Futures Spread Strategy For August, 2019 - Buy OJF20-OJH20

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Futures Spread Strategy For August, 2019 - Buy OJF20-OJH20

This spread combines several conditions to create good trading opportunity.

  • 93% Win in last 15 years
  • Strong seasonal patterns correlation in seasonal window
  • Low margin requirements
  • Long seasonal window - A lot of time for seasonality to kick in. Possibility to take profit earlier
  • The stoploss can be placed under historical low.
  • Double bottom seems to be created

Backtest Buy OJF20-OJH20 Entry: 2019-08-17 Exit: 2019-12-12

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% 118 3.10 9999 60.00 37.38 366.00 -457.50 366.00 0.00 729.00 -19.50 1830.00 1830.00 0.00 22.50
10 90% 9 1 60% 118 2.52 25.75 247.50 9.73 297.00 -363.00 343.33 -120.00 540.00 -55.50 2970.00 3090.00 -120.00 22.50
15 93% 14 1 53% 118 2.23 33.94 247.50 8.41 263.50 -527.50 290.89 -120.00 656.00 -78.00 3952.50 4072.50 -120.00 157.50
20 80% 16 4 70% 118 1.61 5.30 247.50 4.89 190.12 -475.88 292.97 -221.25 555.75 -113.63 3802.50 4687.50 -885.00 157.50
30 57% 17 13 90% 118 0.43 1.47 562.50 1.81 50.75 -508.50 281.91 -251.54 410.75 -227.50 1522.50 4792.50 -3270.00 562.50
52 44% 23 29 100% 118 -0.11 0.90 562.50 1.46 -12.84 -453.46 250.11 -221.38 319.04 -219.23 -667.50 5752.50 -6420.00 562.50
Equity for backtest
Year Enter date Enter price Exit date Exit price Points Profit Days# Best Date Best Worst Date Worst Drawdown
2019 2018-08-17 -1.05 2018-12-12 0.00 1.05 157.50 118 2018-12-05 262.50 2018-08-21 -15.00 -172.50
2018 2017-08-17 -2.20 2017-12-12 -0.30 1.90 285.00 118 2017-11-10 705.00 - 0.00 -457.50
2017 2016-08-17 0.40 2016-12-12 3.15 2.75 412.50 118 2016-11-01 892.50 2016-08-19 -22.50 -585.00
2016 2015-08-17 -1.90 2015-12-11 0.00 1.90 285.00 117 2015-11-12 1095.00 2015-09-28 -60.00 -817.50
2015 2014-08-18 -3.10 2014-12-12 1.50 4.60 690.00 117 2014-12-12 690.00 - 0.00 -255.00
2014 2013-08-19 -1.25 2013-12-12 -0.90 0.35 52.50 116 2013-12-10 157.50 2013-10-17 -247.50 -382.50
2013 2012-08-17 -2.00 2012-12-12 0.10 2.10 315.00 118 2012-09-12 330.00 2012-08-20 -22.50 -352.50
2012 2011-08-17 -0.75 2011-12-12 3.85 4.60 690.00 118 2011-11-22 1050.00 2011-09-01 -15.00 -375.00
2011 2010-08-17 -1.55 2010-12-10 -0.20 1.35 202.50 116 2010-12-09 217.50 2010-09-03 -52.50 -112.50
2010 2009-08-17 -3.05 2009-12-11 -3.85 -0.80 -120.00 117 - 0.00 2009-12-11 -120.00 -120.00
2009 2008-08-18 -3.60 2008-12-12 0.90 4.50 675.00 117 2008-12-12 675.00 2008-11-25 -157.50 -187.50
2008 2007-08-17 -1.05 2007-12-12 -0.20 0.85 127.50 118 2007-12-04 217.50 2007-10-31 -37.50 -232.50
2007 2006-08-17 0.00 2006-12-12 0.30 0.30 45.00 118 2006-10-12 3240.00 2006-10-06 -240.00 -3435.00
2006 2005-08-17 -2.00 2005-12-12 -1.90 0.10 15.00 118 2005-10-12 90.00 2005-09-13 -105.00 -187.50
2005 2004-08-17 -2.40 2004-12-10 -1.60 0.80 120.00 116 2004-09-10 217.50 2004-08-20 -75.00 -240.00
2004 2003-08-18 -2.20 2003-12-12 -3.20 -1.00 -150.00 117 2003-08-21 90.00 2003-11-24 -195.00 -285.00
2003 2002-08-19 -0.35 2002-12-12 -2.50 -2.15 -322.50 116 - 0.00 2002-12-04 -390.00 -390.00
2002 2001-08-17 -3.30 2001-12-12 -2.45 0.85 127.50 118 2001-11-01 427.50 2001-08-28 -120.00 -330.00
2001 2000-08-17 -1.95 2000-12-12 -3.90 -1.95 -292.50 118 2000-12-04 112.50 2000-12-11 -322.50 -435.00
