Futures Spread Strategy For January, 2022 - Buy NGQ22-NGM22

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Futures Spread Strategy For January, 2022 - Buy NGQ22-NGM22

This spread combines several conditions to create good trading opportunity.

  • 95% Win for last 20 years
  • All patterns have similar movement and correlation in seasonal window with correlation over 96%
  • Low margin requirements
  • High RRR
  • The strong correlation between spread and patterns itself

Backtest Buy NGQ22-NGM22 Entry: 2022-01-24 Exit: 2022-04-15

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% 82 7.85 9999 470.00 5.37 644.00 -438.00 644.00 0.00 762.00 -142.00 3220.00 3220.00 0.00 120.00
10 100% 10 0 40% 82 6.82 9999 470.00 4.42 559.00 -361.00 621.11 0.00 676.00 -153.00 5590.00 5590.00 0.00 190.00
15 100% 15 0 53% 82 7.02 9999 470.00 4.58 576.00 -381.33 617.14 0.00 706.00 -154.00 8640.00 8640.00 0.00 190.00
20 95% 19 1 55% 82 7.70 21.35 2600.00 2.60 631.00 -543.50 735.56 -310.00 773.50 -297.00 12620.00 13240.00 -620.00 190.00
30 70% 21 9 57% 82 4.91 5.74 2600.00 1.79 402.67 -586.67 731.50 -255.00 619.00 -346.33 12080.00 14630.00 -2550.00 190.00
31 71% 22 9 55% 82 4.76 5.75 2600.00 1.76 390.65 -586.13 698.10 -255.00 607.74 -344.84 12110.00 14660.00 -2550.00 190.00
Equity for backtest
Year Enter date Enter price Exit date Exit price Points Profit Days# Best Date Best Worst Date Worst Drawdown
2021 2021-01-25 0.090 2021-04-15 0.102 0.012 120.00 81 2021-04-09 290.00 2021-02-17 -470.00 -490.00
2020 2020-01-24 0.099 2020-04-15 0.289 0.190 1900.00 83 2020-04-15 1900.00 2020-02-18 -120.00 -800.00
2019 2019-01-24 0.047 2019-04-15 0.090 0.043 430.00 82 2019-04-15 430.00 2019-01-29 -20.00 -280.00
2018 2018-01-24 0.038 2018-04-13 0.057 0.019 190.00 80 2018-04-05 450.00 2018-01-26 -70.00 -260.00
2017 2017-01-24 0.041 2017-04-13 0.099 0.058 580.00 80 2017-03-02 740.00 2017-01-26 -30.00 -360.00
2016 2016-01-25 0.083 2016-04-15 0.177 0.094 940.00 82 2016-04-15 940.00 2016-01-29 -190.00 -260.00
2015 2015-01-26 0.070 2015-04-15 0.076 0.006 60.00 80 2015-04-01 230.00 2015-02-20 -200.00 -290.00
2014 2014-01-24 0.017 2014-04-15 0.037 0.020 200.00 82 2014-03-13 230.00 2014-02-20 -120.00 -240.00
2013 2013-01-24 0.075 2013-04-15 0.075 0.000 0.00 82 2013-03-01 120.00 2013-03-20 -240.00 -360.00
2012 2012-01-24 0.086 2012-04-13 0.203 0.117 1170.00 81 2012-04-11 1430.00 2012-01-30 -70.00 -270.00
2011 2011-01-24 0.070 2011-04-15 0.123 0.053 530.00 82 2011-04-08 660.00 - 0.00 -330.00
2010 2010-01-25 0.140 2010-04-15 0.197 0.057 570.00 81 2010-04-12 1000.00 2010-02-19 -140.00 -430.00
2009 2009-01-26 0.225 2009-04-15 0.284 0.059 590.00 80 2009-04-14 670.00 2009-03-03 -170.00 -300.00
2008 2008-01-24 0.153 2008-04-15 0.160 0.007 70.00 83 2008-03-25 160.00 2008-02-28 -440.00 -490.00
2007 2007-01-24 0.137 2007-04-13 0.266 0.129 1290.00 80 2007-03-26 1340.00 2007-01-30 -30.00 -560.00
2006 2006-01-24 0.170 2006-04-13 0.428 0.258 2580.00 80 2006-04-13 2580.00 2006-01-30 -100.00 -870.00
2005 2005-01-24 0.064 2005-04-15 0.176 0.112 1120.00 82 2005-04-15 1120.00 - 0.00 -480.00
2004 2004-01-26 0.034 2004-04-15 0.104 0.070 700.00 81 2004-04-15 700.00 2004-02-13 -140.00 -300.00
2003 2003-01-24 0.000 2003-04-15 0.020 0.020 200.00 82 2003-04-03 420.00 2003-02-24 -2600.00 -2650.00
2002 2002-01-24 0.129 2002-04-15 0.067 -0.062 -620.00 82 2002-01-28 60.00 2002-03-25 -790.00 -850.00
2001 2001-01-24 0.015 2001-04-12 0.092 0.077 770.00 79 2001-04-12 770.00 2001-02-13 -10.00 -360.00
2000 2000-01-24 0.033 2000-04-14 0.016 -0.017 -170.00 82 2000-01-26 80.00 2000-02-04 -300.00 -380.00
1999 1999-01-25 0.058 1999-04-15 0.023 -0.035 -350.00 81 1999-02-26 360.00 1999-04-12 -350.00 -710.00
1998 1998-01-26 0.042 1998-04-15 0.029 -0.013 -130.00 80 1998-03-05 130.00 1998-04-08 -390.00 -520.00
1997 1997-01-24 0.005 1997-04-15 0.067 0.062 620.00 82 1997-04-15 620.00 1997-01-27 -80.00 -550.00
1996 1996-01-24 -0.015 1996-04-15 -0.051 -0.036 -360.00 83 - 0.00 1996-03-21 -1400.00 -1400.00
1995 1995-01-24 0.055 1995-04-13 0.039 -0.016 -160.00 80 1995-03-06 270.00 1995-03-23 -270.00 -540.00
1994 1994-01-24 0.000 1994-04-15 -0.018 -0.018 -180.00 82 1994-03-24 430.00 1994-02-01 -450.00 -630.00
1993 1993-01-25 0.055 1993-04-15 0.000 -0.055 -550.00 81 1993-01-28 90.00 1993-03-09 -1010.00 -1100.00
1992 1992-01-24 0.025 1992-04-15 0.022 -0.003 -30.00 83 1992-02-14 350.00 1992-04-02 -190.00 -540.00
1991 1991-01-24 0.050 1991-04-15 0.053 0.003 30.00 82 1991-03-08 270.00 1991-04-02 -300.00 -570.00