Futures Spread Strategy For January, 2021 - Buy NGQ21-NGM21

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Futures Spread Strategy For January, 2021 - Buy NGQ21-NGM21

This spread combines several conditions to create good trading opportunity.

  • 90% Win for last 20 years
  • All patterns have similar movement and correlation in seasonal window with correlation over 90%
  • Low margin requirements
  • High RRR
  • Possible to entry on local support (at time of article publishing)

Backtest Buy NGQ21-NGM21 Entry: 2021-01-31 Exit: 2021-05-02

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% 93 11.51 9999 130.00 48.08 1070.00 -490.00 1070.00 0.00 1250.00 -26.00 5350.00 5350.00 0.00 130.00
10 90% 9 1 40% 93 7.25 169.50 170.00 10.76 674.00 -441.00 753.33 -40.00 882.00 -82.00 6740.00 6780.00 -40.00 130.00
15 93% 14 1 40% 93 9.76 341.50 360.00 11.80 908.00 -482.67 975.71 -40.00 1109.33 -94.00 13620.00 13660.00 -40.00 130.00
20 90% 18 2 50% 93 9.37 32.67 2200.00 4.22 871.00 -568.50 998.33 -275.00 1059.50 -251.00 17420.00 17970.00 -550.00 2200.00
30 77% 23 7 57% 93 6.24 6.62 2200.00 2.56 580.67 -642.00 932.73 -387.50 853.00 -333.00 17420.00 20520.00 -3100.00 2200.00
Equity for backtest
Year Enter date Enter price Exit date Exit price Points Profit Days# Best Date Best Worst Date Worst Drawdown
2020 2020-01-31 0.100 2020-05-01 0.352 0.252 2520.00 92 2020-05-01 2520.00 2020-02-18 -130.00 -800.00
2019 2019-01-31 0.047 2019-05-02 0.054 0.007 70.00 92 2019-04-17 460.00 - 0.00 -390.00
2018 2018-01-31 0.036 2018-05-02 0.043 0.007 70.00 92 2018-04-05 470.00 - 0.00 -440.00
2017 2017-01-31 0.044 2017-05-02 0.107 0.063 630.00 92 2017-04-25 730.00 - 0.00 -360.00
2016 2016-02-01 0.073 2016-05-02 0.279 0.206 2060.00 92 2016-04-28 2070.00 - 0.00 -460.00
2015 2015-02-02 0.067 2015-05-01 0.073 0.006 60.00 89 2015-04-01 260.00 2015-02-20 -170.00 -290.00
2014 2014-01-31 0.019 2014-05-02 0.027 0.008 80.00 92 2014-03-13 210.00 2014-02-20 -140.00 -300.00
2013 2013-01-31 0.084 2013-05-02 0.080 -0.004 -40.00 92 2013-03-01 30.00 2013-03-20 -330.00 -360.00
2012 2012-01-31 0.083 2012-05-02 0.173 0.090 900.00 93 2012-04-11 1460.00 - 0.00 -680.00
2011 2011-01-31 0.075 2011-05-02 0.114 0.039 390.00 92 2011-04-08 610.00 2011-02-02 -50.00 -330.00
2010 2010-02-01 0.139 2010-04-30 0.233 0.094 940.00 89 2010-04-12 1010.00 2010-02-19 -130.00 -430.00
2009 2009-02-02 0.218 2009-05-01 0.249 0.031 310.00 89 2009-04-14 740.00 2009-03-03 -100.00 -430.00
2008 2008-01-31 0.145 2008-05-02 0.224 0.079 790.00 93 2008-04-22 820.00 2008-02-28 -360.00 -540.00
2007 2007-01-31 0.145 2007-05-02 0.254 0.109 1090.00 92 2007-04-20 1500.00 - 0.00 -560.00
2006 2006-01-31 0.160 2006-05-02 0.535 0.375 3750.00 92 2006-05-01 3750.00 - 0.00 -870.00
2005 2005-01-31 0.083 2005-05-02 0.172 0.089 890.00 92 2005-04-29 960.00 2005-03-14 -130.00 -480.00
2004 2004-02-02 0.040 2004-04-30 0.132 0.092 920.00 89 2004-04-30 920.00 2004-02-13 -200.00 -300.00
2003 2003-01-31 -0.040 2003-05-02 0.120 0.160 1600.00 92 2003-05-01 1700.00 2003-02-24 -2200.00 -2200.00
2002 2002-01-31 0.122 2002-05-02 0.071 -0.051 -510.00 92 2002-02-15 70.00 2002-03-25 -720.00 -790.00
2001 2001-01-31 0.050 2001-05-02 0.140 0.090 900.00 92 2001-05-02 900.00 2001-02-13 -360.00 -360.00
2000 2000-01-31 0.014 2000-05-02 0.027 0.013 130.00 93 2000-02-22 270.00 2000-02-04 -110.00 -300.00
1999 1999-02-01 0.060 1999-04-30 0.036 -0.024 -240.00 89 1999-02-26 340.00 1999-04-26 -400.00 -740.00
1998 1998-02-02 0.015 1998-05-01 0.098 0.083 830.00 89 1998-05-01 830.00 1998-04-08 -120.00 -520.00
1997 1997-01-31 0.015 1997-05-02 0.015 0.000 0.00 92 1997-04-15 520.00 1997-02-04 -140.00 -550.00
1996 1996-01-31 -0.072 1996-05-02 -0.005 0.067 670.00 93 1996-04-24 740.00 1996-03-21 -830.00 -1170.00
1995 1995-01-31 0.067 1995-05-02 0.048 -0.019 -190.00 92 1995-03-06 150.00 1995-04-19 -670.00 -820.00
1994 1994-01-31 -0.030 1994-05-02 0.062 0.092 920.00 92 1994-04-28 940.00 1994-02-01 -150.00 -630.00
1993 1993-02-01 0.050 1993-04-30 -0.054 -0.104 -1040.00 89 1993-02-02 110.00 1993-04-22 -1320.00 -1430.00
1992 1992-01-31 0.032 1992-05-01 -0.046 -0.078 -780.00 92 1992-02-14 280.00 1992-04-29 -860.00 -1140.00
1991 1991-01-31 0.055 1991-05-02 0.025 -0.030 -300.00 92 1991-03-08 220.00 1991-05-01 -370.00 -590.00