Futures Spread Strategy For April, 2017 - Buy NGV17-NGQ17

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Futures Spread Strategy For April, 2017 - Buy NGV17-NGQ17

This spread combines several conditions to create good trading opportunity.

  • This seasonal strategy had only 1 loss for last 15 years
  • High RRR
  • Possible to entry at support and use a small stop-loss
  • Low margin requirements

Backtest BUY NGV17-NGQ17 Entry: 2017-04-10 Exit: 2017-05-10

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 0 100% 31 3.48 9999 140.00 2.93 108.00 -202.00 135.00 0.00 252.00 -86.00 540.00 540.00 0.00 40.00
10 90% 9 1 80% 31 4.26 27.40 220.00 3.39 132.00 -203.00 171.25 -25.00 268.00 -79.00 1320.00 1370.00 -50.00 80.00
15 93% 14 1 13% 31 17.05 159.60 300.00 7.84 528.67 -206.67 613.85 -25.00 638.00 -81.33 7930.00 7980.00 -50.00 70.00
20 85% 17 3 25% 31 14.56 27.56 300.00 6.16 451.50 -224.00 585.62 -85.00 582.00 -94.50 9030.00 9370.00 -340.00 170.00
27 81% 22 5 30% 31 11.97 13.85 470.00 3.68 371.11 -261.11 514.29 -130.00 509.26 -138.52 10020.00 10800.00 -780.00 470.00
Equity for backtest
Year Enter date Enter price Exit date Exit price Points Profit Days# Best Date Best Worst Date Worst Drawdown
2016 2016-04-11 0.095 2016-05-10 0.104 0.009 90.00 30 2016-05-02 330.00 2016-04-13 -140.00 -240.00
2015 2015-04-10 0.036 2015-05-08 0.046 0.010 100.00 29 2015-04-27 310.00 2015-04-15 -60.00 -250.00
2014 2014-04-10 -0.020 2014-05-09 -0.018 0.002 20.00 30 2014-04-16 110.00 2014-05-06 -20.00 -130.00
2013 2013-04-10 -0.012 2013-05-10 0.021 0.033 330.00 31 2013-05-09 370.00 2013-04-19 -40.00 -170.00
2012 2012-04-10 0.129 2012-05-10 0.129 0.000 0.00 31 2012-05-07 140.00 2012-04-23 -170.00 -220.00
2011 2011-04-11 0.064 2011-05-10 0.068 0.004 40.00 30 2011-04-12 70.00 2011-04-29 -220.00 -290.00
2010 2010-04-12 0.153 2010-05-10 0.195 0.042 420.00 29 2010-05-07 510.00 2010-04-14 -80.00 -110.00
2009 2009-04-13 0.201 2009-05-08 0.196 -0.005 -50.00 26 2009-04-27 290.00 2009-05-08 -50.00 -340.00
2008 2008-04-10 0.064 2008-05-09 0.073 0.009 90.00 30 2008-05-01 270.00 2008-04-11 -10.00 -200.00
2007 2007-04-10 0.139 2007-05-10 0.167 0.028 280.00 31 2007-05-10 280.00 2007-04-12 -0.00 -80.00
2006 2006-04-10 0.358 2006-05-10 0.900 0.542 5420.00 31 2006-05-10 5420.00 - 0.00 -200.00
2005 2005-04-11 0.069 2005-05-10 0.107 0.038 380.00 30 2005-05-10 380.00 - 0.00 -90.00
2004 2004-04-12 -0.016 2004-05-10 -0.012 0.004 40.00 29 2004-04-23 170.00 2004-05-05 -60.00 -230.00
2003 2003-04-10 -0.068 2003-05-09 -0.010 0.058 580.00 30 2003-05-02 730.00 2003-04-14 -70.00 -250.00
2002 2002-04-10 0.010 2002-05-10 0.029 0.019 190.00 31 2002-05-09 190.00 2002-04-18 -300.00 -300.00
2001 2001-04-10 -0.010 2001-05-10 0.045 0.055 550.00 31 2001-05-02 850.00 - 0.00 -300.00
2000 2000-04-10 0.001 2000-05-10 0.000 -0.001 -10.00 31 2000-05-05 190.00 2000-04-17 -40.00 -200.00
1999 1999-04-12 0.035 1999-05-10 0.041 0.006 60.00 29 1999-04-14 90.00 1999-04-26 -140.00 -230.00
1998 1998-04-13 0.002 1998-05-08 0.080 0.078 780.00 26 1998-05-08 780.00 1998-04-21 -170.00 -170.00
1997 1997-04-10 0.025 1997-05-09 -0.003 -0.028 -280.00 30 1997-04-16 160.00 1997-05-07 -320.00 -480.00
1996 1996-04-10 -0.053 1996-05-10 -0.039 0.014 140.00 31 1996-05-03 430.00 1996-04-19 -10.00 -290.00
1995 1995-04-10 0.046 1995-05-10 0.047 0.001 10.00 31 1995-05-02 60.00 1995-04-17 -260.00 -260.00
1994 1994-04-11 0.065 1994-05-10 0.083 0.018 180.00 30 1994-05-09 190.00 1994-04-18 -380.00 -380.00
1993 1993-04-12 0.057 1993-05-10 0.154 0.097 970.00 29 1993-05-06 1030.00 1993-04-21 -470.00 -660.00
1992 1992-04-10 0.210 1992-05-08 0.181 -0.029 -290.00 29 1992-04-15 130.00 1992-04-29 -510.00 -640.00
1991 1991-04-10 0.090 1991-05-10 0.075 -0.015 -150.00 31 1991-04-25 40.00 1991-05-06 -150.00 -190.00
1990 1990-04-10 0.032 1990-05-10 0.045 0.013 130.00 31 1990-05-02 230.00 1990-04-18 -70.00 -150.00