Futures Spread Strategy For October, 2020 - Buy NGN21-NGM21

You can also browse other Free Futures Spread Trading Strategies, we publish a free trading strategy each month.

Futures Spread Strategy For October, 2020 - Buy NGN21-NGM21

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 (over 90%)
  • Low margin requirements
  • High RRR

Backtest Buy NGN21-NGM21 Entry: 2020-10-17 Exit: 2021-03-30

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% 166 2.96 9999 210.00 7.34 492.00 -232.00 492.00 0.00 558.00 -76.00 2460.00 2460.00 0.00 110.00
10 100% 10 0 40% 166 2.28 9999 210.00 4.72 379.00 -227.00 379.00 0.00 434.00 -92.00 3790.00 3790.00 0.00 110.00
15 100% 15 0 40% 166 2.61 9999 280.00 4.60 434.00 -308.67 434.00 0.00 509.33 -110.67 6510.00 6510.00 0.00 280.00
20 90% 18 2 50% 166 2.37 32.48 350.00 2.50 393.50 -394.50 451.11 -125.00 493.00 -197.00 7870.00 8120.00 -250.00 350.00
30 80% 24 6 63% 166 1.57 7.36 450.00 1.93 260.67 -414.67 393.48 -175.71 420.00 -218.00 7820.00 9050.00 -1230.00 350.00
Equity for backtest
Year Enter date Enter price Exit date Exit price Points Profit Days# Best Date Best Worst Date Worst Drawdown
2020 2019-10-17 0.049 2020-03-30 0.137 0.088 880.00 166 2020-03-26 890.00 2019-11-05 -110.00 -220.00
2019 2018-10-17 0.035 2019-03-29 0.059 0.024 240.00 164 2019-03-22 240.00 2018-11-21 -210.00 -240.00
2018 2017-10-17 0.030 2018-03-29 0.054 0.024 240.00 164 2018-03-22 310.00 2017-11-10 -30.00 -180.00
2017 2016-10-17 0.023 2017-03-30 0.060 0.037 370.00 165 2017-03-02 620.00 2016-12-28 -10.00 -270.00
2016 2015-10-19 0.041 2016-03-30 0.114 0.073 730.00 164 2016-03-30 730.00 2015-11-18 -20.00 -250.00
2015 2014-10-17 0.035 2015-03-30 0.060 0.025 250.00 165 2015-02-09 280.00 2014-11-20 -160.00 -190.00
2014 2013-10-17 0.033 2014-03-28 0.039 0.006 60.00 163 2013-11-05 80.00 2014-01-29 -150.00 -230.00
2013 2012-10-17 0.039 2013-03-28 0.047 0.008 80.00 163 2013-01-09 220.00 2012-10-19 -20.00 -220.00
2012 2011-10-17 0.045 2012-03-30 0.130 0.085 850.00 166 2012-03-30 850.00 2011-10-31 -10.00 -210.00
2011 2010-10-18 0.067 2011-03-30 0.076 0.009 90.00 164 2011-03-03 120.00 2011-02-02 -200.00 -260.00
2010 2009-10-19 0.083 2010-03-30 0.104 0.021 210.00 163 2009-11-10 330.00 2009-12-28 -140.00 -470.00
2009 2008-10-17 0.110 2009-03-30 0.146 0.036 360.00 165 2009-03-09 400.00 2008-12-29 -20.00 -270.00
2008 2007-10-17 0.081 2008-03-28 0.095 0.014 140.00 164 2007-12-10 240.00 2008-02-28 -200.00 -440.00
2007 2006-10-17 0.095 2007-03-30 0.141 0.046 460.00 165 2007-03-26 630.00 2007-01-30 -280.00 -580.00
2006 2005-10-17 0.030 2006-03-30 0.185 0.155 1550.00 165 2006-03-06 1700.00 2005-12-13 -100.00 -600.00
2005 2004-10-18 0.025 2005-03-30 0.090 0.065 650.00 164 2005-03-28 650.00 2004-10-20 -50.00 -280.00
2004 2003-10-17 0.007 2004-03-30 0.048 0.041 410.00 166 2004-03-29 530.00 2003-12-04 -170.00 -300.00
2003 2002-10-17 0.018 2003-03-28 0.003 -0.015 -150.00 163 2002-11-06 170.00 2003-02-24 -1480.00 -1650.00
2002 2001-10-17 0.048 2002-03-28 0.038 -0.010 -100.00 163 2002-01-23 300.00 2002-03-25 -230.00 -530.00
2001 2000-10-17 -0.005 2001-03-30 0.050 0.055 550.00 165 2001-03-21 570.00 2000-12-04 -350.00 -500.00
2000 1999-10-18 0.017 2000-03-30 0.016 -0.001 -10.00 165 1999-12-06 120.00 2000-02-04 -160.00 -280.00
1999 1998-10-19 0.000 1999-03-30 0.025 0.025 250.00 163 1999-02-26 470.00 - 0.00 -350.00
1998 1997-10-17 -0.002 1998-03-30 0.016 0.018 180.00 165 1998-03-05 370.00 1997-10-27 -30.00 -270.00
1997 1996-10-17 -0.005 1997-03-27 0.010 0.015 150.00 162 1997-02-24 400.00 1997-01-15 -450.00 -520.00
1996 1995-10-17 0.002 1996-03-29 -0.069 -0.071 -710.00 165 1995-11-14 60.00 1996-03-21 -1020.00 -1080.00
1995 1994-10-17 0.008 1995-03-30 0.030 0.022 220.00 165 1995-02-21 470.00 1994-10-27 -50.00 -350.00
1994 1993-10-18 0.000 1994-03-30 0.013 0.013 130.00 164 1994-03-24 180.00 1994-02-01 -450.00 -600.00
1993 1992-10-19 -0.005 1993-03-30 -0.026 -0.021 -210.00 163 1993-01-29 300.00 1993-03-24 -330.00 -630.00
1992 1991-10-17 0.005 1992-03-30 0.000 -0.005 -50.00 166 1992-02-18 150.00 1992-03-25 -60.00 -210.00
1991 1990-10-17 0.020 1991-03-28 0.020 0.000 0.00 163 1991-02-21 220.00 1990-12-28 -50.00 -260.00