Futures Spread Strategy For November, 2021 - Buy NGN22-NGM22

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Futures Spread Strategy For November, 2021 - Buy NGN22-NGM22

This spread combines several conditions to create good trading opportunity.

  • 100% Win for last 20 years
  • All patterns have similar movement and correlation in seasonal window with correlation over 90%
  • Low margin requirements
  • High RRR
  • Long seasonal window

Backtest Buy NGN22-NGM22 Entry: 2021-11-26 Exit: 2022-04-16

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% 142 3.66 9999 200.00 11.32 520.00 -346.00 520.00 0.00 634.00 -56.00 2600.00 2600.00 0.00 0.00
10 100% 10 0 40% 142 2.99 9999 200.00 9.62 424.00 -282.00 424.00 0.00 539.00 -56.00 4240.00 4240.00 0.00 80.00
15 100% 15 0 53% 142 2.95 9999 240.00 6.20 418.67 -312.67 418.67 0.00 525.33 -84.67 6280.00 6280.00 0.00 160.00
20 100% 20 0 50% 142 3.35 9999 1530.00 3.34 475.00 -396.50 475.00 0.00 579.00 -173.50 9500.00 9500.00 0.00 300.00
30 83% 25 5 57% 142 2.30 8.82 1530.00 2.09 326.00 -424.67 441.20 -250.00 478.33 -229.00 9780.00 11030.00 -1250.00 450.00
31 81% 25 6 61% 142 2.20 8.23 1530.00 2.01 312.58 -423.23 441.20 -223.33 465.16 -231.61 9690.00 11030.00 -1340.00 450.00
Equity for backtest
Year Enter date Enter price Exit date Exit price Points Profit Days# Best Date Best Worst Date Worst Drawdown
2021 2020-11-27 0.055 2021-04-16 0.075 0.020 200.00 141 2021-04-12 320.00 2021-02-17 -200.00 -410.00
2020 2019-11-26 0.046 2020-04-16 0.190 0.144 1440.00 143 2020-04-14 1540.00 - 0.00 -670.00
2019 2018-11-26 0.022 2019-04-16 0.064 0.042 420.00 142 2019-04-16 420.00 2018-11-28 -0.00 -170.00
2018 2017-11-27 0.032 2018-04-16 0.043 0.011 110.00 141 2018-04-05 300.00 2018-01-02 -40.00 -210.00
2017 2016-11-28 0.026 2017-04-13 0.069 0.043 430.00 137 2017-03-02 590.00 2016-12-28 -40.00 -270.00
2016 2015-11-27 0.048 2016-04-15 0.108 0.060 600.00 141 2016-03-30 660.00 2016-01-04 -80.00 -250.00
2015 2014-11-26 0.024 2015-04-16 0.058 0.034 340.00 142 2015-02-09 390.00 - 0.00 -190.00
2014 2013-11-26 0.033 2014-04-16 0.040 0.007 70.00 142 2014-03-13 70.00 2014-01-29 -150.00 -150.00
2013 2012-11-26 0.040 2013-04-16 0.042 0.002 20.00 142 2013-01-09 210.00 2012-12-06 -10.00 -220.00
2012 2011-11-28 0.053 2012-04-16 0.114 0.061 610.00 141 2012-04-02 890.00 2011-12-08 -40.00 -280.00
2011 2010-11-26 0.053 2011-04-15 0.074 0.021 210.00 141 2011-04-08 320.00 2011-02-02 -60.00 -260.00
2010 2009-11-27 0.092 2010-04-16 0.118 0.026 260.00 141 2010-04-12 490.00 2009-12-28 -230.00 -360.00
2009 2008-11-26 0.110 2009-04-16 0.159 0.049 490.00 142 2009-04-14 600.00 2008-12-29 -20.00 -230.00
2008 2007-11-26 0.085 2008-04-16 0.107 0.022 220.00 143 2008-04-16 220.00 2008-02-28 -240.00 -440.00
2007 2006-11-27 0.083 2007-04-16 0.169 0.086 860.00 141 2007-04-16 860.00 2007-01-30 -160.00 -580.00
2006 2005-11-28 0.045 2006-04-13 0.230 0.185 1850.00 137 2006-04-13 1850.00 2005-12-13 -250.00 -600.00
2005 2004-11-29 0.032 2005-04-15 0.111 0.079 790.00 138 2005-04-15 790.00 - 0.00 -280.00
2004 2003-11-26 0.020 2004-04-16 0.068 0.048 480.00 143 2004-04-16 480.00 2003-12-04 -300.00 -300.00
2003 2002-11-26 0.023 2003-04-16 0.032 0.009 90.00 142 2003-04-15 170.00 2003-02-24 -1530.00 -1530.00
2002 2001-11-26 0.037 2002-04-16 0.038 0.001 10.00 142 2002-01-23 410.00 2002-03-25 -120.00 -530.00
2001 2000-11-27 -0.015 2001-04-16 0.052 0.067 670.00 141 2001-04-12 700.00 2000-12-04 -250.00 -300.00
2000 1999-11-29 0.025 2000-04-14 0.013 -0.012 -120.00 138 2000-01-04 40.00 2000-02-04 -240.00 -280.00
1999 1998-11-30 0.013 1999-04-16 0.015 0.002 20.00 138 1999-02-26 340.00 1999-01-04 -80.00 -360.00
1998 1997-11-26 0.005 1998-04-16 0.026 0.021 210.00 142 1998-03-05 300.00 1997-12-02 -50.00 -300.00
1997 1996-11-26 -0.005 1997-04-16 0.029 0.034 340.00 142 1997-04-15 480.00 1997-01-15 -450.00 -520.00
1996 1995-11-27 0.008 1996-04-16 -0.015 -0.023 -230.00 142 - 0.00 1996-03-21 -1080.00 -1080.00
1995 1994-11-28 0.004 1995-04-13 0.033 0.029 290.00 137 1995-02-21 510.00 - 0.00 -350.00
1994 1993-11-29 0.003 1994-04-15 -0.013 -0.016 -160.00 138 1994-03-24 150.00 1994-02-01 -480.00 -600.00
1993 1992-11-30 0.010 1993-04-16 -0.035 -0.045 -450.00 138 1993-01-29 150.00 1993-03-24 -480.00 -630.00
1992 1991-11-26 0.010 1992-04-16 -0.019 -0.029 -290.00 143 1992-02-18 100.00 1992-04-16 -290.00 -390.00
1991 1990-11-26 0.035 1991-04-16 0.026 -0.009 -90.00 142 1991-02-21 70.00 1991-04-03 -310.00 -380.00