Futures Spread Strategy For March, 2019 - Buy NGZ19-NGN19

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Futures Spread Strategy For March, 2019 - Buy NGZ19-NGN19

This spread combines several conditions to create good trading opportunity.

  • 93% Win for last 15 years
  • All patterns has similar movement and correlation in seasonal window
  • Low margin requirements
  • Local support just reached

Backtest BUY NGZ19-NGN19 Entry: 2019-03-12 Exit: 2019-04-07

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% 27 10.74 9999 650.00 2.40 290.00 -394.00 290.00 0.00 476.00 -198.00 1450.00 1450.00 0.00 650.00
10 90% 9 1 40% 27 24.52 7.76 1100.00 2.61 662.00 -681.00 844.44 -980.00 949.00 -364.00 6620.00 7600.00 -980.00 570.00
15 93% 14 1 47% 27 35.41 15.63 1140.00 3.43 956.00 -948.67 1094.29 -980.00 1232.00 -359.33 14340.00 15320.00 -980.00 1140.00
20 80% 16 4 50% 27 22.72 4.49 1140.00 2.21 613.50 -1000.00 986.87 -880.00 1025.00 -464.50 12270.00 15790.00 -3520.00 1140.00
28 64% 18 10 61% 27 12.50 2.32 1140.00 1.54 337.50 -921.07 923.89 -718.00 792.14 -515.36 9450.00 16630.00 -7180.00 1140.00
Equity for backtest
Year Enter date Enter price Exit date Exit price Points Profit Days# Best Date Best Worst Date Worst Drawdown
2018 2018-03-12 0.165 2018-04-06 0.199 0.034 340.00 26 2018-04-05 350.00 - 0.00 -120.00
2017 2017-03-13 0.177 2017-04-07 0.188 0.011 110.00 26 2017-04-03 280.00 2017-03-21 -100.00 -350.00
2016 2016-03-14 0.543 2016-04-07 0.581 0.038 380.00 25 2016-03-24 890.00 2016-03-15 -170.00 -640.00
2015 2015-03-12 0.286 2015-04-07 0.332 0.046 460.00 27 2015-04-01 540.00 2015-03-18 -650.00 -650.00
2014 2014-03-12 0.127 2014-04-07 0.143 0.016 160.00 27 2014-04-01 320.00 2014-03-14 -70.00 -210.00
2013 2013-03-12 0.309 2013-04-05 0.211 -0.098 -980.00 25 - 0.00 2013-04-05 -980.00 -980.00
2012 2012-03-12 0.648 2012-04-05 0.842 0.194 1940.00 25 2012-04-05 1940.00 - 0.00 -210.00
2011 2011-03-14 0.574 2011-04-07 0.578 0.004 40.00 25 2011-03-16 370.00 2011-03-28 -1100.00 -1470.00
2010 2010-03-12 0.911 2010-04-07 1.045 0.134 1340.00 27 2010-03-31 1970.00 - 0.00 -1150.00
2009 2009-03-12 1.259 2009-04-07 1.542 0.283 2830.00 27 2009-04-07 2830.00 2009-03-19 -570.00 -1030.00
2008 2008-03-12 0.681 2008-04-07 0.724 0.043 430.00 27 2008-03-28 1110.00 2008-03-18 -40.00 -970.00
2007 2007-03-12 1.512 2007-04-05 1.630 0.118 1180.00 25 2007-04-05 1180.00 - 0.00 -930.00
2006 2006-03-13 2.505 2006-04-07 2.942 0.437 4370.00 26 2006-04-07 4370.00 2006-03-30 -1140.00 -3970.00
2005 2005-03-14 0.683 2005-04-07 0.844 0.161 1610.00 25 2005-04-07 1610.00 2005-03-15 -480.00 -750.00
2004 2004-03-12 0.307 2004-04-07 0.320 0.013 130.00 27 2004-03-25 720.00 2004-03-17 -90.00 -800.00
2003 2003-03-12 0.135 2003-04-07 0.138 0.003 30.00 27 2003-04-03 750.00 2003-03-17 -300.00 -900.00
2002 2002-03-12 0.571 2002-04-05 0.465 -0.106 -1060.00 25 - 0.00 2002-04-02 -1740.00 -1740.00
2001 2001-03-12 0.209 2001-04-06 0.253 0.044 440.00 26 2001-03-14 560.00 2001-03-27 -340.00 -900.00
2000 2000-03-13 0.258 2000-04-07 0.193 -0.065 -650.00 26 2000-03-20 290.00 2000-03-28 -660.00 -950.00
1999 1999-03-12 0.466 1999-04-07 0.383 -0.083 -830.00 27 1999-03-19 420.00 1999-04-05 -860.00 -1280.00
1998 1998-03-12 0.319 1998-04-07 0.193 -0.126 -1260.00 27 1998-03-13 10.00 1998-04-07 -1260.00 -1270.00
1997 1997-03-12 0.268 1997-04-07 0.329 0.061 610.00 27 1997-04-02 800.00 1997-03-14 -360.00 -360.00
1996 1996-03-12 0.126 1996-04-04 0.062 -0.064 -640.00 24 - 0.00 1996-04-04 -640.00 -640.00
1995 1995-03-13 0.284 1995-04-07 0.222 -0.062 -620.00 26 - 0.00 1995-04-04 -970.00 -970.00
1994 1994-03-14 0.257 1994-04-07 0.251 -0.006 -60.00 25 1994-03-25 380.00 1994-04-04 -220.00 -600.00
1993 1993-03-12 0.420 1993-04-07 0.350 -0.070 -700.00 27 1993-03-16 200.00 1993-03-31 -730.00 -930.00
1992 1992-03-12 0.591 1992-04-07 0.614 0.023 230.00 27 1992-04-07 230.00 1992-03-30 -480.00 -480.00
1991 1991-03-12 0.705 1991-04-05 0.667 -0.038 -380.00 25 1991-03-15 60.00 1991-03-28 -480.00 -540.00