2000 1999-08-17 -1.00 1999-12-10 2.25 3.25 487.50 116 1999-12-03 645.00 1999-09-24 -75.00 -165.00
1999 1998-08-17 -3.00 1998-12-11 -2.30 0.70 105.00 117 1998-10-26 180.00 1998-12-08 -562.50 -742.50
1998 1997-08-18 -3.00 1997-12-12 -3.10 -0.10 -15.00 117 1997-11-13 67.50 1997-11-19 -195.00 -262.50
1997 1996-08-19 -1.05 1996-12-12 -3.75 -2.70 -405.00 116 1996-08-22 52.50 1996-12-09 -487.50 -540.00
1996 1995-08-17 -2.30 1995-12-12 -6.05 -3.75 -562.50 118 1995-11-01 202.50 1995-12-12 -562.50 -765.00
1995 1994-08-17 -3.10 1994-12-12 -3.75 -0.65 -97.50 118 1994-09-29 75.00 1994-11-21 -832.50 -907.50
1994 1993-08-17 -1.50 1993-12-10 -2.55 -1.05 -157.50 116 1993-10-08 157.50 1993-11-04 -240.00 -397.50
1993 1992-08-17 0.15 1992-12-11 -3.05 -3.20 -480.00 117 1992-11-24 82.50 1992-12-10 -510.00 -592.50
1992 1991-08-19 -0.95 1991-12-12 -1.85 -0.90 -135.00 116 1991-10-24 270.00 1991-11-19 -427.50 -697.50
1991 1990-08-17 0.50 1990-12-12 -1.60 -2.10 -315.00 118 - 0.00 1990-12-04 -472.50 -472.50
1990 1989-08-17 1.00 1989-12-12 -0.45 -1.45 -217.50 118 1989-11-29 120.00 1989-10-17 -262.50 -360.00
1989 1988-08-17 1.20 1988-12-12 3.30 2.10 315.00 118 1988-10-14 427.50 1988-11-16 -135.00 -562.50
1988 1987-08-17 -0.60 1987-12-11 0.85 1.45 217.50 117 1987-11-10 540.00 1987-09-30 -75.00 -457.50
1987 1986-08-18 -1.30 1986-12-12 -2.10 -0.80 -120.00 117 1986-11-03 232.50 1986-12-12 -120.00 -352.50
1986 1985-08-19 1.45 1985-12-12 -1.60 -3.05 -457.50 116 1985-09-13 247.50 1985-12-03 -555.00 -802.50
1985 1984-08-17 0.00 1984-12-12 -2.65 -2.65 -397.50 118 1984-09-13 202.50 1984-12-12 -397.50 -600.00
1984 1983-08-17 0.80 1983-12-12 1.30 0.50 75.00 118 1983-10-06 375.00 1983-09-13 -97.50 -390.00
1983 1982-08-17 -1.00 1982-12-10 -0.90 0.10 15.00 116 1982-08-25 165.00 1982-10-08 -90.00 -255.00
1982 1981-08-17 -2.25 1981-12-11 -0.45 1.80 270.00 117 1981-12-11 270.00 1981-08-27 -180.00 -210.00
1981 1980-08-18 -0.85 1980-12-12 -2.55 -1.70 -255.00 117 1980-10-02 75.00 1980-12-04 -427.50 -502.50
1980 1979-08-17 -0.45 1979-12-12 -0.90 -0.45 -67.50 118 1979-11-05 45.00 1979-10-24 -142.50 -187.50
1979 1978-08-17 1.95 1978-12-12 -1.70 -3.65 -547.50 118 1978-09-14 75.00 1978-11-30 -585.00 -660.00
1978 1977-08-17 2.35 1977-12-12 0.55 -1.80 -270.00 118 1977-09-29 457.50 1977-11-11 -412.50 -870.00
1977 1976-08-17 -1.35 1976-12-10 -0.90 0.45 67.50 116 1976-10-14 150.00 1976-09-16 -60.00 -172.50
1976 1975-08-18 -1.05 1975-12-12 -1.80 -0.75 -112.50 117 1975-09-09 37.50 1975-12-10 -142.50 -180.00
1975 1974-08-19 -0.90 1974-12-12 -2.10 -1.20 -180.00 116 1974-09-03 30.00 1974-12-03 -180.00 -210.00
1974 1973-08-17 -0.70 1973-12-12 -0.80 -0.10 -15.00 118 1973-09-11 67.50 1973-11-27 -112.50 -180.00
1973 1972-08-17 -0.55 1972-12-12 -1.10 -0.55 -82.50 118 1972-08-22 187.50 1972-12-04 -97.50 -285.00
1972 1971-08-17 0.60 1971-12-10 0.10 -0.50 -75.00 116 1971-08-19 97.50 1971-10-18 -127.50 -225.00
1971 1970-08-17 -0.80 1970-12-11 -1.15 -0.35 -52.50 117 1970-08-20 37.50 1970-09-16 -60.00 -97.50
1970 1969-08-18 0.05 1969-12-12 -0.95 -1.00 -150.00 117 - 0.00 1969-11-12 -172.50 -172.50
1969 1968-08-19 0.20 1968-12-12 -1.40 -1.60 -240.00 116 1968-10-29 457.50 1968-12-11 -240.00 -697.50
1968 1967-08-17 -1.10 1967-12-12 -1.95 -0.85 -127.50 118 1967-10-25 90.00 1967-12-08 -165.00 -255.00