Futures Spread Strategy For December, 2017 - Buy NGN18-NGM18

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Futures Spread Strategy For December, 2017 - Buy NGN18-NGM18

This spread combines several conditions to create good trading opportunity.

  • 100% Win for last 20 years
  • Seasonal patterns correlation - All patterns up to 20 years have similar movement and correlation, more than 85% in seasonal window
  • High RRR
  • Low margin requirements
  • Long seasonal window - A lot of time for seasonality to kick in. Possibility to take profit earlier

Backtest BUY NGN17-NGM17 Entry: 2017-12-13 Exit: 2018-05-05

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% 144 2.65 9999 170.00 6.71 382.00 -238.00 382.00 0.00 470.00 -70.00 1910.00 1910.00 0.00 170.00
10 100% 10 0 60% 144 2.42 9999 340.00 5.27 349.00 -304.00 349.00 0.00 516.00 -98.00 3490.00 3490.00 0.00 340.00
15 100% 15 0 60% 144 3.75 9999 1300.00 4.01 539.33 -418.00 539.33 0.00 716.67 -178.67 8090.00 8090.00 0.00 170.00
20 100% 20 0 60% 144 3.40 9999 1300.00 4.12 490.00 -402.00 490.00 0.00 653.50 -158.50 9800.00 9800.00 0.00 170.00
27 89% 24 3 63% 144 2.45 7.81 1300.00 2.15 352.96 -474.81 455.42 -466.67 554.44 -257.78 9530.00 10930.00 -1400.00 1300.00
Equity for backtest
Year Enter date Enter price Exit date Exit price Points Profit Days# Best Date Best Worst Date Worst Drawdown
2017 2016-12-13 0.029 2017-05-05 0.084 0.055 550.00 144 2017-03-02 560.00 2016-12-28 -70.00 -270.00
2016 2015-12-14 0.057 2016-05-05 0.162 0.105 1050.00 144 2016-05-02 1190.00 2016-01-04 -170.00 -310.00
2015 2014-12-15 0.036 2015-05-05 0.056 0.020 200.00 142 2015-04-22 270.00 - 0.00 -190.00
2014 2013-12-13 0.026 2014-05-05 0.027 0.001 10.00 144 2014-03-13 140.00 2014-01-29 -80.00 -200.00
2013 2012-12-13 0.042 2013-05-03 0.052 0.010 100.00 142 2013-01-09 190.00 2013-03-20 -30.00 -220.00
2012 2011-12-13 0.052 2012-05-04 0.092 0.040 400.00 144 2012-04-02 900.00 - 0.00 -520.00
2011 2010-12-13 0.053 2011-05-05 0.070 0.017 170.00 144 2011-04-08 320.00 2011-02-02 -60.00 -260.00
2010 2009-12-14 0.080 2010-05-05 0.116 0.036 360.00 143 2010-04-12 610.00 2009-12-28 -110.00 -310.00
2009 2008-12-15 0.120 2009-05-05 0.138 0.018 180.00 142 2009-04-14 500.00 2008-12-29 -120.00 -370.00
2008 2007-12-13 0.095 2008-05-05 0.142 0.047 470.00 145 2008-05-02 480.00 2008-02-28 -340.00 -390.00
2007 2006-12-13 0.095 2007-05-04 0.141 0.046 460.00 143 2007-04-17 750.00 2007-01-30 -280.00 -580.00
2006 2005-12-13 0.020 2006-05-05 0.257 0.237 2370.00 144 2006-05-01 2550.00 - 0.00 -600.00
2005 2004-12-13 0.045 2005-05-05 0.101 0.056 560.00 144 2005-04-15 660.00 2005-01-14 -120.00 -310.00
2004 2003-12-15 0.005 2004-05-05 0.081 0.076 760.00 143 2004-04-30 830.00 - 0.00 -240.00
2003 2002-12-13 0.000 2003-05-05 0.045 0.045 450.00 144 2003-04-30 800.00 2003-02-24 -1300.00 -1500.00
2002 2001-12-13 0.040 2002-05-03 0.042 0.002 20.00 142 2002-01-23 380.00 2002-03-25 -150.00 -530.00
2001 2000-12-13 -0.010 2001-05-04 0.075 0.085 850.00 143 2001-05-04 850.00 2000-12-27 -150.00 -300.00
2000 1999-12-13 0.014 2000-05-05 0.031 0.017 170.00 145 2000-05-05 170.00 2000-02-04 -130.00 -280.00
1999 1998-12-14 0.011 1999-05-05 0.022 0.011 110.00 143 1999-02-26 360.00 1999-01-04 -60.00 -360.00
1998 1997-12-15 0.000 1998-05-05 0.056 0.056 560.00 142 1998-05-05 560.00 - 0.00 -300.00
1997 1996-12-13 -0.010 1997-05-05 0.037 0.047 470.00 144 1997-04-15 530.00 1997-01-15 -400.00 -500.00
1996 1995-12-13 0.000 1996-05-03 0.008 0.008 80.00 143 1996-05-03 80.00 1996-03-21 -1000.00 -1000.00
1995 1994-12-13 0.008 1995-05-05 0.050 0.042 420.00 144 1995-02-21 470.00 1995-04-19 -50.00 -520.00
1994 1993-12-13 0.015 1994-05-05 0.031 0.016 160.00 144 1994-04-29 290.00 1994-02-01 -600.00 -600.00
1993 1992-12-14 0.005 1993-05-05 -0.048 -0.053 -530.00 143 1993-04-26 310.00 1993-04-22 -740.00 -940.00
1992 1991-12-13 0.005 1992-05-05 -0.063 -0.068 -680.00 145 1992-02-18 150.00 1992-05-05 -680.00 -830.00
1991 1990-12-13 0.035 1991-05-03 0.016 -0.019 -190.00 142 1991-02-21 70.00 1991-04-26 -320.00 -390.00