Futures Spread Strategy For July, 2020 - Buy HOX20-HOF21

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Futures Spread Strategy For July, 2020 - Buy HOX20-HOF21

This futures spread combines several conditions to create good trading opportunity.

  • 90% Win in last 20 years, 100% Win in last 15 years
  • Low margin requirements
  • Reversed head and shoulders pattern
  • Strong seasonal patterns correlation over 89%

Backtest BUY HOX20-HOF21 Entry: 2020-07-22 Exit: 2020-09-06

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 40% 47 8.10 9999 273.00 6.19 380.52 -320.04 380.52 0.00 572.04 -92.40 1902.60 1902.60 0.00 0.00
10 100% 10 0 60% 47 7.65 9999 453.60 3.83 359.52 -339.36 359.52 0.00 558.18 -145.74 3595.20 3595.20 0.00 298.20
15 100% 15 0 73% 47 8.33 9999 453.60 5.15 391.44 -447.16 391.44 0.00 698.88 -135.80 5871.60 5871.60 0.00 298.20
20 90% 18 2 60% 47 7.50 21.97 453.60 4.93 352.38 -431.97 410.20 -168.00 652.26 -132.30 7047.60 7383.60 -336.00 298.20
30 80% 24 6 57% 47 6.15 9.90 453.60 4.24 288.96 -403.62 401.80 -162.40 562.10 -132.72 8668.80 9643.20 -974.40 298.20
41 76% 31 10 68% 47 4.28 3.51 470.40 2.67 201.29 -418.57 372.31 -328.86 489.66 -183.26 8253.00 11541.60 -3288.60 453.60
Equity for backtest
Year Enter date Enter price Exit date Exit price Points Profit Days# Best Date Best Worst Date Worst Drawdown
2019 2019-07-22 -0.0021 2019-09-06 0.0004 0.0025 105.00 47 2019-07-31 117.60 2019-08-12 -117.60 -235.20
2018 2018-07-23 -0.0084 2018-09-06 -0.0044 0.0040 168.00 46 2018-08-29 256.20 - 0.00 -159.60
2017 2017-07-24 -0.0121 2017-09-06 0.0216 0.0337 1415.40 45 2017-08-31 1705.20 - 0.00 -306.60
2016 2016-07-22 -0.0395 2016-09-06 -0.0358 0.0037 155.40 47 2016-08-24 466.20 2016-07-25 -71.40 -310.80
2015 2015-07-22 -0.0333 2015-09-04 -0.0319 0.0014 58.80 45 2015-08-12 315.00 2015-08-03 -273.00 -588.00
2014 2014-07-22 -0.0202 2014-09-05 -0.0119 0.0083 348.60 46 2014-09-03 453.60 - 0.00 -134.40
2013 2013-07-22 0.0060 2013-09-06 0.0128 0.0068 285.60 47 2013-08-29 609.00 2013-08-07 -453.60 -697.20
2012 2012-07-23 -0.0071 2012-09-06 0.0047 0.0118 495.60 46 2012-08-31 617.40 2012-08-13 -298.20 -361.20
2011 2011-07-22 -0.0293 2011-09-06 -0.0178 0.0115 483.00 47 2011-08-26 777.00 2011-07-27 -147.00 -294.00
2010 2010-07-22 -0.0533 2010-09-03 -0.0514 0.0019 79.80 44 2010-08-26 264.60 2010-08-12 -96.60 -306.60
2009 2009-07-22 -0.0710 2009-09-04 -0.0702 0.0008 33.60 45 2009-08-24 890.40 2009-07-29 -54.60 -856.80
2008 2008-07-22 -0.0660 2008-09-05 -0.0570 0.0090 378.00 46 2008-08-27 714.00 2008-08-12 -210.00 -399.00
2007 2007-07-23 -0.0335 2007-09-06 -0.0070 0.0265 1113.00 46 2007-09-06 1113.00 2007-08-06 -210.00 -609.00
2006 2006-07-24 -0.0840 2006-09-06 -0.0831 0.0009 37.80 45 2006-08-22 714.00 2006-07-28 -42.00 -693.00
