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

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Futures Spread Strategy For December, 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 94% 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 NGN18-NGM18 Entry: 2018-12-13 Exit: 2018-04-12

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% 121 2.05 9999 170.00 4.37 248.00 -208.00 248.00 0.00 358.00 -82.00 1240.00 1240.00 0.00 170.00
10 100% 10 0 50% 121 2.79 9999 170.00 5.79 338.00 -210.00 338.00 0.00 423.00 -73.00 3380.00 3380.00 0.00 170.00
15 100% 15 0 53% 121 3.98 9999 340.00 5.59 482.00 -279.33 482.00 0.00 548.00 -98.00 7230.00 7230.00 0.00 280.00
20 95% 19 1 50% 121 3.38 274.00 1300.00 3.09 409.50 -358.00 456.67 -15.00 504.00 -163.00 8190.00 8220.00 -30.00 280.00
28 82% 23 5 61% 121 2.30 8.80 1300.00 1.92 278.57 -400.71 400.00 -166.67 421.43 -219.64 7800.00 8800.00 -1000.00 1300.00
Equity for backtest
Year Enter date Enter price Exit date Exit price Points Profit Days# Best Date Best Worst Date Worst Drawdown
2018 2017-12-13 0.037 2018-04-12 0.044 0.007 70.00 121 2018-04-05 250.00 2018-01-02 -90.00 -180.00
2017 2016-12-13 0.029 2017-04-12 0.070 0.041 410.00 121 2017-03-02 560.00 2016-12-28 -70.00 -270.00
2016 2015-12-14 0.057 2016-04-12 0.095 0.038 380.00 121 2016-03-30 570.00 2016-01-04 -170.00 -250.00
2015 2014-12-15 0.036 2015-04-10 0.062 0.026 260.00 117 2015-02-09 270.00 - 0.00 -190.00
2014 2013-12-13 0.026 2014-04-11 0.038 0.012 120.00 120 2014-03-13 140.00 2014-01-29 -80.00 -150.00
2013 2012-12-13 0.042 2013-04-12 0.047 0.005 50.00 121 2013-01-09 190.00 2013-03-20 -30.00 -220.00
2012 2011-12-13 0.052 2012-04-12 0.126 0.074 740.00 122 2012-04-02 900.00 - 0.00 -210.00
2011 2010-12-13 0.053 2011-04-12 0.085 0.032 320.00 121 2011-04-08 320.00 2011-02-02 -60.00 -260.00
2010 2009-12-14 0.080 2010-04-12 0.141 0.061 610.00 120 2010-04-12 610.00 2009-12-28 -110.00 -140.00
2009 2008-12-15 0.120 2009-04-09 0.162 0.042 420.00 116 2009-04-09 420.00 2008-12-29 -120.00 -230.00
2008 2007-12-13 0.095 2008-04-11 0.105 0.010 100.00 121 2008-04-11 100.00 2008-02-28 -340.00 -390.00
2007 2006-12-13 0.095 2007-04-12 0.160 0.065 650.00 121 2007-04-09 650.00 2007-01-30 -280.00 -580.00
2006 2005-12-13 0.020 2006-04-12 0.225 0.205 2050.00 121 2006-04-12 2050.00 - 0.00 -600.00
2005 2004-12-13 0.045 2005-04-12 0.100 0.055 550.00 121 2005-04-07 640.00 2005-01-14 -120.00 -280.00
2004 2003-12-15 0.005 2004-04-12 0.055 0.050 500.00 120 2004-03-29 550.00 - 0.00 -240.00
2003 2002-12-13 0.000 2003-04-11 0.032 0.032 320.00 120 2003-04-11 320.00 2003-02-24 -1300.00 -1500.00
2002 2001-12-13 0.040 2002-04-12 0.042 0.002 20.00 121 2002-01-23 380.00 2002-03-25 -150.00 -530.00
2001 2000-12-13 -0.010 2001-04-12 0.055 0.065 650.00 121 2001-04-12 650.00 2000-12-27 -150.00 -300.00
2000 1999-12-13 0.014 2000-04-12 0.011 -0.003 -30.00 122 2000-01-04 150.00 2000-02-04 -130.00 -280.00
1999 1998-12-14 0.011 1999-04-12 0.011 0.000 0.00 120 1999-02-26 360.00 1999-01-04 -60.00 -360.00
1998 1997-12-15 0.000 1998-04-09 0.005 0.005 50.00 116 1998-03-05 350.00 - 0.00 -300.00
1997 1996-12-13 -0.010 1997-04-11 0.030 0.040 400.00 120 1997-02-24 450.00 1997-01-15 -400.00 -500.00
1996 1995-12-13 0.000 1996-04-12 -0.038 -0.038 -380.00 122 - 0.00 1996-03-21 -1000.00 -1000.00
1995 1994-12-13 0.008 1995-04-12 0.020 0.012 120.00 121 1995-02-21 470.00 - 0.00 -350.00
1994 1993-12-13 0.015 1994-04-12 0.000 -0.015 -150.00 121 1994-03-24 30.00 1994-02-01 -600.00 -600.00
1993 1992-12-14 0.005 1993-04-12 -0.026 -0.031 -310.00 120 1993-01-29 200.00 1993-03-24 -430.00 -630.00
1992 1991-12-13 0.005 1992-04-10 0.006 0.001 10.00 120 1992-02-18 150.00 1992-04-01 -150.00 -300.00
1991 1990-12-13 0.035 1991-04-12 0.022 -0.013 -130.00 121 1991-02-21 70.00 1991-04-03 -310.00 -380.00