Futures Spread Strategy For March, 2016 - Buy LCZ16-LCV16

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Futures Spread Strategy For March, 2016 - Buy LCZ16-LCV16

This spread combines several conditions to create good trading opportunity.

  • 87% Win for last 15 years
  • Seasonal patterns correlation - All patterns up to 20 years have similar movement and correlation, more than 80% in seasonal window
  • Strong Support level to place stop loss
  • Historical lows - Current year is moving at historical lows
  • Narrow legs spread with expected lower volatility
  • Long seasonal window - A lot of time for seasonality to kick in. Possibility to take profit earlier

Backtest Buy LCZ16-LCV16 Entry: 2016-03-01 Exit: 2016-06-01

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% 103 8.62 9999 270.00 7.59 888.00 -354.00 888.00 0.00 972.00 -128.00 4440.00 4440.00 0.00 50.00
10 100% 10 0 40% 103 5.88 9999 580.00 4.06 606.00 -508.00 606.00 0.00 743.00 -183.00 6060.00 6060.00 0.00 180.00
15 87% 13 2 60% 103 4.62 13.53 580.00 2.62 476.00 -512.67 593.08 -285.00 629.33 -240.00 7140.00 7710.00 -570.00 180.00
20 85% 17 3 55% 103 3.52 7.54 580.00 2.21 363.00 -496.00 523.12 -277.50 541.50 -244.50 7260.00 8370.00 -1110.00 580.00
30 73% 22 8 70% 103 2.55 3.86 580.00 1.90 262.67 -472.67 506.67 -306.67 469.67 -246.67 7880.00 10640.00 -2760.00 580.00
51 63% 32 19 71% 103 1.31 2.32 580.00 1.36 134.71 -447.06 390.00 -261.00 350.78 -258.43 6870.00 12090.00 -5220.00 580.00
Equity for backtest
Year Enter price Exit price Points Profit Drawdown
2015 0.700 1.025 0.325 130.00 -410.00
2014 1.225 3.125 1.900 760.00 -330.00
2013 1.375 2.475 1.100 440.00 -230.00
2012 0.600 3.775 3.175 1270.00 -480.00
2011 0.200 4.800 4.600 1840.00 -320.00
2010 1.350 2.675 1.325 530.00 -550.00
2009 1.750 1.950 0.200 80.00 -500.00
2008 1.150 2.250 1.100 440.00 -1190.00
2007 -0.050 1.025 1.075 430.00 -510.00
2006 1.500 1.850 0.350 140.00 -560.00
2005 1.275 2.025 0.750 300.00 -320.00
2004 1.475 0.400 -1.075 -430.00 -1340.00
2003 1.025 3.375 2.350 940.00 -190.00
2002 0.775 1.800 1.025 410.00 -400.00
2001 1.000 0.650 -0.350 -140.00 -360.00
2000 1.075 1.625 0.550 220.00 -200.00
1999 1.550 1.550 0.000 0.00 -430.00
1998 0.850 1.525 0.675 270.00 -390.00
1997 2.000 2.425 0.425 170.00 -320.00
1996 -0.950 -2.300 -1.350 -540.00 -890.00
1995 1.050 0.700 -0.350 -140.00 -550.00
1994 0.300 1.100 0.800 320.00 -220.00
1993 0.775 0.025 -0.750 -300.00 -430.00
1992 0.750 -0.525 -1.275 -510.00 -570.00
1991 0.800 1.050 0.250 100.00 -330.00
1990 0.500 -0.275 -0.775 -310.00 -480.00
1989 1.275 0.300 -0.975 -390.00 -600.00
1988 0.400 2.100 1.700 680.00 -380.00
1987 -0.250 1.900 2.150 860.00 -230.00
1986 1.600 2.375 0.775 310.00 -470.00
1985 1.475 1.000 -0.475 -190.00 -260.00
1984 0.575 1.700 1.125 450.00 -170.00
1983 0.900 1.325 0.425 170.00 -470.00
1982 0.200 0.000 -0.200 -80.00 -420.00
1981 1.225 0.825 -0.400 -160.00 -550.00
1980 1.100 1.350 0.250 100.00 -580.00
1979 0.975 1.100 0.125 50.00 -570.00
1978 0.400 1.000 0.600 240.00 -350.00
1977 1.050 1.325 0.275 110.00 -330.00
1976 0.750 0.375 -0.375 -150.00 -930.00
1975 0.075 -1.750 -1.825 -730.00 -920.00
1974 0.425 -0.150 -0.575 -230.00 -1000.00
1973 -0.225 0.025 0.250 100.00 -400.00
1972 -0.275 0.050 0.325 130.00 -140.00
1971 -0.250 -0.050 0.200 80.00 -150.00
1970 -0.300 -0.550 -0.250 -100.00 -220.00
1969 0.125 -0.925 -1.050 -420.00 -420.00
1968 0.025 -0.200 -0.225 -90.00 -150.00
1967 0.575 0.050 -0.525 -210.00 -230.00
1966 0.550 0.600 0.050 20.00 -130.00
1965 -0.275 -0.525 -0.250 -100.00 -230.00