Futures Spread Strategy For July, 2017 - Buy NGG18-NGF18

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Futures Spread Strategy For July, 2017 - Buy NGG18-NGF18

This spread combines several conditions to create good trading opportunity.

  • 100% Win in last 15 years
  • Strong seasonal patterns correlation in seasonal window
  • Narrow legs spread with expected lower volatility
  • Low margin requirements
  • Long seasonal window - A lot of time for seasonality to kick in. Possibility to take profit earlier

Backtest Buy NGG18-NGF18 Entry: 2017-07-03 Exit: 2017-12-26

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% 177 2.19 9999 350.00 4.42 388.00 -510.00 388.00 0.00 672.00 -152.00 1940.00 1940.00 0.00 350.00
10 100% 10 0 90% 177 2.79 9999 350.00 7.55 493.00 -520.00 493.00 0.00 815.00 -108.00 4930.00 4930.00 0.00 350.00
15 100% 15 0 60% 177 4.08 9999 2970.00 2.70 722.00 -862.00 722.00 0.00 1058.00 -391.33 10830.00 10830.00 0.00 2970.00
20 95% 19 1 85% 177 3.11 3.67 4200.00 1.63 551.00 -1385.00 797.37 -4130.00 1257.00 -773.50 11020.00 15150.00 -4130.00 4200.00
27 85% 23 4 93% 177 1.14 1.42 4200.00 1.01 201.85 -1788.52 802.17 -3250.00 1168.52 -1151.48 5450.00 18450.00 -13000.00 4200.00
Equity for backtest
Year Enter date Enter price Exit date Exit price Points Profit Days# Best Date Best Worst Date Worst Drawdown
2017 2016-07-05 -0.009 2016-12-23 0.016 0.025 250.00 172 2016-11-11 570.00 2016-12-08 -100.00 -670.00
2016 2015-07-06 -0.002 2015-12-24 0.050 0.052 520.00 172 2015-12-17 1200.00 2015-07-29 -70.00 -680.00
2015 2014-07-03 -0.024 2014-12-26 0.026 0.050 500.00 177 2014-12-24 660.00 2014-11-06 -350.00 -550.00
2014 2013-07-03 0.000 2013-12-26 0.043 0.043 430.00 177 2013-12-23 560.00 2013-12-05 -180.00 -340.00
2013 2012-07-03 0.009 2012-12-26 0.033 0.024 240.00 177 2012-12-19 370.00 2012-10-29 -60.00 -310.00
2012 2011-07-05 -0.001 2011-12-23 0.033 0.034 340.00 172 2011-12-14 520.00 2011-07-14 -10.00 -180.00
2011 2010-07-06 -0.030 2010-12-23 0.050 0.080 800.00 171 2010-12-23 800.00 2010-07-30 -40.00 -440.00
2010 2009-07-06 0.044 2009-12-24 0.055 0.011 110.00 172 2009-11-23 530.00 2009-08-05 -270.00 -650.00
2009 2008-07-03 -0.070 2008-12-26 -0.014 0.056 560.00 177 2008-11-13 1530.00 - 0.00 -970.00
2008 2007-07-03 0.000 2007-12-26 0.118 0.118 1180.00 177 2007-12-17 1410.00 - 0.00 -410.00
2007 2006-07-05 0.040 2006-12-26 0.220 0.180 1800.00 175 2006-12-26 1800.00 2006-08-18 -350.00 -770.00
2006 2005-07-05 0.012 2005-12-23 0.119 0.107 1070.00 172 2005-12-23 1070.00 2005-10-04 -2970.00 -3050.00
2005 2004-07-06 -0.060 2004-12-23 0.077 0.137 1370.00 171 2004-12-08 2050.00 2004-10-07 -250.00 -1350.00
2004 2003-07-03 -0.070 2003-12-24 0.013 0.083 830.00 175 2003-12-23 1620.00 2003-08-12 -250.00 -1170.00
2003 2002-07-03 -0.055 2002-12-26 0.028 0.083 830.00 177 2002-12-24 1180.00 2002-10-17 -970.00 -1390.00
2002 2001-07-03 -0.103 2001-12-26 0.026 0.129 1290.00 177 2001-12-04 2430.00 - 0.00 -1460.00
2001 2000-07-05 -0.266 2000-12-26 -0.679 -0.413 -4130.00 175 2000-12-13 2560.00 2000-12-26 -4130.00 -6690.00
2000 1999-07-06 -0.098 1999-12-23 -0.003 0.095 950.00 171 1999-12-09 1350.00 1999-08-24 -1220.00 -1250.00
1999 1998-07-06 -0.140 1998-12-24 -0.003 0.137 1370.00 172 1998-12-10 2120.00 1998-10-02 -50.00 -1120.00
1998 1997-07-03 -0.080 1997-12-26 -0.009 0.071 710.00 177 1997-12-10 810.00 1997-10-27 -4200.00 -4250.00
1997 1996-07-03 -0.125 1996-12-24 -0.293 -0.168 -1680.00 175 1996-07-29 730.00 1996-12-20 -5280.00 -6010.00
1996 1995-07-05 -0.043 1995-12-21 -0.737 -0.694 -6940.00 170 1995-11-06 120.00 1995-12-21 -6940.00 -7060.00
1995 1994-07-05 -0.104 1994-12-22 -0.044 0.060 600.00 171 1994-12-13 1600.00 - 0.00 -1000.00
1994 1993-07-06 -0.192 1993-12-22 -0.131 0.061 610.00 170 1993-12-13 1640.00 1993-12-20 -380.00 -2020.00
1993 1992-07-06 -0.335 1992-12-22 -0.220 0.115 1150.00 170 1992-12-01 1350.00 1992-09-04 -280.00 -1360.00
1992 1991-07-03 -0.217 1991-12-20 -0.242 -0.025 -250.00 171 1991-07-05 30.00 1991-11-04 -1780.00 -1810.00
1991 1990-07-03 -0.179 1990-12-18 -0.085 0.094 940.00 169 1990-12-18 940.00 1990-08-06 -960.00 -1330.00