Futures Spread Strategy For July, 2021 - Buy LEQ21-LEZ21

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Futures Spread Strategy For July, 2021 - Buy LEQ21-LEZ21

This spread combines several conditions to create good trading opportunity.

  • 87% Win for last 15 years
  • Seasonal patterns in trade correlation - All patterns up to 20 years have similar movement and correlation, more than 95% in seasonal window
  • Strong local support level to place stop loss
  • The spread is moving around historical low - a lot of space to grow

Backtest Buy LEQ21-LEZ21 Entry: 2021-07-13 Exit: 2021-08-09

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% 28 24.00 9999 650.00 4.46 672.00 -566.00 672.00 0.00 838.00 -188.00 3360.00 3360.00 0.00 40.00
10 100% 10 0 40% 28 37.25 9999 650.00 6.16 1043.00 -439.00 1043.00 0.00 1183.00 -192.00 10430.00 10430.00 0.00 100.00
15 87% 13 2 47% 28 30.50 23.47 650.00 4.18 854.00 -510.00 1029.23 -285.00 1046.00 -250.00 12810.00 13380.00 -570.00 250.00
20 75% 15 5 55% 28 22.14 5.13 650.00 3.04 620.00 -580.00 1026.67 -600.00 951.50 -313.00 12400.00 15400.00 -3000.00 250.00
30 67% 20 10 60% 28 16.37 3.71 650.00 2.50 458.33 -588.00 941.00 -507.00 815.67 -326.67 13750.00 18820.00 -5070.00 250.00
56 66% 37 19 59% 28 12.68 3.57 740.00 1.96 355.00 -556.43 746.76 -407.89 661.43 -337.86 19880.00 27630.00 -7750.00 740.00
Equity for backtest
Year Enter date Enter price Exit date Exit price Points Profit Days# Best Date Best Worst Date Worst Drawdown
2020 2020-07-13 -8.725 2020-08-07 -7.275 1.450 580.00 26 2020-07-16 760.00 2020-08-05 -250.00 -1010.00
2019 2019-07-15 -5.600 2019-08-09 -3.400 2.200 880.00 26 2019-08-09 880.00 2019-07-25 -40.00 -200.00
2018 2018-07-13 -6.850 2018-08-09 -4.725 2.125 850.00 28 2018-08-07 1020.00 - 0.00 -530.00
2017 2017-07-13 -0.800 2017-08-09 0.125 0.925 370.00 28 2017-07-26 450.00 2017-07-18 -650.00 -690.00
2016 2016-07-13 -0.700 2016-08-09 1.000 1.700 680.00 28 2016-08-05 1080.00 - 0.00 -400.00
2015 2015-07-13 -5.000 2015-08-07 -0.400 4.600 1840.00 26 2015-08-07 1840.00 2015-07-15 -100.00 -110.00
2014 2014-07-14 -4.450 2014-08-08 2.300 6.750 2700.00 26 2014-08-06 2840.00 - 0.00 -280.00
2013 2013-07-15 -6.375 2013-08-09 -6.300 0.075 30.00 26 2013-08-07 150.00 2013-07-31 -220.00 -220.00
2012 2012-07-13 -7.700 2012-08-09 -7.075 0.625 250.00 28 2012-08-08 560.00 2012-07-19 -570.00 -570.00
2011 2011-07-13 -10.800 2011-08-09 -5.175 5.625 2250.00 28 2011-08-09 2250.00 2011-07-14 -90.00 -380.00
2010 2010-07-13 -3.650 2010-08-09 -4.475 -0.825 -330.00 28 2010-07-19 250.00 2010-08-05 -560.00 -810.00
2009 2009-07-13 -5.450 2009-08-07 -4.825 0.625 250.00 26 2009-07-20 740.00 2009-08-06 -100.00 -840.00
2008 2008-07-14 -10.325 2008-08-08 -4.575 5.750 2300.00 26 2008-08-08 2300.00 2008-07-16 -250.00 -460.00
2007 2007-07-13 -6.225 2007-08-09 -6.825 -0.600 -240.00 28 2007-07-30 170.00 2007-07-20 -650.00 -650.00
2006 2006-07-13 -4.700 2006-08-09 -3.700 1.000 400.00 28 2006-08-09 400.00 2006-08-03 -270.00 -500.00
2005 2005-07-13 -5.400 2005-08-09 -3.700 1.700 680.00 28 2005-08-03 800.00 - 0.00 -240.00
2004 2004-07-13 -2.850 2004-08-09 -4.275 -1.425 -570.00 28 2004-07-22 220.00 2004-08-06 -650.00 -870.00
2003 2003-07-14 -3.675 2003-08-08 -0.325 3.350 1340.00 26 2003-08-05 2100.00 - 0.00 -760.00
2002 2002-07-15 -2.825 2002-08-09 -5.300 -2.475 -990.00 26 2002-07-22 10.00 2002-08-09 -990.00 -1000.00
2001 2001-07-13 -1.375 2001-08-09 -3.550 -2.175 -870.00 28 2001-07-23 210.00 2001-08-09 -870.00 -1080.00
