Futures Spread Strategy For December, 2020 - Buy GFK21-GFH21

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Futures Spread Strategy For December, 2020 - Buy GFK21-GFH21

This spread combines several conditions to create good trading opportunity:

  • 95% Win in last 20 years
  • The spread is moving in narrow historical range, see stacked chart in platform
  • RRR around 3.0
  • Low margin requirement

Backtest Buy GFK21-GFH21 Entry: 2020-12-13 (green line) Exit: 2021-02-07 (red line)

Years# Win% Win# Loss# APW% Days# APPD PF SL RRR ProfitØ DDØ WinØ LossØ BestØ WorstØ Total Profit Profit Loss SL ProfitØ
5 80% 4 1 80% 57 8.11 3.28 375.00 1.76 462.50 -977.50 831.25 -1012.50 817.50 -465.00 2312.50 3325.00 -1012.50 375.00
10 90% 9 1 80% 57 10.15 6.72 400.00 3.02 578.75 -811.25 755.56 -1012.50 971.25 -321.25 5787.50 6800.00 -1012.50 400.00
15 93% 14 1 67% 57 12.11 11.22 950.00 3.10 690.00 -704.17 811.61 -1012.50 982.50 -316.67 10350.00 11362.50 -1012.50 425.00
20 95% 19 1 65% 57 12.14 14.67 950.00 2.90 691.87 -661.25 781.58 -1012.50 935.00 -322.50 13837.50 14850.00 -1012.50 425.00
30 77% 23 7 63% 57 7.20 4.36 950.00 2.05 410.42 -648.75 694.57 -523.21 727.92 -354.58 12312.50 15975.00 -3662.50 550.00
49 71% 35 14 71% 57 4.27 2.62 950.00 1.53 243.62 -642.09 551.07 -525.00 578.32 -376.79 11937.50 19287.50 -7350.00 625.00
Equity for backtest
Year Enter date Enter price Exit date Exit price Points Profit Days# Best Date Best Worst Date Worst Drawdown
2020 2019-12-13 2.350 2020-02-07 4.375 2.025 1012.50 57 2020-01-27 1400.00 - 0.00 -762.50
2019 2018-12-13 0.575 2019-02-07 2.650 2.075 1037.50 57 2019-02-07 1037.50 2018-12-28 -212.50 -525.00
2018 2017-12-13 -0.225 2018-02-07 1.050 1.275 637.50 57 2018-02-07 637.50 2018-01-02 -212.50 -725.00
2017 2016-12-13 -2.025 2017-02-07 -0.750 1.275 637.50 57 2017-02-07 637.50 2017-01-20 -375.00 -975.00
2016 2015-12-14 1.250 2016-02-05 -0.775 -2.025 -1012.50 54 2015-12-29 375.00 2016-02-01 -1525.00 -1900.00
2015 2014-12-15 0.175 2015-02-06 0.225 0.050 25.00 54 2015-01-20 1250.00 2015-01-08 -25.00 -1225.00
2014 2013-12-13 1.375 2014-02-07 1.400 0.025 12.50 57 2014-01-02 287.50 2014-01-29 -375.00 -662.50
2013 2012-12-13 2.200 2013-02-07 5.650 3.450 1725.00 57 2013-01-29 2225.00 - 0.00 -600.00
2012 2011-12-13 2.075 2012-02-07 3.650 1.575 787.50 57 2012-02-03 937.50 2011-12-27 -400.00 -412.50
2011 2010-12-13 0.875 2011-02-07 2.725 1.850 925.00 57 2011-02-07 925.00 2011-01-18 -87.50 -325.00
2010 2009-12-14 2.825 2010-02-05 2.850 0.025 12.50 54 2010-02-01 150.00 2010-01-19 -950.00 -950.00
2009 2008-12-15 1.775 2009-02-06 2.900 1.125 562.50 54 2009-01-21 787.50 2008-12-18 -125.00 -287.50
2008 2007-12-13 3.325 2008-02-07 6.900 3.575 1787.50 57 2008-02-07 1787.50 - 0.00 -150.00
2007 2006-12-13 2.000 2007-02-07 3.600 1.600 800.00 57 2007-02-06 862.50 2007-01-03 -425.00 -800.00
2006 2005-12-13 -1.425 2006-02-07 1.375 2.800 1400.00 57 2006-01-18 1437.50 2005-12-14 -37.50 -262.50
2005 2004-12-13 -1.575 2005-02-07 -0.700 0.875 437.50 57 2005-01-26 450.00 2005-01-11 -550.00 -962.50
2004 2003-12-15 -0.825 2004-02-06 1.775 2.600 1300.00 54 2004-02-05 1575.00 2003-12-16 -237.50 -712.50
