Futures Spread Strategy For December, 2019 - Buy -HEJ20+2*HEK20-HEM20

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Futures Spread Strategy For December, 2019 - Buy -HEJ20+2*HEK20-HEM20

This spread combines several conditions to create good trading opportunity.

  • Butterfly spread, better hedge
  • 93% Win in last 15 years
  • Narrow legs spread with expected lower volatility
  • This spread moves historically in narrow range
This spread moves historically in a narrow range, you don't have to follow only seasonality. Check the stacked chart (you need to have a subscription), as you can see you can try to enter into a trade at the bottom of that range and try to speculate that the spread returns back.

Backtest Buy Buy -HEJ20+2*HEK20-HEM20 Entry: 2019-12-09 Exit: 2019-02-27

Years# Win% Win# Loss# APW% Days# APPD PF SL RRR ProfitØ DDØ WinØ LossØ BestØ WorstØ Total Profit Profit Loss SL ProfitØ
5 80% 4 1 40% 81 10.10 9.02 590.00 2.64 818.00 -962.00 1150.00 -510.00 1284.00 -486.00 4090.00 4600.00 -510.00 590.00
10 90% 9 1 60% 81 8.21 14.04 890.00 2.62 665.00 -1192.00 795.56 -510.00 1242.00 -474.00 6650.00 7160.00 -510.00 590.00
15 93% 14 1 73% 81 10.92 27.02 900.00 3.27 884.67 -1160.00 984.29 -510.00 1448.67 -443.33 13270.00 13780.00 -510.00 590.00
18 89% 16 2 72% 81 8.78 5.25 900.00 2.44 711.11 -1241.11 988.13 -1505.00 1365.00 -558.33 12800.00 15810.00 -3010.00 590.00
Equity for backtest
Year Enter date Enter price Exit date Exit price Points Profit Days# Best Date Best Worst Date Worst Drawdown
2019 2018-12-10 -2.025 2019-02-27 -0.225 1.800 720.00 80 2019-02-15 1070.00 2019-01-28 -70.00 -560.00
2018 2017-12-11 0.550 2018-02-27 0.825 0.275 110.00 79 2018-02-16 570.00 2018-01-10 -550.00 -860.00
2017 2016-12-09 1.325 2017-02-27 2.275 0.950 380.00 81 2017-02-23 490.00 2017-02-06 -580.00 -850.00
2016 2015-12-09 3.425 2016-02-26 2.150 -1.275 -510.00 80 2015-12-17 480.00 2016-02-12 -640.00 -1120.00
2015 2014-12-09 0.975 2015-02-27 9.450 8.475 3390.00 81 2015-02-25 3810.00 2014-12-24 -590.00 -1420.00
2014 2013-12-09 4.475 2014-02-27 4.725 0.250 100.00 81 2014-02-03 1810.00 2013-12-13 -10.00 -1710.00
2013 2012-12-10 5.750 2013-02-27 6.175 0.425 170.00 80 2013-02-22 580.00 2013-01-02 -620.00 -1020.00
2012 2011-12-09 5.075 2012-02-27 8.675 3.600 1440.00 81 2012-02-27 1440.00 2011-12-23 -280.00 -950.00
2011 2010-12-09 4.375 2011-02-25 6.450 2.075 830.00 79 2011-02-11 1180.00 2011-02-03 -510.00 -1550.00
2010 2009-12-09 1.600 2010-02-26 1.650 0.050 20.00 80 2009-12-24 990.00 2010-01-22 -890.00 -1880.00
2009 2008-12-09 5.525 2009-02-27 9.275 3.750 1500.00 81 2009-02-09 2580.00 2008-12-11 -30.00 -1150.00
2008 2007-12-10 3.025 2008-02-27 4.525 1.500 600.00 80 2008-01-24 1230.00 2008-01-02 -260.00 -1330.00
2007 2006-12-11 3.550 2007-02-27 9.475 5.925 2370.00 79 2007-02-26 2730.00 2006-12-22 -460.00 -990.00
2006 2005-12-09 -0.600 2006-02-27 3.150 3.750 1500.00 81 2006-02-03 1800.00 2006-01-13 -260.00 -710.00
2005 2004-12-09 -2.525 2005-02-25 -0.900 1.625 650.00 79 2005-02-18 970.00 2004-12-30 -900.00 -1300.00
2004 2003-12-09 0.825 2004-02-27 -5.425 -6.250 -2500.00 81 - 0.00 2004-02-27 -2500.00 -2500.00
2003 2002-12-09 -0.850 2003-02-27 3.000 3.850 1540.00 81 2003-01-17 2040.00 - 0.00 -1540.00
2002 2001-12-10 5.750 2002-02-27 6.975 1.225 490.00 80 2002-02-21 800.00 2001-12-28 -900.00 -900.00