2005 2005-07-22 -0.0470 2005-09-06 -0.0300 0.0170 714.00 47 2005-09-01 1470.00 2005-08-03 -63.00 -756.00
2004 2004-07-22 -0.0105 2004-09-03 -0.0120 -0.0015 -63.00 44 2004-08-05 147.00 2004-08-31 -189.00 -336.00
2003 2003-07-22 -0.0095 2003-09-05 -0.0160 -0.0065 -273.00 46 2003-08-07 273.00 2003-09-04 -294.00 -567.00
2002 2002-07-22 -0.0115 2002-09-06 -0.0065 0.0050 210.00 47 2002-08-21 273.00 2002-08-05 -105.00 -294.00
2001 2001-07-23 -0.0125 2001-09-06 -0.0050 0.0075 315.00 46 2001-09-06 315.00 2001-08-01 -21.00 -168.00
2000 2000-07-24 -0.0020 2000-09-06 0.0215 0.0235 987.00 45 2000-08-28 1554.00 - 0.00 -567.00
1999 1999-07-22 -0.0090 1999-09-03 -0.0085 0.0005 21.00 44 1999-08-23 189.00 1999-07-27 -21.00 -168.00
1998 1998-07-22 -0.0270 1998-09-04 -0.0245 0.0025 105.00 45 1998-09-03 130.20 1998-08-11 -168.00 -168.00
1997 1997-07-22 -0.0130 1997-09-05 -0.0175 -0.0045 -189.00 46 1997-08-04 210.00 1997-09-04 -294.00 -504.00
1996 1996-07-22 -0.0040 1996-09-06 0.0125 0.0165 693.00 47 1996-09-06 693.00 - 0.00 -163.80
1995 1995-07-24 -0.0135 1995-09-06 -0.0045 0.0090 378.00 45 1995-09-06 378.00 - 0.00 -84.00
1994 1994-07-22 -0.0150 1994-09-06 -0.0168 -0.0018 -75.60 47 1994-08-01 126.00 1994-08-23 -147.00 -273.00
1993 1993-07-22 -0.0185 1993-09-03 -0.0144 0.0041 172.20 44 1993-08-30 210.00 1993-08-06 -84.00 -168.00
1992 1992-07-22 -0.0088 1992-09-04 -0.0158 -0.0070 -294.00 45 1992-07-27 33.60 1992-08-21 -382.20 -415.80
1991 1991-07-22 -0.0099 1991-09-06 -0.0118 -0.0019 -79.80 47 1991-08-20 113.40 1991-08-08 -113.40 -193.20
1990 1990-07-23 -0.0126 1990-09-06 0.0086 0.0212 890.40 46 1990-08-27 1734.60 1990-07-31 -126.00 -1331.40
1989 1989-07-24 -0.0086 1989-09-06 0.0018 0.0104 436.80 45 1989-09-06 436.80 1989-08-09 -88.20 -100.80
1988 1988-07-22 -0.0107 1988-09-06 -0.0102 0.0005 21.00 47 1988-07-29 88.20 1988-08-30 -134.40 -222.60
1987 1987-07-22 -0.0136 1987-09-04 -0.0118 0.0018 75.60 45 1987-08-06 88.20 1987-08-25 -126.00 -214.20
1986 1986-07-22 -0.0111 1986-09-05 -0.0178 -0.0067 -281.40 46 1986-08-06 138.60 1986-09-05 -281.40 -420.00
1985 1985-07-22 -0.0107 1985-09-06 0.0067 0.0174 730.80 47 1985-09-06 730.80 1985-07-24 -75.60 -121.80
1984 1984-07-23 -0.0157 1984-09-06 -0.0195 -0.0038 -159.60 46 1984-08-03 126.00 1984-09-05 -260.40 -386.40
1983 1983-07-22 -0.0130 1983-09-06 -0.0058 0.0072 302.40 47 1983-09-02 340.20 1983-08-11 -130.20 -172.20
1982 1982-07-22 -0.0080 1982-09-03 -0.0077 0.0003 12.60 44 1982-09-03 12.60 1982-07-26 -470.40 -470.40
1981 1981-07-22 -0.0334 1981-09-04 -0.0258 0.0076 319.20 45 1981-09-03 369.60 1981-07-30 -92.40 -189.00
1980 1980-07-22 -0.0350 1980-09-05 -0.0391 -0.0041 -172.20 46 1980-07-29 882.00 1980-09-05 -172.20 -1054.20
1979 1979-07-23 -0.0010 1979-09-06 -0.0415 -0.0405 -1701.00 46 - 0.00 1979-09-06 -1701.00 -1701.00