2003 2002-12-13 0.325 2003-02-07 1.825 1.500 750.00 57 2003-02-07 750.00 2002-12-16 -225.00 -237.50
2002 2001-12-13 -0.025 2002-02-07 0.650 0.675 337.50 57 2002-02-07 337.50 2002-01-08 -487.50 -525.00
2001 2000-12-13 -1.000 2001-02-07 0.325 1.325 662.50 57 2001-02-05 850.00 2001-01-09 -200.00 -225.00
2000 1999-12-13 0.025 2000-02-07 0.350 0.325 162.50 57 2000-02-04 187.50 2000-01-18 -100.00 -225.00
1999 1998-12-14 1.850 1999-02-05 0.175 -1.675 -837.50 54 1998-12-16 112.50 1999-01-25 -900.00 -1012.50
1998 1997-12-15 1.700 1998-02-06 1.275 -0.425 -212.50 54 1998-01-05 237.50 1998-01-26 -512.50 -750.00
1997 1996-12-13 0.700 1997-02-07 1.850 1.150 575.00 57 1997-02-04 687.50 1996-12-23 -137.50 -362.50
1996 1995-12-13 -0.375 1996-02-07 0.050 0.425 212.50 57 1996-01-25 587.50 1995-12-15 -62.50 -375.00
1995 1994-12-13 -2.050 1995-02-07 -1.700 0.350 175.00 57 1995-01-17 375.00 1995-01-03 -250.00 -337.50
1994 1993-12-13 -0.900 1994-02-07 -1.275 -0.375 -187.50 57 - 0.00 1994-01-28 -562.50 -562.50
1993 1992-12-14 -1.975 1993-02-05 -2.200 -0.225 -112.50 54 1992-12-15 62.50 1993-01-20 -362.50 -425.00
1992 1991-12-13 -2.150 1992-02-07 -3.550 -1.400 -700.00 57 1991-12-23 400.00 1992-02-07 -700.00 -1100.00
1991 1990-12-13 -2.950 1991-02-07 -4.150 -1.200 -600.00 57 1991-01-18 487.50 1991-02-07 -600.00 -1087.50
1990 1989-12-13 -1.550 1990-02-07 -1.125 0.425 212.50 57 1990-02-07 212.50 1989-12-19 -275.00 -275.00
1989 1988-12-13 -2.125 1989-02-07 -0.675 1.450 725.00 57 1989-01-24 837.50 - 0.00 -225.00
1988 1987-12-14 -1.450 1988-02-05 -2.050 -0.600 -300.00 54 1987-12-22 75.00 1988-01-19 -825.00 -900.00
1987 1986-12-15 -1.400 1987-02-06 -2.575 -1.175 -587.50 54 1986-12-31 212.50 1987-02-02 -675.00 -887.50
1986 1985-12-13 -1.950 1986-02-07 -1.175 0.775 387.50 57 1986-02-04 662.50 1985-12-26 -50.00 -625.00
1985 1984-12-13 -2.000 1985-02-07 -1.675 0.325 162.50 57 1985-02-07 162.50 1985-01-02 -812.50 -837.50
1984 1983-12-13 -1.375 1984-02-07 -2.350 -0.975 -487.50 57 1983-12-21 162.50 1984-01-17 -787.50 -950.00
1983 1982-12-13 -0.300 1983-02-07 -1.975 -1.675 -837.50 57 1982-12-20 50.00 1983-01-18 -1175.00 -1225.00
1982 1981-12-14 -0.075 1982-02-05 -1.725 -1.650 -825.00 54 1981-12-22 200.00 1982-01-21 -1075.00 -1275.00
1981 1980-12-15 1.000 1981-02-06 1.200 0.200 100.00 54 1981-01-27 287.50 1980-12-19 -175.00 -300.00
1980 1979-12-13 0.725 1980-02-07 1.025 0.300 150.00 57 1980-01-28 337.50 1980-01-14 -225.00 -450.00
1979 1978-12-13 -0.200 1979-02-07 0.300 0.500 250.00 57 1979-02-07 250.00 1978-12-18 -175.00 -187.50
1978 1977-12-13 -0.050 1978-02-07 -0.700 -0.650 -325.00 57 1978-01-05 87.50 1978-02-07 -325.00 -412.50
1977 1976-12-13 0.450 1977-02-07 1.200 0.750 375.00 57 1977-01-10 562.50 - 0.00 -375.00
1976 1975-12-15 -0.025 1976-02-06 0.775 0.800 400.00 54 1976-02-04 512.50 1975-12-31 -37.50 -162.50
1975 1974-12-13 1.000 1975-02-07 1.275 0.275 137.50 57 1974-12-31 625.00 1974-12-24 -50.00 -625.00
1974 1973-12-13 0.000 1974-02-07 0.600 0.600 300.00 57 1974-01-28 500.00 1974-01-10 -625.00 -1075.00
1973 1972-12-13 -1.425 1973-02-07 -1.200 0.225 112.50 57 1973-01-10 512.50 1972-12-15 -212.50 -637.50
1972 1971-12-13 -0.750 1972-02-07 -1.400 -0.650 -325.00 57 1971-12-20 250.00 1972-02-07 -325.00 -575.00