Futures Spread Strategy For May, 2020 - Buy NGG21-NGF21

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Futures Spread Strategy For May, 2020 - Buy NGG21-NGF21

This spread combines several conditions to create good trading opportunity.

  • 90% Win for last 20 years
  • All patterns has similar movement and correlation in seasonal window > 70%
  • Low margin requirements
  • Entry at local support

Backtest BUY NGG21-NGF21 Entry: 2020-05-03 Exit: 2020-05-03

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 60% 120 1.28 9999 80.00 4.55 154.00 -126.00 154.00 0.00 200.00 -44.00 770.00 770.00 0.00 70.00
10 100% 10 0 60% 120 1.75 9999 300.00 4.11 210.00 -165.00 210.00 0.00 255.00 -62.00 2100.00 2100.00 0.00 300.00
15 93% 14 1 67% 120 1.93 24.20 300.00 3.01 232.00 -261.33 259.29 -150.00 326.67 -108.67 3480.00 3630.00 -150.00 300.00
20 90% 18 2 70% 120 2.15 5.73 650.00 2.31 258.00 -343.00 347.22 -545.00 422.00 -182.50 5160.00 6250.00 -1090.00 650.00
30 80% 24 6 83% 120 1.33 2.09 880.00 1.36 159.67 -497.67 383.33 -735.00 423.33 -311.67 4790.00 9200.00 -4410.00 880.00
Equity for backtest
Year Enter date Enter price Exit date Exit price Points Profit Days# Best Date Best Worst Date Worst Drawdown
2020 2019-05-01 -0.050 2019-08-28 -0.027 0.023 230.00 120 2019-08-02 290.00 - 0.00 -170.00
2019 2018-05-01 -0.037 2018-08-28 -0.034 0.003 30.00 120 2018-06-12 90.00 2018-05-23 -40.00 -110.00
2018 2017-05-01 -0.034 2017-08-28 -0.003 0.031 310.00 120 2017-08-25 320.00 2017-05-12 -70.00 -100.00
2017 2016-05-02 -0.010 2016-08-26 -0.002 0.008 80.00 117 2016-08-19 130.00 2016-07-29 -80.00 -160.00
2016 2015-05-01 -0.015 2015-08-28 -0.003 0.012 120.00 120 2015-08-24 170.00 2015-05-14 -30.00 -90.00
2015 2014-05-01 -0.043 2014-08-28 -0.018 0.025 250.00 120 2014-07-22 350.00 2014-06-12 -10.00 -220.00
2014 2013-05-01 -0.046 2013-08-28 0.001 0.047 470.00 120 2013-08-05 520.00 - 0.00 -90.00
2013 2012-05-01 0.014 2012-08-28 0.018 0.004 40.00 120 2012-06-01 80.00 2012-05-18 -90.00 -160.00
2012 2011-05-02 -0.025 2011-08-26 0.003 0.028 280.00 117 2011-08-04 300.00 - 0.00 -120.00
2011 2010-05-03 -0.040 2010-08-27 -0.011 0.029 290.00 117 2010-08-25 300.00 2010-06-17 -300.00 -430.00
2010 2009-05-01 0.046 2009-08-28 0.076 0.030 300.00 120 2009-08-28 300.00 2009-08-05 -290.00 -370.00
2009 2008-05-01 -0.040 2008-08-28 0.020 0.060 600.00 120 2008-08-22 700.00 2008-06-18 -300.00 -350.00
2008 2007-05-01 -0.010 2007-08-28 0.030 0.040 400.00 120 2007-08-28 400.00 2007-05-11 -50.00 -230.00
2007 2006-05-01 0.007 2006-08-28 0.030 0.023 230.00 120 2006-05-11 730.00 2006-06-02 -20.00 -750.00
2006 2005-05-02 0.000 2005-08-26 -0.015 -0.015 -150.00 117 2005-06-24 220.00 2005-08-16 -350.00 -570.00
2005 2004-05-03 -0.059 2004-08-27 0.000 0.059 590.00 117 2004-08-27 590.00 2004-05-24 -70.00 -180.00
2004 2003-05-01 -0.120 2003-08-28 -0.060 0.060 600.00 120 2003-07-29 850.00 2003-05-13 -650.00 -650.00
2003 2002-05-01 -0.105 2002-08-28 -0.055 0.050 500.00 120 2002-08-07 920.00 - 0.00 -450.00
2002 2001-05-01 -0.125 2001-08-28 -0.032 0.093 930.00 120 2001-08-28 930.00 2001-06-18 -200.00 -380.00
2001 2000-05-01 -0.170 2000-08-28 -0.264 -0.094 -940.00 120 2000-07-25 250.00 2000-06-27 -1100.00 -1280.00
2000 1999-05-03 -0.113 1999-08-27 -0.188 -0.075 -750.00 117 1999-05-24 250.00 1999-08-24 -1070.00 -1320.00
1999 1998-05-01 -0.131 1998-08-28 -0.040 0.091 910.00 120 1998-08-28 910.00 1998-06-30 -190.00 -580.00
1998 1997-05-01 -0.075 1997-08-28 -0.225 -0.150 -1500.00 120 - 0.00 1997-08-28 -1500.00 -1500.00
1997 1996-05-01 -0.087 1996-08-28 -0.060 0.027 270.00 120 1996-07-29 350.00 1996-07-16 -880.00 -1180.00
1996 1995-05-01 -0.063 1995-08-28 -0.045 0.018 180.00 120 1995-08-17 300.00 1995-05-23 -70.00 -160.00
1995 1994-05-02 -0.123 1994-08-26 -0.062 0.061 610.00 117 1994-08-23 630.00 - 0.00 -170.00
1994 1993-05-03 -0.245 1993-08-27 -0.190 0.055 550.00 117 1993-07-23 850.00 1993-05-11 -250.00 -450.00
1993 1992-05-01 -0.320 1992-08-28 -0.330 -0.010 -100.00 120 1992-05-14 270.00 1992-06-01 -350.00 -620.00
1992 1991-05-01 -0.200 1991-08-28 -0.297 -0.097 -970.00 120 1991-05-08 130.00 1991-08-28 -970.00 -1100.00
1991 1990-05-01 -0.233 1990-08-28 -0.190 0.043 430.00 120 1990-07-09 570.00 1990-08-06 -420.00 -990.00