Commodities Spread Strategies


Product Long Contract Short Contract Entry Date Exit Date Win(%) Profit Factor
Live Cattle (LC)

8

6

 04-15 04-23 93.33% 137.5
Soybean Oil (BO)

12

9

 04-20 05-28 86.67% 86.6667
Live Cattle (LC)

2

10

 04-25 06-12 86.67% 72.7273
Soybean Oil (BO)

12

10

 04-20 05-28 93.33% 71.5
Soybean Oil (BO)

12

9

 04-20 05-23 80.0% 53.75
Copper (HG)

2

12

 04-25 06-12 86.67% 48.0
Live Cattle (LC)

2

12

 04-25 06-12 86.67% 46.1
Copper (HG)

2

11

 04-25 06-12 93.33% 46.0
Soybean Oil (BO)

10

8

 04-30 06-07 86.67% 45.5
Soybean Oil (BO)

12

8

 04-20 05-28 86.67% 45.0
Soybean (S)

8

1

 04-10 04-28 73.33% 44.1538
Soybean Oil (BO)

12

10

 04-10 05-28 80.0% 42.0
Live Cattle (LC)

2

10

 04-25 06-07 93.33% 38.4696
Soybean Oil (BO)

12

8

 04-30 05-28 80.0% 33.1429
Natural Gas (NG)

10

8

 04-05 05-08 80.0% 32.85
Natural Gas (NG)

10

8

 04-20 05-03 80.0% 32.6923
Soybean Oil (BO)

12

1

 04-10 04-23 73.33% 32.5
Soybean Oil (BO)

12

7

 04-20 05-28 73.33% 32.4545
Soybean (S)

11

9

 04-20 06-07 93.33% 31.4286
Soybean (S)

11

9

 04-30 06-07 93.33% 31.0
Natural Gas (NG)

10

8

 04-10 05-08 80.0% 30.8095
Soybean (S)

11

9

 04-30 06-12 93.33% 30.4667
Soybean Oil (BO)

12

7

 04-30 05-28 80.0% 29.5556
Soybean Oil (BO)

12

9

 04-20 06-07 80.0% 28.9
Soybean Oil (BO)

10

8

 04-20 06-07 73.33% 28.25
Copper (HG)

1

11

 04-25 06-12 86.67% 28.0
Soybean Oil (BO)

12

10

 04-20 05-23 73.33% 27.5
Soybean Meal (SM)

7

1

 04-10 04-28 73.33% 26.7941
Soybean Oil (BO)

12

8

 04-30 06-12 86.67% 26.4
Copper (HG)

1

11

 04-25 05-18 86.67% 26.3333
Soybean Oil (BO)

12

9

 04-30 05-28 80.0% 25.8571
Soybean (S)

8

11

 04-10 04-28 73.33% 25.381
Soybean Oil (BO)

10

8

 04-30 06-12 80.0% 25.3333
Live Cattle (LC)

2

10

 04-30 06-07 93.33% 25.2345
Soybean Oil (BO)

12

9

 04-20 06-02 80.0% 25.1667
Soybean (S)

1

9

 04-30 06-12 86.67% 25.0952
Natural Gas (NG)

10

8

 04-20 05-08 73.33% 23.8261
Natural Gas (NG)

10

8

 04-05 05-03 80.0% 23.7826
Live Cattle (LC)

2

10

 04-20 06-07 86.67% 23.7053
Soybean Oil (BO)

12

1

 04-15 04-23 80.0% 23.0
Copper (HG)

2

11

 04-30 06-12 86.67% 22.375
Copper (HG)

2

11

 04-25 06-07 80.0% 22.2222
Soybean Oil (BO)

10

8

 04-25 06-12 86.67% 21.7
Copper (HG)

1

11

 04-25 06-02 86.67% 21.6667
Live Cattle (LC)

2

12

 04-25 06-07 86.67% 20.9633
Soybean Oil (BO)

12

8

 04-25 06-12 80.0% 20.8235
Soybean Oil (BO)

12

8

 04-20 05-23 73.33% 20.6154
Soybean Oil (BO)

12

8

 04-25 05-23 73.33% 20.6154
Soybean Oil (BO)

12

8

 04-20 06-07 80.0% 20.5
Live Cattle (LC)

