Futures Spread Strategy For July, 2023 - Buy HEM24-HEJ24

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Futures Spread Strategy For July, 2023 - Buy HEM24-HEJ24

This spread combines several conditions to create good trading opportunity.

  • Low margin requirements
  • Long seasonal window - A lot of time for seasonality to kick in. Possibility to take profit earlier
  • Narrow legs spread with expected lower volatility
  • 95% Win for last 20 years
  • WARNING: The spread price, at the time of writing this article, is at historical maximum.

Backtest BUY HEM24-HEJ24 Entry: 2023-07-17 Exit: 2023-12-26

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 80% 163 9.45 9999 670.00 6.10 1540.00 -1076.00 1540.00 0.00 1868.00 -306.00 7700.00 7700.00 0.00 290.00
10 100% 10 0 70% 163 8.81 9999 810.00 6.68 1436.00 -1137.00 1436.00 0.00 1916.00 -287.00 14360.00 14360.00 0.00 290.00
15 100% 15 0 80% 163 7.47 9999 810.00 6.49 1217.33 -1132.67 1217.33 0.00 1726.67 -266.00 18260.00 18260.00 0.00 290.00
20 95% 19 1 80% 163 5.97 15.64 810.00 4.17 973.50 -1141.00 1155.56 -665.00 1534.00 -367.50 19470.00 20800.00 -1330.00 810.00
30 80% 24 6 70% 163 3.95 4.60 810.00 2.81 644.04 -1101.00 1073.10 -765.71 1287.99 -459.16 19321.20 24681.20 -5360.00 810.00
52 73% 38 14 77% 163 2.60 3.52 1432.00 1.98 423.27 -1055.43 830.68 -581.68 995.97 -502.96 22010.00 30735.20 -8725.20 810.00
Equity for backtest
Year Enter date Enter price Exit date Exit price Points Profit Days# Best Date Best Worst Date Worst Drawdown
2023 2022-07-18 8.250 2022-12-23 13.375 5.125 2050.00 159 2022-12-15 2640.00 2022-08-15 -160.00 -770.00
2022 2021-07-19 7.175 2021-12-23 10.650 3.475 1390.00 158 2021-12-07 1770.00 2021-09-30 -180.00 -960.00
2021 2020-07-17 9.475 2020-12-24 11.225 1.750 700.00 161 2020-12-11 770.00 2020-09-11 -670.00 -830.00
2020 2019-07-17 7.125 2019-12-26 11.600 4.475 1790.00 163 2019-12-04 2090.00 2019-07-23 -290.00 -1150.00
2019 2018-07-17 10.375 2018-12-26 14.800 4.425 1770.00 163 2018-11-09 2070.00 2018-09-20 -230.00 -1670.00
2018 2017-07-17 7.500 2017-12-26 8.675 1.175 470.00 163 2017-12-12 1160.00 2017-10-31 -320.00 -1240.00
2017 2016-07-18 8.350 2016-12-23 9.700 1.350 540.00 159 2016-10-10 2160.00 - 0.00 -2030.00
2016 2015-07-17 7.650 2015-12-24 12.525 4.875 1950.00 161 2015-12-17 2310.00 2015-08-04 -140.00 -840.00
2015 2014-07-17 0.300 2014-12-26 6.575 6.275 2510.00 163 2014-12-18 2940.00 2014-07-18 -70.00 -1070.00
2014 2013-07-17 6.475 2013-12-26 9.450 2.975 1190.00 163 2013-12-23 1250.00 2013-09-27 -810.00 -810.00
2013 2012-07-17 8.250 2012-12-26 9.175 0.925 370.00 163 2012-09-07 1660.00 - 0.00 -1530.00
2012 2011-07-18 5.925 2011-12-23 7.875 1.950 780.00 159 2011-12-23 780.00 2011-08-05 -320.00 -780.00
2011 2010-07-19 6.275 2010-12-23 8.425 2.150 860.00 158 2010-12-10 1520.00 2010-09-23 -460.00 -750.00
2010 2009-07-17 7.100 2009-12-24 8.425 1.325 530.00 161 2009-08-24 1420.00 2009-12-16 -150.00 -1570.00
2009 2008-07-17 7.875 2008-12-26 11.275 3.400 1360.00 163 2008-12-26 1360.00 2008-09-11 -190.00 -990.00
2008 2007-07-17 6.900 2007-12-26 9.050 2.150 860.00 163 2007-11-16 1520.00 2007-08-01 -760.00 -980.00
2007 2006-07-17 4.550 2006-12-26 7.325 2.775 1110.00 163 2006-12-19 1140.00 2006-09-05 -390.00 -1140.00
2006 2005-07-18 3.875 2005-12-23 3.875 0.000 0.00 159 2005-10-26 210.00 2005-10-03 -620.00 -740.00
2005 2004-07-19 4.025 2004-12-23 0.700 -3.325 -1330.00 158 2004-10-26 520.00 2004-12-20 -1540.00 -2060.00
