A useful backtest is a repeatable set of dated trades, not just a blue average line. The test must specify the pair, direction, dates, usable years and costs.
Freeze the trade definition
Write down the product, both delivery months and year offsets, long and short legs, entry rule and exit rule. If entry is “first trading day after September 15,” apply that rule in each historical year. If you optimize dates after seeing the entire sample, label the result as an in-sample discovery.
Calculate each yearly trade
For a long near/short deferred position, calculate near minus deferred at entry and at exit. The exit spread minus entry spread is the per-unit move. Apply the contract multiplier to obtain gross USD P&L for the stated number of pairs. Reverse the sign for the opposite direction.
Check dispersion and drawdown
Report the number of valid years, median as well as average, wins and losses, worst completed trade and largest interim adverse move. A positive average can come from one exceptional year. Daily path risk matters because losses before the eventual exit can create variation-margin cash calls.
Protect against hindsight
Use a later untouched period if possible, compare adjacent date windows and see whether the result survives removal of its best year. Do not treat the optimized window’s past win rate as a forward probability. Account for commissions, slippage and incomplete fills before comparing ideas.
Research the exact spread
Compare dated legs, historical years and current market conditions before using an average curve.
Open Futures Spread Analyzer →Frequently asked questions
Does 15Y mean 15 completed trades?
No. Every trade needs valid prices for both dated legs at the required entry and exit dates.
Can a backtest include an open current year?
Keep the incomplete current season distinct from completed historical trades; it has no known exit result.
Exchange references
Confirm current specifications, listed combinations and margins with the exchange and broker.
Continue the Calendar Spread Trading series
Also see Calendar Spread Trading, Intercommodity Spreads and Butterfly Spreads.
Test the structure yourself
Inspect individual years, trading windows and the full basket before making a decision.
Explore the Analyzer →Educational material only, not investment advice. Illustrative examples exclude trading costs unless stated. Historical results do not guarantee future performance.