Futures Spread Strategy For April, 2018 - Buy HGM18-HGN18

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Futures Spread Strategy For April, 2018 - Buy HGM18-HGN18

This spread combines several conditions to create good trading opportunity.

  • 100% Win in last 15 years
  • Strong seasonal patterns correlation in seasonal window
  • Strong correlation between spread and seasonal patterns
  • Low margin requirements
  • The spread is at the historical low
  • High RRR

Backtest Buy HGM18-HGN18 Entry: 2018-04-15 Exit: 2018-05-19

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% 35 2.64 9999 162.50 3.40 92.50 -147.50 115.62 0.00 170.00 -50.00 462.50 462.50 0.00 162.50
10 100% 10 0 80% 35 3.43 9999 162.50 6.00 120.00 -127.50 133.33 0.00 195.00 -32.50 1200.00 1200.00 0.00 162.50
15 100% 15 0 20% 35 8.19 9999 212.50 8.81 286.67 -155.00 330.77 0.00 352.50 -40.00 4300.00 4300.00 0.00 50.00
20 90% 18 2 30% 35 6.07 38.78 212.50 6.55 212.50 -130.63 290.83 -22.50 270.00 -41.25 4250.00 4362.50 -112.50 50.00
30 83% 25 5 37% 35 4.37 4.71 275.00 2.75 152.92 -172.92 264.77 -154.69 251.25 -91.25 4587.50 5825.00 -1237.50 275.00
43 81% 35 8 42% 35 3.19 4.69 275.00 2.60 111.63 -136.34 217.86 -86.67 186.34 -71.80 4800.00 6100.00 -1300.00 275.00
Equity for backtest
Year Enter date Enter price Exit date Exit price Points Profit Days# Best Date Best Worst Date Worst Drawdown
2017 2017-04-17 -0.60 2017-05-19 -0.60 0.00 0.00 33 2017-05-10 50.00 2017-04-19 -12.50 -50.00
2016 2016-04-15 -0.45 2016-05-19 0.00 0.45 112.50 35 2016-05-18 150.00 - 0.00 -50.00
2015 2015-04-15 0.30 2015-05-19 0.85 0.55 137.50 35 2015-05-19 137.50 2015-04-22 -162.50 -200.00
2014 2014-04-15 0.45 2014-05-19 0.70 0.25 62.50 35 2014-04-24 275.00 2014-04-29 -75.00 -350.00
2013 2013-04-15 -0.90 2013-05-17 -0.30 0.60 150.00 33 2013-05-13 237.50 - 0.00 -87.50
2012 2012-04-16 -0.30 2012-05-18 -0.10 0.20 50.00 33 2012-05-08 125.00 2012-04-20 -12.50 -87.50
2011 2011-04-15 -0.90 2011-05-19 -0.40 0.50 125.00 35 2011-05-18 125.00 2011-04-25 -12.50 -50.00
2010 2010-04-15 -0.95 2010-05-19 -0.60 0.35 87.50 35 2010-05-18 100.00 2010-04-20 -25.00 -25.00
2009 2009-04-15 -0.50 2009-05-19 -0.10 0.40 100.00 35 2009-04-30 237.50 - 0.00 -137.50
2008 2008-04-15 -0.10 2008-05-19 1.40 1.50 375.00 35 2008-05-02 512.50 2008-04-18 -25.00 -237.50
2007 2007-04-16 -0.05 2007-05-18 0.35 0.40 100.00 33 2007-05-18 100.00 2007-05-01 -212.50 -212.50
2006 2006-04-17 1.80 2006-05-19 8.50 6.70 1675.00 33 2006-05-19 1675.00 2006-04-18 -0.00 -475.00
2005 2005-04-15 0.45 2005-05-19 5.50 5.05 1262.50 35 2005-05-17 1387.50 2005-04-21 -50.00 -200.00
2004 2004-04-15 -0.10 2004-05-19 0.15 0.25 62.50 35 2004-05-04 150.00 - 0.00 -125.00
