1.000 -1.025 -0.025 -12.50 -212.50
1992 -1.275 -1.050 0.225 112.50 -237.50
1991 -0.775 -1.325 -0.550 -275.00 -350.00
1990 -0.825 -0.925 -0.100 -50.00 -250.00
1989 -1.300 -1.300 0.000 0.00 -412.50
1988 -0.700 -1.100 -0.400 -200.00 -575.00
1987 -0.925 -1.100 -0.175 -87.50 -450.00
1986 -1.350 -1.325 0.025 12.50 -487.50
1985 -1.050 -1.600 -0.550 -275.00 -637.50
1984 -0.550 -0.950 -0.400 -200.00 -387.50
1983 0.100 -0.400 -0.500 -250.00 -287.50
1982 -0.125 -0.125 0.000 0.00 -262.50
1981 -0.100 0.250 0.350 175.00 -250.00
1980 -0.050 0.275 0.325 162.50 -262.50
1979 -0.175 -0.200 -0.025 -12.50 -600.00
1978 0.400 -0.075 -0.475 -237.50 -287.50
1977 0.600 0.100 -0.500 -250.00 -487.50
1976 0.100 0.100 0.000 0.00 -375.00