2000 2000-07-13 -4.950 2000-08-09 -3.825 1.125 450.00 28 2000-08-08 500.00 - 0.00 -220.00
1999 1999-07-13 -1.575 1999-08-09 -1.800 -0.225 -90.00 28 1999-07-23 610.00 1999-08-03 -180.00 -790.00
1998 1998-07-13 -2.400 1998-08-07 -0.575 1.825 730.00 26 1998-08-07 730.00 1998-07-31 -10.00 -440.00
1997 1997-07-14 -5.200 1997-08-08 -5.575 -0.375 -150.00 26 1997-07-30 280.00 1997-08-07 -200.00 -480.00
1996 1996-07-15 1.225 1996-08-09 0.800 -0.425 -170.00 26 1996-07-16 210.00 1996-07-30 -940.00 -1150.00
1995 1995-07-13 -2.575 1995-08-09 -1.675 0.900 360.00 28 1995-08-07 620.00 1995-07-14 -190.00 -270.00
1994 1994-07-13 -2.575 1994-08-09 -0.725 1.850 740.00 28 1994-08-05 1130.00 1994-07-26 -20.00 -390.00
1993 1993-07-13 -2.175 1993-08-09 0.675 2.850 1140.00 28 1993-08-09 1140.00 1993-07-15 -70.00 -150.00
1992 1992-07-13 2.275 1992-08-07 1.950 -0.325 -130.00 26 1992-07-14 90.00 1992-07-28 -400.00 -490.00
1991 1991-07-15 -2.300 1991-08-09 -6.125 -3.825 -1530.00 26 1991-07-17 130.00 1991-08-09 -1530.00 -1660.00
1990 1990-07-13 -1.400 1990-08-09 1.650 3.050 1220.00 28 1990-08-09 1220.00 - 0.00 -140.00
1989 1989-07-13 -2.200 1989-08-09 -0.275 1.925 770.00 28 1989-08-09 770.00 - 0.00 -210.00
1988 1988-07-13 -4.850 1988-08-09 -3.800 1.050 420.00 28 1988-08-08 610.00 1988-07-15 -740.00 -740.00
1987 1987-07-13 -1.775 1987-08-07 -0.325 1.450 580.00 26 1987-07-21 750.00 - 0.00 -650.00
1986 1986-07-14 -1.525 1986-08-08 1.675 3.200 1280.00 26 1986-08-08 1280.00 - 0.00 -370.00
1985 1985-07-15 -3.875 1985-08-09 -4.400 -0.525 -210.00 26 1985-07-16 190.00 1985-07-23 -640.00 -830.00
1984 1984-07-13 0.500 1984-08-09 1.100 0.600 240.00 28 1984-07-31 510.00 1984-07-20 -520.00 -520.00
1983 1983-07-13 2.325 1983-08-09 1.950 -0.375 -150.00 28 1983-07-15 350.00 1983-07-28 -620.00 -970.00
1982 1982-07-13 1.975 1982-08-09 1.600 -0.375 -150.00 28 - 0.00 1982-07-29 -890.00 -890.00
1981 1981-07-13 2.325 1981-08-07 1.925 -0.400 -160.00 26 - 0.00 1981-07-22 -780.00 -780.00
1980 1980-07-14 1.225 1980-08-08 3.825 2.600 1040.00 26 1980-08-08 1040.00 1980-07-21 -20.00 -380.00
1979 1979-07-13 0.525 1979-08-09 -1.425 -1.950 -780.00 28 1979-07-18 310.00 1979-07-27 -790.00 -1100.00
1978 1978-07-13 -1.425 1978-08-09 0.500 1.925 770.00 28 1978-08-09 770.00 1978-07-14 -220.00 -320.00
1977 1977-07-13 0.675 1977-08-09 2.050 1.375 550.00 28 1977-08-05 700.00 1977-07-20 -150.00 -260.00
1976 1976-07-13 -5.600 1976-08-09 -5.775 -0.175 -70.00 28 1976-07-22 800.00 1976-08-06 -160.00 -960.00
1975 1975-07-14 6.325 1975-08-08 5.525 -0.800 -320.00 26 1975-07-18 250.00 1975-07-28 -980.00 -1230.00
1974 1974-07-15 -0.300 1974-08-09 0.800 1.100 440.00 26 1974-08-05 1100.00 1974-07-25 -410.00 -680.00
1973 1973-07-13 -0.025 1973-08-09 -1.700 -1.675 -670.00 28 - 0.00 1973-07-30 -1350.00 -1350.00
1972 1972-07-13 2.200 1972-08-09 2.400 0.200 80.00 28 1972-08-08 110.00 1972-07-21 -280.00 -290.00
1971 1971-07-13 1.200 1971-08-09 2.175 0.975 390.00 28 1971-08-03 470.00 - 0.00 -90.00
1970 1970-07-13 2.450 1970-08-07 2.025 -0.425 -170.00 26 - 0.00 1970-07-27 -230.00 -230.00
1969 1969-07-14 1.450 1969-08-08 2.500 1.050 420.00 26 1969-08-05 580.00 1969-07-17 -110.00 -190.00
1968 1968-07-15 0.750 1968-08-09 1.550 0.800 320.00 26 1968-08-08 320.00 - 0.00 -60.00
1967 1967-07-13 -0.675 1967-08-09 -0.525 0.150 60.00 28 1967-08-09 60.00 1967-07-17 -90.00 -90.00
1966 1966-07-13 -1.525 1966-08-09 -1.475 0.050 20.00 28 1966-08-02 140.00 1966-07-20 -80.00 -130.00
1965 1965-07-13 1.250 1965-08-09 1.775 0.525 210.00 28 1965-08-04 240.00 1965-07-14 -60.00 -60.00