Spread Trading - Strategy & Calculation -Commodities

edit values with past 1 month data

Hi Leonid,
My strategy is no way inspired by Mark Conway. If in case there are any similarities, then it is more of a co-incidence.
You have rightly pointed out that i have not used correlation in the strategy, this is partly because i wanted to keep my strategy simple. I only use the most popular pairs in the market.
Currently i am not trading lead and zinc, but trading in crude and natural gas.The opportunity to earn decent profit is pretty high there. I will try to answer all your questions in context of crude-natural gas, hope that helps.
The avg profit/loss ratio is 2.60. This is excluding any taxes and brokerage. I have attached the result for your reference. For crude-natural gas the ratio would be 2:1 (as both the lot size on MCX is not same). This is not needed for lead -zinc as lot size are same.
I have attached the backtesting result and screenshot for your reference. I would say that the strategy is still not perfect and would a bit more adjustment.

Spread Strategy - MCX Feb Lead & MCX Feb
Aluminum
Inter-Commodity Spread:
An inter-commodity spread is taking an advantage
from the price behavior of
two different commodity futures with a same
expiry date. Means going long on
one commodity future and short in other
commodity future.
Strategy:
The spread between Lead & Aluminum 27th Feb
2015 expiry futures contracts is
hovering in the range of 4.9 to -1.90 levels for the
last 60 days.
Currently the spread difference is at -1.60 levels
and that is expected to
become 0.30 in short-term. In current scenario one
can take the advantage of
the price movement and initiate short position in
lead and long position in
aluminum at the current market price.
Click here to read full report: Spread Strategy -
< http://www.way2wealth.com/reports/
RR1802201510.PDF > MCX Feb Lead & MCX Feb
Aluminum

What kind of correlation are you looking at.

Actually i am coding the same strategy in Amibroker and putting it up for Algo-trading. Lets see how it works. I am planning to get everything automated. So no human involvement required....

I had downloaded the excel sheet, we can input data for only 70 days?
How we can back test ?
Please help.

Hello,

Still Spread Trading Strategy is workable b/w Lead & zince ?

Colleagues, Can you suggest which are calender spread active & workable at present scenario ?