2004 2003-07-17 3.500 2003-12-26 4.925 1.425 570.00 163 2003-11-26 1390.00 2003-07-18 -50.00 -910.00
2003 2002-07-17 9.050 2002-12-26 6.425 -2.625 -1050.00 163 2002-08-28 810.00 2002-12-26 -1050.00 -1860.00
2002 2001-07-17 9.050 2001-12-26 6.175 -2.875 -1150.00 163 2001-10-15 60.00 2001-12-26 -1150.00 -1210.00
2001 2000-07-17 6.925 2000-12-26 5.700 -1.225 -490.00 163 2000-07-26 520.00 2000-12-13 -590.00 -1110.00
2000 1999-07-19 9.325 1999-12-23 7.200 -2.125 -850.00 158 1999-07-23 360.00 1999-12-02 -1270.00 -1630.00
1999 1998-07-17 8.025 1998-12-24 11.350 3.325 1330.00 161 1998-12-14 2160.00 1998-07-27 -150.00 -1050.00
1998 1997-07-17 3.275 1997-12-26 7.525 4.250 1700.00 163 1997-12-01 2040.00 1997-08-05 -260.00 -480.00
1997 1996-07-17 3.925 1996-12-26 2.700 -1.225 -490.00 163 1996-09-16 550.00 1996-12-02 -590.00 -1140.00
1996 1995-07-17 6.622 1995-12-26 7.331 0.709 283.60 163 1995-11-08 486.40 1995-08-04 -473.20 -635.20
1995 1994-07-18 6.723 1994-12-23 7.297 0.574 229.60 159 1994-12-14 446.00 1994-08-01 -243.20 -432.80
1994 1993-07-19 6.993 1993-12-23 7.838 0.845 338.00 158 1993-12-22 527.20 1993-11-01 -648.40 -662.00
1993 1992-07-17 7.635 1992-12-24 6.520 -1.115 -446.00 161 1992-08-31 54.00 1992-11-16 -905.20 -959.20
1992 1991-07-17 5.912 1991-12-26 7.061 1.149 459.60 163 1991-12-17 676.00 1991-08-27 -256.40 -459.20
1991 1990-07-17 4.730 1990-12-26 6.149 1.419 567.60 163 1990-09-18 567.60 1990-10-02 -216.40 -784.00
1990 1989-07-17 7.163 1989-12-26 5.236 -1.927 -770.80 163 - 0.00 1989-11-24 -1135.60 -1135.60
1989 1988-07-18 6.824 1988-12-23 5.337 -1.487 -594.80 159 1988-08-03 230.00 1988-09-30 -959.60 -1189.60
1988 1987-07-17 2.027 1987-12-24 4.832 2.805 1122.00 161 1987-12-24 1122.00 1987-08-12 -148.80 -486.40
1987 1986-07-17 1.892 1986-12-26 3.175 1.283 513.20 163 1986-10-01 892.00 1986-07-31 -337.60 -838.00
1986 1985-07-17 3.007 1985-12-26 3.412 0.405 162.00 163 1985-09-11 1013.60 1985-11-27 -405.60 -1419.20
1985 1984-07-17 3.987 1984-12-26 5.642 1.655 662.00 163 1984-12-26 662.00 1984-12-17 -94.80 -716.40
1984 1983-07-18 5.844 1983-12-23 5.912 0.068 27.20 159 1983-09-06 1284.00 1983-08-09 -148.40 -1256.80
1983 1982-07-19 1.418 1982-12-23 1.757 0.339 135.60 158 1982-12-21 243.60 1982-08-19 -1432.00 -1459.60
1982 1981-07-17 3.683 1981-12-24 3.817 0.134 53.60 161 1981-07-30 337.60 1981-09-15 -513.60 -851.20
1981 1980-07-17 4.122 1980-12-24 5.608 1.486 594.40 161 1980-09-04 824.40 1980-07-29 -622.00 -946.00
1980 1979-07-17 5.608 1979-12-26 5.102 -0.506 -202.40 163 1979-08-23 392.00 1979-10-30 -797.60 -1189.60
1979 1978-07-17 2.737 1978-12-26 1.757 -0.980 -392.00 163 1978-10-30 310.80 1978-09-08 -500.40 -770.40
1978 1977-07-18 2.095 1977-12-23 1.284 -0.811 -324.40 159 1977-11-11 540.40 1977-12-22 -324.40 -864.80
1977 1976-07-19 2.703 1976-12-23 3.378 0.675 270.00 158 1976-09-09 824.40 1976-08-23 -486.80 -1229.60
1976 1975-07-17 0.540 1975-12-24 -0.135 -0.675 -270.00 161 1975-08-14 500.40 1975-10-02 -1486.40 -1986.80
1975 1974-07-17 2.736 1974-12-26 4.291 1.555 622.00 163 1974-12-26 622.00 1974-10-22 -202.40 -702.40
1974 1973-07-17 0.135 1973-12-26 1.892 1.757 702.80 163 1973-10-04 1459.60 1973-07-30 -662.00 -1270.00
1973 1972-07-17 0.912 1972-12-26 0.000 -0.912 -364.80 163 1972-09-14 310.80 1972-12-18 -418.80 -729.60
1972 1971-07-19 2.534 1971-12-23 2.939 0.405 162.00 158 1971-08-24 283.60 1971-12-07 -324.40 -608.00