Futures Spread Strategy For August, 2020 - Buy LEZ20-LEV20

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Futures Spread Strategy For August, 2020 - Buy LEZ20-LEV20

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
  • Strong local support level to place stop loss
  • Narrow legs spread with expected lower volatility

Backtest Buy LEZ20-LEV20 Entry: 2020-08-13 Exit: 2020-09-02

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% 21 14.19 9999 120.00 5.89 298.00 -266.00 298.00 0.00 448.00 -76.00 1490.00 1490.00 0.00 100.00
10 100% 10 0 70% 21 14.00 9999 460.00 3.55 294.00 -285.00 294.00 0.00 447.00 -126.00 2940.00 2940.00 0.00 100.00
15 100% 15 0 60% 21 14.03 9999 460.00 3.48 294.67 -256.00 315.71 0.00 417.33 -120.00 4420.00 4420.00 0.00 100.00
20 95% 19 1 70% 21 12.00 5.34 460.00 2.62 252.00 -267.00 344.44 -580.00 404.50 -154.50 5040.00 6200.00 -1160.00 120.00
30 87% 26 4 80% 21 8.03 3.26 460.00 2.02 168.67 -301.67 292.00 -448.00 349.67 -173.00 5060.00 7300.00 -2240.00 460.00
55 71% 39 16 67% 21 4.91 2.07 460.00 1.47 103.09 -288.36 288.95 -312.35 278.91 -189.09 5670.00 10980.00 -5310.00 460.00
Equity for backtest
Year Enter date Enter price Exit date Exit price Points Profit Days# Best Date Best Worst Date Worst Drawdown
2019 2019-08-13 4.700 2019-08-30 4.750 0.050 20.00 18 2019-08-14 540.00 2019-08-29 -100.00 -640.00
2018 2018-08-13 3.850 2018-08-31 4.200 0.350 140.00 19 2018-08-24 260.00 2018-08-14 -60.00 -200.00
2017 2017-08-14 2.200 2017-09-01 4.325 2.125 850.00 19 2017-09-01 850.00 2017-08-18 -100.00 -190.00
2016 2016-08-15 1.150 2016-09-02 1.875 0.725 290.00 19 2016-08-29 320.00 2016-08-16 -120.00 -120.00
2015 2015-08-13 1.625 2015-09-02 2.100 0.475 190.00 21 2015-08-26 270.00 - 0.00 -180.00
2014 2014-08-13 2.200 2014-09-02 3.100 0.900 360.00 21 2014-08-19 410.00 - 0.00 -280.00
2013 2013-08-13 1.900 2013-08-30 3.675 1.775 710.00 18 2013-08-30 710.00 2013-08-15 -50.00 -50.00
2012 2012-08-13 2.575 2012-08-31 2.625 0.050 20.00 19 2012-08-27 480.00 2012-08-14 -210.00 -460.00
2011 2011-08-15 1.400 2011-09-02 1.675 0.275 110.00 19 2011-08-25 380.00 2011-08-16 -160.00 -270.00
2010 2010-08-13 2.250 2010-09-02 2.875 0.625 250.00 21 2010-09-02 250.00 2010-08-19 -460.00 -460.00
2009 2009-08-13 -0.300 2009-09-02 0.025 0.325 130.00 21 2009-08-28 280.00 2009-08-24 -110.00 -240.00
2008 2008-08-13 0.700 2008-09-02 2.350 1.650 660.00 21 2008-08-29 660.00 2008-08-14 -80.00 -90.00
2007 2007-08-13 3.125 2007-08-31 3.125 0.000 0.00 19 2007-08-16 70.00 2007-08-17 -290.00 -360.00
2006 2006-08-14 -1.500 2006-09-01 -0.200 1.300 520.00 19 2006-08-30 590.00 - 0.00 -140.00
2005 2005-08-15 2.875 2005-09-02 3.300 0.425 170.00 19 2005-09-01 190.00 2005-08-19 -60.00 -160.00
2004 2004-08-13 1.025 2004-09-02 3.500 2.475 990.00 21 2004-09-02 990.00 - 0.00 -100.00
2003 2003-08-13 0.950 2003-09-02 -1.950 -2.900 -1160.00 21 - 0.00 2003-09-02 -1160.00 -1160.00
2002 2002-08-13 1.975 2002-08-30 2.975 1.000 400.00 18 2002-08-30 400.00 2002-08-15 -20.00 -50.00
2001 2001-08-13 0.850 2001-08-31 1.450 0.600 240.00 19 2001-08-31 240.00 2001-08-15 -30.00 -90.00
2000 2000-08-14 1.575 2000-09-01 1.950 0.375 150.00 19 2000-08-29 200.00 2000-08-23 -80.00 -100.00
1999 1999-08-13 0.850 1999-09-02 0.900 0.050 20.00 21 1999-08-24 200.00 1999-08-30 -200.00 -400.00
