Futures Spread Strategy For May, 2019 - Buy NGV19-NGZ19

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Futures Spread Strategy For May, 2019 - Buy NGV19-NGZ19

This spread combines several conditions to create good trading opportunity.

  • 100% Win for last 10 years
  • All patterns has similar movement and correlation in seasonal window > 90%
  • Low margin requirements
  • Local support just reached
  • Spread and also front leg reached a support level

Backtest BUY NGV19-NGZ19 Entry: 2019-05-07 Exit: 2019-05-20

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% 14 14.14 9999 160.00 8.82 198.00 -180.00 198.00 0.00 300.00 -34.00 990.00 990.00 0.00 0.00
10 100% 10 0 50% 14 29.86 9999 540.00 7.66 418.00 -346.00 418.00 0.00 659.00 -86.00 4180.00 4180.00 0.00 540.00
15 80% 12 3 60% 14 12.19 2.10 600.00 2.08 170.67 -618.00 406.67 -773.33 626.00 -301.33 2560.00 4880.00 -2320.00 540.00
20 65% 13 7 60% 14 5.86 1.47 600.00 1.74 82.00 -565.00 394.62 -498.57 514.00 -295.50 1640.00 5130.00 -3490.00 540.00
29 62% 18 11 59% 14 6.97 1.75 600.00 1.88 97.59 -430.34 366.67 -342.73 418.97 -222.76 2830.00 6600.00 -3770.00 540.00
Equity for backtest
Year Enter date Enter price Exit date Exit price Points Profit Days# Best Date Best Worst Date Worst Drawdown
2018 2018-05-07 -0.143 2018-05-18 -0.140 0.003 30.00 12 2018-05-10 70.00 2018-05-11 -10.00 -80.00
2017 2017-05-08 -0.176 2017-05-19 -0.167 0.009 90.00 12 2017-05-12 200.00 - 0.00 -180.00
2016 2016-05-09 -0.535 2016-05-20 -0.492 0.043 430.00 12 2016-05-12 610.00 - 0.00 -300.00
2015 2015-05-07 -0.291 2015-05-20 -0.249 0.042 420.00 14 2015-05-18 600.00 - 0.00 -180.00
2014 2014-05-07 -0.138 2014-05-20 -0.136 0.002 20.00 14 2014-05-20 20.00 2014-05-14 -160.00 -160.00
2013 2013-05-07 -0.257 2013-05-20 -0.237 0.020 200.00 14 2013-05-14 330.00 2013-05-08 -10.00 -160.00
2012 2012-05-07 -0.614 2012-05-18 -0.507 0.107 1070.00 12 2012-05-18 1070.00 2012-05-10 -30.00 -110.00
2011 2011-05-09 -0.388 2011-05-20 -0.380 0.008 80.00 12 2011-05-16 140.00 2011-05-19 -110.00 -250.00
2010 2010-05-07 -0.883 2010-05-20 -0.752 0.131 1310.00 14 2010-05-18 1650.00 2010-05-11 -540.00 -540.00
2009 2009-05-07 -1.385 2009-05-20 -1.332 0.053 530.00 14 2009-05-13 1900.00 - 0.00 -1500.00
2008 2008-05-07 -0.611 2008-05-20 -0.650 -0.039 -390.00 14 - 0.00 2008-05-19 -690.00 -690.00
2007 2007-05-07 -1.345 2007-05-18 -1.280 0.065 650.00 12 2007-05-18 650.00 2007-05-08 -300.00 -300.00
2006 2006-05-08 -2.685 2006-05-19 -2.680 0.005 50.00 12 2006-05-10 2150.00 2006-05-15 -600.00 -2750.00
2005 2005-05-09 -0.855 2005-05-20 -1.015 -0.160 -1600.00 12 - 0.00 2005-05-20 -1600.00 -1600.00
2004 2004-05-07 -0.318 2004-05-20 -0.351 -0.033 -330.00 14 - 0.00 2004-05-18 -470.00 -470.00
2003 2003-05-07 -0.163 2003-05-20 -0.215 -0.052 -520.00 14 2003-05-08 80.00 2003-05-20 -520.00 -600.00
2002 2002-05-07 -0.465 2002-05-20 -0.485 -0.020 -200.00 14 2002-05-13 90.00 2002-05-16 -200.00 -290.00
2001 2001-05-07 -0.370 2001-05-18 -0.345 0.025 250.00 12 2001-05-10 650.00 - 0.00 -400.00
2000 2000-05-08 -0.183 2000-05-19 -0.195 -0.012 -120.00 12 2000-05-10 50.00 2000-05-16 -340.00 -390.00
1999 1999-05-07 -0.291 1999-05-20 -0.324 -0.033 -330.00 14 1999-05-10 20.00 1999-05-20 -330.00 -350.00
1998 1998-05-07 -0.272 1998-05-20 -0.289 -0.017 -170.00 14 1998-05-12 90.00 1998-05-18 -180.00 -270.00
1997 1997-05-07 -0.208 1997-05-20 -0.213 -0.005 -50.00 14 1997-05-13 30.00 1997-05-15 -170.00 -200.00
1996 1996-05-07 -0.128 1996-05-20 -0.081 0.047 470.00 14 1996-05-20 470.00 - 0.00 -90.00
1995 1995-05-08 -0.167 1995-05-19 -0.140 0.027 270.00 12 1995-05-19 270.00 - 0.00 -20.00
1994 1994-05-09 -0.200 1994-05-20 -0.205 -0.005 -50.00 12 1994-05-19 30.00 1994-05-12 -90.00 -90.00
1993 1993-05-07 -0.315 1993-05-20 -0.270 0.045 450.00 14 1993-05-20 450.00 - 0.00 -50.00
1992 1992-05-07 -0.347 1992-05-20 -0.330 0.017 170.00 14 1992-05-14 300.00 - 0.00 -230.00
1991 1991-05-07 -0.547 1991-05-20 -0.536 0.011 110.00 14 1991-05-20 110.00 1991-05-09 -100.00 -100.00
1990 1990-05-07 -0.450 1990-05-18 -0.451 -0.001 -10.00 12 1990-05-11 120.00 1990-05-18 -10.00 -130.00