Futures Spread Strategy For October, 2018 - Buy NGN19-NGM19

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Futures Spread Strategy For October, 2018 - Buy NGN19-NGM19

This spread combines several conditions to create good trading opportunity.

  • 100% Win for last 15 years
  • Seasonal patterns correlation - All patterns up to 20 years have similar movement and correlation, more than 95% 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 NGN19-NGM19 Entry: 2018-10-16 Exit: 2019-03-30

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 40% 166 1.98 9999 150.00 5.29 328.00 -224.00 328.00 0.00 402.00 -76.00 1640.00 1640.00 0.00 30.00
10 100% 10 0 50% 166 1.93 9999 200.00 4.95 321.00 -255.00 321.00 0.00 391.00 -79.00 3210.00 3210.00 0.00 30.00
15 100% 15 0 47% 166 2.61 9999 280.00 5.09 432.67 -316.67 432.67 0.00 515.33 -101.33 6490.00 6490.00 0.00 280.00
20 85% 17 3 50% 166 2.13 31.70 350.00 2.53 353.00 -403.00 428.82 -76.67 469.50 -185.50 7060.00 7290.00 -230.00 350.00
28 79% 22 6 68% 166 1.47 6.25 450.00 1.87 243.57 -427.86 369.09 -216.67 413.93 -221.43 6820.00 8120.00 -1300.00 350.00
Equity for backtest
Year Enter date Enter price Exit date Exit price Points Profit Days# Best Date Best Worst Date Worst Drawdown
2018 2017-10-16 0.031 2018-03-29 0.054 0.023 230.00 165 2018-03-22 300.00 2017-11-10 -40.00 -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 2015-10-16 0.042 2016-03-30 0.114 0.072 720.00 167 2016-03-30 720.00 2015-11-18 -30.00 -250.00
2015 2014-10-16 0.034 2015-03-30 0.060 0.026 260.00 166 2015-02-09 290.00 2014-11-20 -150.00 -190.00
2014 2013-10-16 0.033 2014-03-28 0.039 0.006 60.00 164 2013-11-05 80.00 2014-01-29 -150.00 -230.00
2013 2012-10-16 0.042 2013-03-28 0.047 0.005 50.00 164 2013-01-09 190.00 2012-10-19 -50.00 -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 2009-10-16 0.082 2010-03-30 0.104 0.022 220.00 166 2009-11-10 340.00 2009-12-28 -130.00 -470.00
2009 2008-10-16 0.110 2009-03-30 0.146 0.036 360.00 166 2009-03-09 400.00 2008-12-29 -20.00 -270.00
2008 2007-10-16 0.081 2008-03-28 0.095 0.014 140.00 165 2007-12-10 240.00 2008-02-28 -200.00 -440.00
2007 2006-10-16 0.095 2007-03-30 0.141 0.046 460.00 166 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 2003-10-16 0.000 2004-03-30 0.048 0.048 480.00 167 2004-03-29 600.00 2003-12-04 -100.00 -300.00
2003 2002-10-16 0.020 2003-03-28 0.003 -0.017 -170.00 164 2002-11-06 150.00 2003-02-24 -1500.00 -1650.00
2002 2001-10-16 0.043 2002-03-28 0.038 -0.005 -50.00 164 2002-01-23 350.00 2002-03-25 -180.00 -530.00
2001 2000-10-16 -0.005 2001-03-30 0.050 0.055 550.00 166 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 1998-10-16 0.000 1999-03-30 0.025 0.025 250.00 166 1999-02-26 470.00 - 0.00 -350.00
1998 1997-10-16 -0.002 1998-03-30 0.016 0.018 180.00 166 1998-03-05 370.00 1997-10-27 -30.00 -270.00
1997 1996-10-16 -0.005 1997-03-27 0.010 0.015 150.00 163 1997-02-24 400.00 1997-01-15 -450.00 -520.00
1996 1995-10-16 0.002 1996-03-29 -0.069 -0.071 -710.00 166 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 1992-10-16 0.000 1993-03-30 -0.026 -0.026 -260.00 166 1993-01-29 250.00 1993-03-24 -380.00 -630.00
1992 1991-10-16 0.010 1992-03-30 0.000 -0.010 -100.00 167 1992-02-18 100.00 1992-03-25 -110.00 -210.00
1991 1990-10-16 0.005 1991-03-28 0.020 0.015 150.00 164 1991-02-21 370.00 - 0.00 -260.00