2

10

 04-25 06-02 93.33% 20.4625
Natural Gas (NG)

11

8

 04-15 05-08 73.33% 20.2444
Soybean Oil (BO)

12

9

 04-25 06-12 80.0% 19.7692
Soybean Oil (BO)

12

8

 04-20 06-02 80.0% 19.6316
Natural Gas (NG)

10

7

 04-05 05-08 73.33% 19.4762
Soybean Meal (SM)

12

1

 04-10 05-28 86.67% 19.4444
Soybean Oil (BO)

10

8

 04-25 06-07 86.67% 19.3846
Copper (HG)

2

9

 04-25 06-12 80.0% 18.7273
Soybean Oil (BO)

1

8

 04-25 06-12 80.0% 18.4783
Copper (HG)

2

10

 04-25 06-12 93.33% 18.4706
Soybean Oil (BO)

12

9

 04-25 05-23 73.33% 18.4
Natural Gas (NG)

11

8

 04-05 05-08 80.0% 18.3898
Soybean (S)

11

9

 04-30 06-17 86.67% 18.3871
Soybean Meal (SM)

8

1

 04-10 05-03 73.33% 18.2432
Natural Gas (NG)

11

9

 04-15 05-08 73.33% 18.2105
Soybean Oil (BO)

12

9

 04-25 05-28 80.0% 17.9231
Soybean Oil (BO)

10

7

 04-25 05-23 73.33% 17.7692
Natural Gas (NG)

10

8

 04-15 05-08 73.33% 17.5588
Natural Gas (NG)

10

8

 04-10 05-03 80.0% 17.5484
Soybean Oil (BO)

12

9

 04-30 06-12 73.33% 17.5
Copper (HG)

1

11

 04-25 06-07 80.0% 17.4444
Soybean Oil (BO)

10

8

 04-25 06-02 80.0% 17.4286
Soybean (S)

11

9

 04-25 06-12 93.33% 17.3793
Soybean Oil (BO)

1

9

 04-25 06-12 80.0% 17.2632
Soybean Oil (BO)

12

8

 04-25 05-28 80.0% 17.2105
Copper (HG)

2

12

 04-25 06-07 86.67% 17.1429
Soybean Oil (BO)

12

7

 04-25 05-23 73.33% 16.9474
Soybean Oil (BO)

12

10

 04-05 05-23 86.67% 16.875
Soybean (S)

1

9

 04-30 06-17 86.67% 16.8421
Copper (HG)

1

12

 04-25 06-12 86.67% 16.6
Copper (HG)

2

8

 04-25 06-12 86.67% 16.4516
Soybean (S)

8

11

 04-05 04-28 73.33% 16.3902
Soybean (S)

1

9

 04-20 06-07 86.67% 16.3667
Soybean Oil (BO)

10

8

 04-30 06-02 73.33% 16.3636
Soybean Oil (BO)

12

8

 04-30 06-07 86.67% 15.8889
Heating Oil (HO)

1

8

 04-15 04-23 86.67% 15.8298
Soybean Oil (BO)

12

9

 04-30 06-02 80.0% 15.7857
Copper (HG)

1

12

 04-25 06-02 86.67% 15.75
Soybean Oil (BO)

1

10

 04-30 06-12 73.33% 15.5455
Soybean Oil (BO)

10

8

 04-25 05-28 80.0% 15.4615
Soybean Oil (BO)

12

7

 04-25 05-28 80.0% 15.3846
Copper (HG)

1

8

 04-25 06-12 80.0% 15.3448
Soybean Oil (BO)

12

8

 04-30 06-02 73.33% 15.2632
Copper (HG)

1

9

 04-25 06-12 86.67% 15.2174
Soybean Oil (BO)

12

10

 04-30 05-28 80.0% 15.0
Live Cattle (LC)

12

10

 04-20 06-07 86.67% 14.9241
Soybean Meal (SM)

7

10

 04-10 04-28 73.33% 14.9038
Heating Oil (HO)

1

9

 04-15 04-23 73.33% 14.775
Soybean Oil (BO)

1

9

 04-20 05-28 80.0% 14.75
Soybean Oil (BO)

12

7

 04-20 05-23 73.33% 14.75
Natural Gas (NG)

11

7

 04-05 05-08 73.33% 14.3908