Commodity futures spread strategy for February, 2015 - Buy FCQ15-FCK15

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Commodity futures spread strategy for February, 2015 - Buy FCQ15-FCK15

This spread combines several conditions to create good trading opportunity.

  • 93% Win in last 15 years
  • Narrow legs spread with expected lower volatility
  • Spread historically moves in a narrow range
  • Possible to entry around support and use a small stop-loss

Backtest Buy FCQ15-FCK15 Entry: 2015-02-01 Exit: 2015-04-15

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% 74 11.69 9999 300.00 6.21 865.00 -607.50 865.00 0.00 1040.00 -167.50 4325.00 4325.00 0.00 175.00
10 100% 10 0 80% 74 8.70 9999 1125.00 4.65 643.75 -745.00 643.75 0.00 1017.50 -218.75 6437.50 6437.50 0.00 175.00
15 93% 14 1 80% 74 7.32 20.12 1125.00 3.98 541.67 -688.33 610.71 -425.00 918.33 -230.83 8125.00 8550.00 -425.00 175.00
20 90% 18 2 85% 74 6.33 11.14 1125.00 3.50 468.75 -661.88 572.22 -462.50 840.00 -240.00 9375.00 10300.00 -925.00 337.50
30 73% 22 8 73% 74 3.86 3.78 1125.00 2.14 285.42 -662.08 528.98 -384.37 655.00 -305.42 8562.50 11637.50 -3075.00 637.50
40 60% 24 16 82% 74 1.64 1.70 1125.00 1.40 121.56 -712.50 493.23 -435.94 553.44 -395.94 4862.50 11837.50 -6975.00 637.50
Equity for backtest
Year Enter price Exit price Points Profit Drawdown
2014 1.400 2.800 1.400 700.00 -525.00
2013 5.375 6.575 1.200 600.00 -575.00
2012 1.450 3.700 2.250 1125.00 -537.50
2011 0.500 3.225 2.725 1362.50 -475.00
2010 1.250 2.325 1.075 537.50 -925.00
2009 1.850 1.925 0.075 37.50 -937.50
2008 0.625 3.325 2.700 1350.00 -600.00
2007 2.225 2.275 0.050 25.00 -1125.00
2006 0.125 1.150 1.025 512.50 -687.50
2005 0.975 1.350 0.375 187.50 -1062.50
2004 2.375 1.525 -0.850 -425.00 -1662.50
2003 2.425 3.375 0.950 475.00 -212.50
2002 1.225 3.425 2.200 1100.00 -362.50
2001 1.100 1.175 0.075 37.50 -425.00
2000 1.050 2.050 1.000 500.00 -212.50
1999 1.525 2.575 1.050 525.00 -625.00
1998 1.875 2.075 0.200 100.00 -700.00
1997 3.650 2.650 -1.000 -500.00 -662.50
1996 0.325 2.025 1.700 850.00 -312.50
1995 0.725 1.275 0.550 275.00 -612.50
1994 1.075 0.100 -0.975 -487.50 -675.00
1993 -0.425 -0.775 -0.350 -175.00 -500.00
1992 -0.175 -1.975 -1.800 -900.00 -962.50
1991 0.075 -0.875 -0.950 -475.00 -612.50
1990 -0.400 -0.475 -0.075 -37.50 -512.50
1989 -0.975 -0.125 0.850 425.00 -912.50
1988 -0.750 -0.650 0.100 50.00 -600.00
1987 -0.575 -0.725 -0.150 -75.00 -687.50
1986 1.500 1.700 0.200 100.00 -725.00
1985 0.700 2.225 1.525 762.50 -437.50
1984 -0.050 0.200 0.250 125.00 -525.00
1983 0.775 -1.400 -2.175 -1087.50 -1250.00
1982 0.125 -0.875 -1.000 -500.00 -975.00
1981 0.950 1.100 0.150 75.00 -462.50
1980 0.550 0.425 -0.125 -62.50 -687.50
1979 0.700 -1.400 -2.100 -1050.00 -1587.50
1978 -0.100 -0.525 -0.425 -212.50 -637.50
1977 0.650 0.025 -0.625 -312.50 -687.50
1976 0.000 -0.450 -0.450 -225.00 -1075.00
1975 0.050 -0.850 -0.900 -450.00 -750.00