2003 2003-04-15 -0.20 2003-05-19 -0.20 0.00 0.00 35 2003-04-25 25.00 2003-04-29 -12.50 -37.50
2002 2002-04-15 -0.35 2002-05-17 -0.30 0.05 12.50 33 2002-05-02 25.00 2002-04-19 -0.00 -12.50
2001 2001-04-16 -0.30 2001-05-18 -0.45 -0.15 -37.50 33 - 0.00 2001-05-02 -62.50 -62.50
2000 2000-04-17 -0.45 2000-05-19 -0.25 0.20 50.00 33 2000-05-03 87.50 - 0.00 -50.00
1999 1999-04-15 -0.40 1999-05-19 -0.40 0.00 0.00 35 1999-04-16 0.00 1999-04-30 -37.50 -37.50
1998 1998-04-15 0.05 1998-05-19 -0.25 -0.30 -75.00 35 - 0.00 1998-04-17 -125.00 -125.00
1997 1997-04-15 0.75 1997-05-19 0.40 -0.35 -87.50 35 1997-04-23 50.00 1997-05-13 -137.50 -187.50
1996 1996-04-15 0.45 1996-05-17 2.70 2.25 562.50 33 1996-05-17 562.50 - 0.00 -100.00
1995 1995-04-17 1.55 1995-05-19 1.40 -0.15 -37.50 33 - 0.00 1995-04-27 -262.50 -262.50
1994 1994-04-15 -0.20 1994-05-19 0.15 0.35 87.50 35 1994-05-13 175.00 1994-04-28 -25.00 -112.50
1993 1993-04-15 -0.40 1993-05-19 -0.35 0.05 12.50 35 1993-04-20 25.00 - 0.00 -12.50
1992 1992-04-15 -0.25 1992-05-19 -0.20 0.05 12.50 35 1992-05-15 50.00 1992-05-06 -25.00 -50.00
1991 1991-04-15 0.55 1991-05-17 1.25 0.70 175.00 33 1991-05-17 175.00 1991-04-29 -112.50 -200.00
1990 1990-04-16 3.20 1990-05-18 4.15 0.95 237.50 33 1990-05-14 575.00 1990-04-18 -75.00 -375.00
1989 1989-04-17 4.00 1989-05-19 0.00 -4.00 -1000.00 33 - 0.00 1989-05-19 -1000.00 -1000.00
1988 1988-04-15 2.50 1988-05-19 4.00 1.50 375.00 35 1988-05-17 525.00 1988-04-21 -275.00 -275.00
1987 1987-04-15 0.10 1987-05-19 0.50 0.40 100.00 35 1987-05-13 112.50 1987-04-29 -37.50 -50.00
1986 1986-04-15 -0.30 1986-05-19 -0.25 0.05 12.50 35 1986-05-06 25.00 1986-04-22 -12.50 -12.50
1985 1985-04-15 -0.35 1985-05-17 -0.40 -0.05 -12.50 33 - 0.00 1985-04-23 -37.50 -37.50
1984 1984-04-16 -0.70 1984-05-18 -0.65 0.05 12.50 33 1984-04-27 12.50 1984-04-17 -12.50 -12.50
1983 1983-04-15 -0.70 1983-05-19 -0.70 0.00 0.00 35 1983-05-10 25.00 1983-04-20 -25.00 -37.50
1982 1982-04-15 -1.00 1982-05-19 -1.00 0.00 0.00 35 1982-04-20 12.50 1982-04-26 -25.00 -37.50
1981 1981-04-15 -1.25 1981-05-19 -1.20 0.05 12.50 35 1981-05-19 12.50 1981-05-06 -37.50 -50.00
1980 1980-04-15 -1.40 1980-05-19 -0.90 0.50 125.00 35 1980-04-18 200.00 1980-04-17 -25.00 -225.00
1979 1979-04-16 -0.55 1979-05-18 -0.65 -0.10 -25.00 33 1979-04-23 12.50 1979-05-08 -50.00 -62.50
1978 1978-04-17 -0.50 1978-05-19 -0.60 -0.10 -25.00 33 1978-05-01 25.00 1978-04-24 -25.00 -50.00
1977 1977-04-15 -0.50 1977-05-19 -0.50 0.00 0.00 35 1977-05-03 25.00 - 0.00 -25.00
1976 1976-04-15 -0.45 1976-05-19 -0.40 0.05 12.50 35 1976-04-19 12.50 1976-04-21 -12.50 -25.00
1975 1975-04-15 -0.50 1975-05-19 -0.50 0.00 0.00 35 - 0.00 1975-05-13 -50.00 -50.00