Futures Spread Strategy For October, 2015 - Buy SMZ15-SMF16

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Futures Spread Strategy For October, 2015 - Buy SMZ15-SMF16

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

  • 100% Win in last 20 years
  • All seasonal patterns up to 30 years have similar movement and correlation
  • Possible to entry at support and use a small stop-loss
  • Closer legs with expected lower volatility

Backtest Buy SMZ15-SMF16 Entry: 2015-10-01 Exit: 2015-11-08

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% 39 12.36 9999 30.00 43.88 482.00 -308.00 482.00 0.00 702.00 -16.00 2410.00 2410.00 0.00 20.00
10 100% 10 0 50% 39 7.97 9999 120.00 15.77 311.00 -231.00 311.00 0.00 473.00 -30.00 3110.00 3110.00 0.00 120.00
15 100% 15 0 53% 39 6.31 9999 120.00 12.25 246.00 -205.33 246.00 0.00 392.00 -32.00 3690.00 3690.00 0.00 120.00
20 100% 20 0 50% 39 6.62 9999 220.00 9.36 258.00 -179.00 258.00 0.00 374.50 -40.00 5160.00 5160.00 0.00 220.00
30 83% 25 5 47% 39 5.04 23.69 220.00 5.63 196.67 -165.00 246.40 -52.00 300.00 -53.33 5900.00 6160.00 -260.00 220.00
64 61% 39 25 50% 39 2.45 4.70 220.00 2.89 95.47 -141.25 198.97 -66.00 186.09 -64.37 6110.00 7760.00 -1650.00 220.00
Equity for backtest
Year Enter price Exit price Points Profit Drawdown
2014 1.3 18.7 17.4 1740.00 -630.00
2013 2.4 7.4 5.0 500.00 -400.00
2012 2.2 3.7 1.5 150.00 -330.00
2011 -2.1 -2.0 0.1 10.00 -90.00
2010 -1.6 -1.5 0.1 10.00 -90.00
2009 2.8 7.0 4.2 420.00 -160.00
2008 -2.8 -1.5 1.3 130.00 -290.00
2007 -2.6 -1.4 1.2 120.00 -110.00
2006 -1.2 -1.0 0.2 20.00 -110.00
2005 -1.6 -1.5 0.1 10.00 -100.00
2004 -1.0 -0.9 0.1 10.00 -90.00
2003 -0.5 2.1 2.6 260.00 -290.00
2002 -1.0 -0.9 0.1 10.00 -80.00
2001 0.8 3.0 2.2 220.00 -130.00
2000 0.1 0.9 0.8 80.00 -180.00
1999 -0.9 1.2 2.1 210.00 -80.00
1998 -2.8 -2.5 0.3 30.00 -60.00
1997 2.7 7.4 4.7 470.00 -220.00
1996 0.6 7.6 7.0 700.00 -70.00
1995 -1.4 -0.8 0.6 60.00 -70.00
1994 -1.6 -1.7 -0.1 -10.00 -100.00
1993 -0.8 2.7 3.5 350.00 -70.00
1992 -0.2 -0.7 -0.5 -50.00 -100.00
1991 1.4 2.2 0.8 80.00 -150.00
1990 -1.9 -2.5 -0.6 -60.00 -180.00
1989 1.3 1.1 -0.2 -20.00 -130.00
1988 1.5 0.3 -1.2 -120.00 -270.00
1987 3.1 5.8 2.7 270.00 -180.00
1986 -0.6 0.8 1.4 140.00 -80.00
1985 -1.4 0.2 1.6 160.00 -110.00
1984 -2.9 -3.3 -0.4 -40.00 -40.00
1983 -0.5 -2.0 -1.5 -150.00 -200.00
1982 -2.6 -1.2 1.4 140.00 -40.00
1981 -3.9 -3.8 0.1 10.00 -50.00
1980 -2.8 -4.2 -1.4 -140.00 -230.00
1979 -1.9 -2.1 -0.2 -20.00 -120.00
1978 -1.2 -0.7 0.5 50.00 -120.00
1977 -2.7 -2.1 0.6 60.00 -50.00
1976 -1.6 -2.5 -0.9 -90.00 -170.00
1975 -2.7 0.1 2.8 280.00 -100.00
1974 -3.5 -5.4 -1.9 -190.00 -340.00
1973 1.7 0.0 -1.7 -170.00 -750.00
1972 -0.1 3.0 3.1 310.00 -100.00
1971 -0.1 -0.6 -0.5 -50.00 -60.00
1970 0.4 0.3 -0.1 -10.00 -50.00
1969 0.4 -0.2 -0.6 -60.00 -170.00
1968 0.8 0.2 -0.6 -60.00 -110.00
1967 0.0 -0.4 -0.4 -40.00 -70.00
1966 0.7 0.6 -0.1 -10.00 -60.00
1965 -0.2 1.9 2.1 210.00 -60.00
1964 0.1 0.0 -0.1 -10.00 -60.00
1963 -0.5 -0.3 0.2 20.00 -70.00
1962 -0.2 1.2 1.4 140.00 -80.00
1961 -1.1 0.3 1.4 140.00 -60.00
1960 -0.8 -1.0 -0.2 -20.00 -40.00
1959 -0.5 0.6 1.1 110.00 -40.00
1958 -0.1 0.1 0.2 20.00 -80.00
1957 -0.2 -0.4 -0.2 -20.00 -50.00
1956 -0.4 -0.1 0.3 30.00 -20.00
1955 -0.3 -0.5 -0.2 -20.00 -60.00
1954 -0.6 -0.7 -0.1 -10.00 -110.00
1953 -0.4 -1.4 -1.0 -100.00 -130.00
1952 -0.2 -2.0 -1.8 -180.00 -230.00
1951 0.0 0.8 0.8 80.00 -170.00