A chart becomes a strategy only after its rules can be written before the outcome is known. The workflow below turns an idea into a trade that can be checked and repeated.
1. Write a falsifiable thesis
State why one contract should strengthen against another over a defined period: storage economics, harvest pressure, processing margin or relative crop supply. Note what evidence would contradict the idea. Avoid starting with a high P&L number and inventing the story afterward.
2. Lock the instruments
Specify every product, delivery month and year, weight, multiplier and currency. Write the basket formula and long/short orientation. Check listed contract months and whether the same mapping can be reconstructed in earlier years.
3. Test a defined window
Use a fixed entry and exit rule across valid historical years. Inspect each year and the daily path, not just the smoothed average. Compare shorter and longer lookbacks and an untouched sample if possible. Document the years excluded for missing leg prices.
4. Price the trade realistically
Estimate contract-level fees, bid-ask spread, slippage and current broker margin. Check last trade dates and whether the position can be entered as a listed spread or requires separate leg orders. Decide the size and maximum affordable interim loss before the trade.
5. Record the decision
Save the chosen basket, assumptions, dates, thesis and reasons to reject it. If the market no longer matches the tested regime or liquidity is poor, skip it. This discipline separates a reusable process from a one-off historical fit.
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
Should I optimize first?
Use optimization for idea discovery, then test stability on nearby windows and untouched observations.
Can I use continuous futures?
Yes for a clearly labeled separate research question, but do not mix them silently with fixed dated-contract trades.
Exchange references
Confirm current specifications, listed combinations and margins with the exchange and broker.
Continue the Futures Spread Trading Strategies 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.