1998 1998-08-13 1.475 1998-09-02 2.150 0.675 270.00 21 1998-08-21 320.00 - 0.00 -210.00
1997 1997-08-13 2.475 1997-09-02 1.850 -0.625 -250.00 21 - 0.00 1997-08-22 -410.00 -410.00
1996 1996-08-13 -3.000 1996-08-30 -4.175 -1.175 -470.00 18 1996-08-14 70.00 1996-08-23 -470.00 -540.00
1995 1995-08-14 1.000 1995-09-01 1.700 0.700 280.00 19 1995-08-29 660.00 1995-08-15 -30.00 -380.00
1994 1994-08-15 -2.000 1994-09-02 -1.950 0.050 20.00 19 1994-08-25 380.00 1994-09-01 -20.00 -400.00
1993 1993-08-13 0.750 1993-09-02 -0.150 -0.900 -360.00 21 1993-08-25 70.00 1993-09-02 -360.00 -430.00
1992 1992-08-13 -1.550 1992-09-02 -1.375 0.175 70.00 21 1992-09-01 160.00 1992-08-24 -100.00 -210.00
1991 1991-08-13 2.500 1991-08-30 3.350 0.850 340.00 18 1991-08-30 340.00 1991-08-22 -170.00 -190.00
1990 1990-08-13 -1.750 1990-08-31 -1.500 0.250 100.00 19 1990-08-15 200.00 1990-08-24 -340.00 -540.00
1989 1989-08-14 -1.250 1989-09-01 -0.150 1.100 440.00 19 1989-08-31 450.00 1989-08-17 -120.00 -120.00
1988 1988-08-15 1.950 1988-09-02 0.700 -1.250 -500.00 19 - 0.00 1988-08-30 -630.00 -630.00
1987 1987-08-13 2.000 1987-09-02 1.350 -0.650 -260.00 21 1987-08-20 90.00 1987-08-26 -480.00 -570.00
1986 1986-08-13 -2.000 1986-09-02 -2.600 -0.600 -240.00 21 1986-08-20 290.00 1986-09-02 -240.00 -530.00
1985 1985-08-13 1.450 1985-08-30 2.125 0.675 270.00 18 1985-08-28 470.00 1985-08-15 -30.00 -200.00
1984 1984-08-13 0.600 1984-08-31 1.275 0.675 270.00 19 1984-08-29 370.00 - 0.00 -210.00
1983 1983-08-15 1.075 1983-09-02 1.125 0.050 20.00 19 1983-09-02 20.00 1983-08-25 -290.00 -290.00
1982 1982-08-13 -0.625 1982-09-02 0.300 0.925 370.00 21 1982-09-02 370.00 1982-08-16 -130.00 -130.00
1981 1981-08-13 1.050 1981-09-02 0.225 -0.825 -330.00 21 1981-08-14 20.00 1981-08-31 -560.00 -580.00
1980 1980-08-13 -0.775 1980-09-02 1.250 2.025 810.00 21 1980-09-02 810.00 1980-08-19 -40.00 -110.00
1979 1979-08-13 2.500 1979-08-31 1.750 -0.750 -300.00 19 - 0.00 1979-08-21 -730.00 -730.00
1978 1978-08-14 1.850 1978-09-01 1.075 -0.775 -310.00 19 1978-08-16 40.00 1978-08-24 -320.00 -360.00
1977 1977-08-15 -0.900 1977-09-02 -1.125 -0.225 -90.00 19 1977-08-17 70.00 1977-08-25 -130.00 -200.00
1976 1976-08-13 1.550 1976-09-02 1.800 0.250 100.00 21 1976-08-23 140.00 1976-08-18 -130.00 -130.00
1975 1975-08-13 0.650 1975-09-02 -1.100 -1.750 -700.00 21 1975-08-18 60.00 1975-09-02 -700.00 -760.00
1974 1974-08-13 -1.675 1974-08-30 -1.350 0.325 130.00 18 1974-08-23 290.00 - 0.00 -230.00
1973 1973-08-13 0.425 1973-08-31 2.050 1.625 650.00 19 1973-08-31 650.00 - 0.00 -0.00
1972 1972-08-14 0.175 1972-09-01 1.000 0.825 330.00 19 1972-09-01 330.00 1972-08-16 -0.00 -140.00
1971 1971-08-13 -0.750 1971-09-02 -0.425 0.325 130.00 21 1971-09-02 130.00 - 0.00 -90.00
1970 1970-08-13 -0.425 1970-09-02 -0.125 0.300 120.00 21 1970-08-31 130.00 1970-08-14 -60.00 -60.00
1969 1969-08-13 -0.300 1969-09-02 -0.525 -0.225 -90.00 21 - 0.00 1969-08-25 -240.00 -240.00
1968 1968-08-13 -0.800 1968-08-30 -0.825 -0.025 -10.00 18 1968-08-19 10.00 1968-08-27 -90.00 -100.00
1967 1967-08-14 -0.050 1967-09-01 -0.275 -0.225 -90.00 19 1967-08-17 40.00 1967-08-31 -100.00 -140.00
1966 1966-08-15 0.900 1966-09-02 0.525 -0.375 -150.00 19 1966-08-18 30.00 1966-09-02 -150.00 -180.00
1965 1965-08-13 -0.600 1965-09-02 -0.500 0.100 40.00 21 1965-08-18 40.00 1965-08-24 -40.00 -80.00