Futures Spread Strategy For November, 2019 - Buy NGN20-NGM20

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Futures Spread Strategy For November, 2019 - Buy NGN20-NGM20

This spread combines several conditions to create good trading opportunity.

  • 100% Win for last 15 years
  • All patterns have similar movement and correlation in seasonal window
  • Low margin requirements
  • High RRR
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% 141 2.64 9999 80.00 14.69 372.00 -218.00 372.00 0.00 470.00 -32.00 1860.00 1860.00 0.00 80.00
10 100% 10 0 70% 141 2.18 9999 230.00 6.66 307.00 -232.00 307.00 0.00 433.00 -65.00 3070.00 3070.00 0.00 80.00
15 100% 15 0 53% 141 3.39 9999 250.00 6.47 478.00 -296.67 478.00 0.00 569.33 -88.00 7170.00 7170.00 0.00 250.00
20 90% 18 2 50% 141 2.96 60.71 1530.00 2.74 418.00 -369.50 472.22 -70.00 516.00 -188.00 8360.00 8500.00 -140.00 300.00
29 72% 21 8 66% 141 2.02 7.88 1530.00 1.80 284.83 -410.69 450.48 -150.00 428.28 -237.59 8260.00 9460.00 -1200.00 450.00
Equity for backtest
Year Enter date Enter price Exit date Exit price Points Profit Days# Best Date Best Worst Date Worst Drawdown
2019 2018-11-26 0.022 2019-04-15 0.063 0.041 410.00 141 2019-04-15 410.00 2018-11-28 -0.00 -170.00
2018 2017-11-27 0.032 2018-04-13 0.041 0.009 90.00 138 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 2015-04-15 0.057 0.033 330.00 141 2015-02-09 390.00 - 0.00 -190.00
2014 2013-11-26 0.033 2014-04-15 0.038 0.005 50.00 141 2014-03-13 70.00 2014-01-29 -150.00 -150.00
2013 2012-11-26 0.040 2013-04-15 0.046 0.006 60.00 141 2013-01-09 210.00 2012-12-06 -10.00 -220.00
2012 2011-11-28 0.053 2012-04-13 0.118 0.065 650.00 138 2012-04-02 890.00 2011-12-08 -40.00 -240.00
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 2010-04-15 0.116 0.024 240.00 140 2010-04-12 490.00 2009-12-28 -230.00 -360.00
2009 2008-11-26 0.110 2009-04-15 0.162 0.052 520.00 141 2009-04-14 600.00 2008-12-29 -20.00 -230.00
2008 2007-11-26 0.085 2008-04-15 0.102 0.017 170.00 142 2008-04-11 200.00 2008-02-28 -240.00 -440.00
2007 2006-11-27 0.083 2007-04-13 0.160 0.077 770.00 138 2007-04-09 770.00 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 2004-04-15 0.066 0.046 460.00 142 2004-04-14 460.00 2003-12-04 -300.00 -300.00
2003 2002-11-26 0.023 2003-04-15 0.040 0.017 170.00 141 2003-04-15 170.00 2003-02-24 -1530.00 -1530.00
2002 2001-11-26 0.037 2002-04-15 0.035 -0.002 -20.00 141 2002-01-23 410.00 2002-03-25 -120.00 -530.00
2001 2000-11-27 -0.015 2001-04-12 0.055 0.070 700.00 137 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 1999-04-15 0.012 -0.001 -10.00 137 1999-02-26 340.00 1999-01-04 -80.00 -360.00
1998 1997-11-26 0.005 1998-04-15 0.024 0.019 190.00 141 1998-03-05 300.00 1997-12-02 -50.00 -300.00
1997 1996-11-26 -0.005 1997-04-15 0.043 0.048 480.00 141 1997-04-15 480.00 1997-01-15 -450.00 -520.00
1996 1995-11-27 0.008 1996-04-15 -0.020 -0.028 -280.00 141 - 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 1993-04-15 -0.021 -0.031 -310.00 137 1993-01-29 150.00 1993-03-24 -480.00 -630.00
1992 1991-11-26 0.010 1992-04-15 -0.010 -0.020 -200.00 142 1992-02-18 100.00 1992-04-01 -200.00 -300.00
1991 1990-11-26 0.035 1991-04-15 0.025 -0.010 -100.00 141 1991-02-21 70.00 1991-04-03 -310.00 -380.00