Futures Spread Strategy For June, 2018 - Buy NGG19-NGZ18

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Futures Spread Strategy For June, 2018 - Buy NGG19-NGZ18

This spread combines several conditions to create good trading opportunity.

  • 90% Win in last 20 years
  • The spread moving around strong local support at time of entry
  • Strong seasonal patterns correlation in seasonal window
  • Low margin requirements
  • Long seasonal window - A lot of time for seasonality to kick in. Possibility to take profit earlier

Backtest Buy NGG19-NGZ18 Entry: 2018-06-01 Exit: 2018-11-10

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% 163 3.06 9999 290.00 6.14 498.00 -498.00 498.00 0.00 848.00 -138.00 2490.00 2490.00 0.00 290.00
10 90% 9 1 90% 163 2.74 14.97 770.00 3.13 447.00 -824.00 532.22 -320.00 1029.00 -329.00 4470.00 4790.00 -320.00 650.00
15 93% 14 1 60% 163 7.38 57.37 2530.00 3.58 1202.67 -1459.33 1311.43 -320.00 1994.00 -556.67 18040.00 18360.00 -320.00 2530.00
20 90% 18 2 60% 163 6.94 28.91 2530.00 2.83 1130.50 -1571.00 1301.11 -405.00 1888.00 -667.00 22610.00 23420.00 -810.00 2530.00
28 79% 22 6 71% 163 4.71 3.67 2530.00 1.95 767.50 -1755.71 1343.18 -1343.33 1718.57 -881.07 21490.00 29550.00 -8060.00 2530.00
Equity for backtest
Year Enter date Enter price Exit date Exit price Points Profit Days# Best Date Best Worst Date Worst Drawdown
2017 2017-06-01 0.067 2017-11-10 0.095 0.028 280.00 163 2017-10-27 760.00 2017-06-06 -90.00 -480.00
2016 2016-06-01 0.122 2016-11-10 0.226 0.104 1040.00 163 2016-11-10 1040.00 2016-07-28 -290.00 -330.00
2015 2015-06-01 0.101 2015-11-10 0.194 0.093 930.00 163 2015-11-03 1330.00 2015-08-12 -150.00 -540.00
2014 2014-06-02 0.027 2014-11-10 0.050 0.023 230.00 162 2014-11-03 580.00 2014-06-12 -160.00 -620.00
2013 2013-06-03 0.064 2013-11-08 0.065 0.001 10.00 159 2013-10-04 530.00 - 0.00 -520.00
2012 2012-06-01 0.176 2012-11-09 0.144 -0.032 -320.00 162 2012-09-24 130.00 2012-07-31 -530.00 -650.00
2011 2011-06-01 0.092 2011-11-10 0.115 0.023 230.00 163 2011-10-07 1100.00 2011-06-08 -200.00 -880.00
2010 2010-06-01 0.174 2010-11-10 0.205 0.031 310.00 163 2010-10-11 1420.00 2010-07-30 -770.00 -1560.00
2009 2009-06-01 0.338 2009-11-10 0.468 0.130 1300.00 163 2009-11-10 1300.00 2009-08-05 -650.00 -1020.00
2008 2008-06-02 0.165 2008-11-10 0.211 0.046 460.00 162 2008-10-08 2100.00 2008-06-18 -450.00 -1640.00
2007 2007-06-01 0.340 2007-11-09 0.446 0.106 1060.00 162 2007-07-26 1380.00 2007-06-04 -100.00 -1300.00
2006 2006-06-01 0.565 2006-11-10 0.580 0.015 150.00 163 2006-07-11 2600.00 2006-10-20 -2350.00 -4950.00
2005 2005-06-01 0.313 2005-11-10 0.624 0.311 3110.00 163 2005-11-08 4850.00 2005-10-03 -2530.00 -3350.00
2004 2004-06-01 0.065 2004-11-10 0.633 0.568 5680.00 163 2004-11-04 7150.00 2004-06-17 -80.00 -2750.00
2003 2003-06-02 -0.085 2003-11-10 0.272 0.357 3570.00 162 2003-11-07 3640.00 - 0.00 -1300.00
2002 2002-06-03 0.030 2002-11-08 0.072 0.042 420.00 159 2002-08-07 1320.00 2002-10-14 -1300.00 -2620.00
2001 2001-06-01 -0.049 2001-11-09 0.205 0.254 2540.00 162 2001-10-01 2740.00 2001-06-18 -360.00 -1120.00
2000 2000-06-01 -0.195 2000-11-10 -0.244 -0.049 -490.00 163 2000-11-02 910.00 2000-09-19 -1620.00 -2100.00
1999 1999-06-01 -0.072 1999-11-10 0.016 0.088 880.00 163 1999-11-10 880.00 1999-08-24 -1330.00 -1750.00
1998 1998-06-01 -0.087 1998-11-10 0.035 0.122 1220.00 163 1998-10-30 2000.00 1998-06-30 -380.00 -1940.00
1997 1997-06-02 -0.049 1997-11-10 -0.380 -0.331 -3310.00 162 1997-06-11 190.00 1997-10-27 -5980.00 -6170.00
1996 1996-06-03 -0.087 1996-11-08 -0.251 -0.164 -1640.00 159 1996-09-04 890.00 1996-10-30 -2040.00 -2930.00
1995 1995-06-01 -0.050 1995-11-10 -0.019 0.031 310.00 163 1995-07-24 650.00 1995-08-31 -170.00 -820.00
1994 1994-06-01 -0.102 1994-11-10 0.142 0.244 2440.00 163 1994-11-10 2440.00 1994-06-28 -110.00 -1240.00
1993 1993-06-01 -0.260 1993-11-10 -0.138 0.122 1220.00 163 1993-10-21 2050.00 - 0.00 -1340.00
1992 1992-06-01 -0.306 1992-11-10 -0.387 -0.081 -810.00 163 1992-07-09 460.00 1992-11-04 -990.00 -1450.00
1991 1991-06-03 -0.128 1991-11-08 -0.277 -0.149 -1490.00 159 1991-08-08 580.00 1991-11-08 -1490.00 -2070.00
1990 1990-06-01 -0.090 1990-11-09 0.126 0.216 2160.00 162 1990-10-11 3100.00 1990-08-06 -550.00 -1720.00