Futures Spread Strategy For September, 2020 - Buy NGN21-NGJ21

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Futures Spread Strategy For September, 2020 - Buy NGN21-NGJ21

This spread combines several conditions to create good trading opportunity.

  • 93% Win for last 15 years
  • All patterns have similar movement and correlation in seasonal window with correlation over 90%
  • Low margin requirements
  • High RRR

Backtest Buy NGN21-NGJ21 Entry: 2020-09-29 Exit: 2021-02-13

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% 138 9.65 9999 2460.00 2.29 1332.00 -1216.00 1332.00 0.00 1390.00 -606.00 6660.00 6660.00 0.00 350.00
10 90% 9 1 70% 138 7.62 16.47 2460.00 2.13 1052.00 -1036.00 1244.44 -680.00 1229.00 -577.00 10520.00 11200.00 -680.00 2460.00
15 93% 14 1 33% 138 10.35 32.50 2460.00 3.22 1428.00 -1312.67 1700.00 -340.00 1739.33 -540.67 21420.00 22100.00 -680.00 370.00
20 85% 17 3 55% 138 8.08 6.08 2740.00 1.21 1115.00 -2044.00 1668.13 -1097.50 1634.00 -1351.00 22300.00 26690.00 -4390.00 2010.00
30 83% 25 5 70% 138 6.04 3.77 3200.00 1.11 833.33 -1900.33 1418.33 -1506.67 1414.00 -1272.33 25000.00 34040.00 -9040.00 3200.00
Equity for backtest
Year Enter date Enter price Exit date Exit price Points Profit Days# Best Date Best Worst Date Worst Drawdown
2020 2019-09-30 0.060 2020-02-13 0.202 0.142 1420.00 137 2020-01-21 1510.00 2019-11-05 -220.00 -460.00
2019 2018-10-01 0.024 2019-02-13 0.133 0.109 1090.00 136 2019-02-08 1120.00 2018-11-19 -2460.00 -2630.00
2018 2017-09-29 0.015 2018-02-13 0.113 0.098 980.00 138 2018-02-12 1020.00 - 0.00 -790.00
2017 2016-09-29 0.019 2017-02-13 0.208 0.189 1890.00 138 2017-02-13 1890.00 2016-12-28 -350.00 -1230.00
2016 2015-09-29 0.075 2016-02-12 0.203 0.128 1280.00 137 2015-12-18 1410.00 - 0.00 -970.00
2015 2014-09-29 0.020 2015-02-13 0.136 0.116 1160.00 138 2015-02-09 1420.00 2014-11-20 -570.00 -950.00
2014 2013-09-30 0.083 2014-02-13 0.015 -0.068 -680.00 137 2013-11-05 260.00 2014-01-29 -1660.00 -1920.00
2013 2012-10-01 0.086 2013-02-13 0.176 0.090 900.00 136 2013-02-08 1080.00 2012-10-02 -10.00 -390.00
2012 2011-09-29 0.115 2012-02-13 0.309 0.194 1940.00 138 2012-02-10 2040.00 2011-10-06 -10.00 -260.00
2011 2010-09-29 0.157 2011-02-11 0.211 0.054 540.00 136 2011-02-11 540.00 2010-12-08 -490.00 -760.00
2010 2009-09-29 0.187 2010-02-12 0.189 0.002 20.00 137 2009-11-10 950.00 2009-12-28 -510.00 -1460.00
2009 2008-09-29 0.300 2009-02-13 0.365 0.065 650.00 138 2009-02-10 800.00 2008-10-17 -650.00 -930.00
2008 2007-10-01 0.173 2008-02-13 0.173 0.000 0.00 136 2007-12-10 1020.00 2007-11-01 -160.00 -1050.00
2007 2006-09-29 0.165 2007-02-13 0.295 0.130 1300.00 138 2006-12-27 1800.00 2006-11-17 -650.00 -2070.00
2006 2005-09-29 -0.483 2006-02-13 0.410 0.893 8930.00 138 2006-02-09 9230.00 2005-10-05 -370.00 -3820.00
2005 2004-09-29 -0.144 2005-02-11 0.191 0.335 3350.00 136 2005-02-11 3350.00 2004-10-26 -2010.00 -2010.00
2004 2003-09-29 -0.096 2004-02-13 -0.052 0.044 440.00 138 2004-02-11 1260.00 2004-01-09 -2740.00 -3870.00
2003 2002-09-30 0.000 2003-02-13 -0.320 -0.320 -3200.00 137 2002-11-04 450.00 2003-02-07 -5720.00 -6170.00
2002 2001-10-01 0.133 2002-02-13 0.213 0.080 800.00 136 2002-01-28 1180.00 2001-10-29 -330.00 -680.00
2001 2000-09-29 -0.100 2001-02-13 -0.151 -0.051 -510.00 138 2000-10-30 350.00 2000-12-29 -8110.00 -8460.00
2000 1999-09-29 -0.025 2000-02-11 0.027 0.052 520.00 136 2000-01-04 1070.00 1999-10-27 -430.00 -1410.00
1999 1998-09-29 -0.058 1999-02-12 0.076 0.134 1340.00 137 1999-02-01 1590.00 1998-11-06 -150.00 -860.00
1998 1997-09-29 -0.085 1998-02-13 0.060 0.145 1450.00 138 1998-01-28 1720.00 1997-10-27 -700.00 -850.00
1997 1996-09-30 -0.118 1997-02-13 -0.006 0.112 1120.00 137 1997-02-13 1120.00 1997-01-08 -3200.00 -3990.00
1996 1995-09-29 0.008 1996-02-13 -0.361 -0.369 -3690.00 138 1995-11-14 120.00 1996-02-13 -3690.00 -3810.00
1995 1994-09-29 0.005 1995-02-13 0.150 0.145 1450.00 138 1995-02-13 1450.00 - 0.00 -820.00
1994 1993-09-29 -0.005 1994-02-11 -0.101 -0.096 -960.00 136 1993-12-08 450.00 1994-02-01 -2430.00 -2880.00
1993 1992-09-29 0.000 1993-02-12 0.007 0.007 70.00 137 1993-01-29 590.00 1992-12-23 -300.00 -660.00
1992 1991-09-30 0.025 1992-02-13 0.048 0.023 230.00 137 1992-02-13 230.00 1991-12-12 -250.00 -400.00
1991 1990-10-01 -0.030 1991-02-13 0.087 0.117 1170.00 136 1991-01-30 1400.00 - 0.00 -450.00