Futures Spread Strategy For June, 2016 - Buy NGJ17-NGZ16

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Futures Spread Strategy For June, 2016 - Buy NGJ17-NGZ16

This spread combines several conditions to create good trading opportunity.

  • 100% Win for last 20 years
  • Seasonal patterns correlation - All patterns up to 20 years have similar movement and correlation, more than 90% in seasonal window
  • RRR over 7%
  • Possible to entry at support and use a small stop-loss

Backtest Buy NGJ17-NGZ16 Entry: 2016-06-17 Exit: 2016-07-19

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 40% 19 32.32 9999 510.00 3.18 614.00 -296.00 614.00 0.00 668.00 -210.00 3070.00 3070.00 0.00 510.00
10 100% 10 0 30% 19 96.21 9999 510.00 17.57 1828.00 -484.00 1828.00 0.00 1862.00 -106.00 18280.00 18280.00 0.00 0.00
15 100% 15 0 47% 19 99.89 9999 510.00 24.04 1898.00 -622.00 1898.00 0.00 2051.33 -85.33 28470.00 28470.00 0.00 50.00
20 100% 20 0 40% 19 81.71 9999 820.00 11.73 1552.50 -581.00 1552.50 0.00 1683.00 -143.50 31050.00 31050.00 0.00 510.00
26 92% 24 2 42% 19 65.06 33.14 820.00 7.80 1236.15 -530.00 1380.83 -500.00 1388.85 -178.08 32140.00 33140.00 -1000.00 510.00
Equity for backtest
Year Enter date Enter price Exit date Exit price Points Profit Days# Best Date Best Worst Date Worst Drawdown
2015 2015-06-23 -0.074 2015-07-10 -0.067 0.007 70.00 18 2015-07-08 140.00 2015-06-25 -240.00 -240.00
2014 2014-06-23 -0.454 2014-07-11 -0.287 0.167 1670.00 19 2014-07-10 1720.00 2014-06-25 -510.00 -510.00
2013 2013-06-24 -0.071 2013-07-11 -0.027 0.044 440.00 18 2013-06-28 510.00 - 0.00 -370.00
2012 2012-06-25 0.099 2012-07-11 0.115 0.016 160.00 17 2012-07-10 200.00 2012-07-05 -230.00 -290.00
2011 2011-06-23 -0.087 2011-07-11 -0.014 0.073 730.00 19 2011-07-07 770.00 2011-06-27 -70.00 -70.00
2010 2010-06-23 -0.263 2010-07-09 -0.126 0.137 1370.00 17 2010-07-09 1370.00 2010-06-25 -10.00 -810.00
2009 2009-06-23 0.145 2009-07-10 0.228 0.083 830.00 18 2009-07-08 900.00 - 0.00 -130.00
2008 2008-06-23 -2.425 2008-07-11 -1.699 0.726 7260.00 19 2008-07-11 7260.00 - 0.00 -1200.00
2007 2007-06-25 -0.790 2007-07-11 -0.551 0.239 2390.00 17 2007-07-11 2390.00 - 0.00 -720.00
2006 2006-06-23 -1.371 2006-07-11 -1.035 0.336 3360.00 19 2006-07-11 3360.00 - 0.00 -500.00
2005 2005-06-23 -0.855 2005-07-11 -0.810 0.045 450.00 19 2005-06-30 2350.00 - 0.00 -2050.00
2004 2004-06-23 -0.850 2004-07-09 -0.657 0.193 1930.00 17 2004-07-09 1930.00 2004-06-24 -50.00 -1140.00
2003 2003-06-23 -1.057 2003-07-11 -0.683 0.374 3740.00 19 2003-07-11 3740.00 - 0.00 -910.00
2002 2002-06-24 -0.160 2002-07-11 -0.010 0.150 1500.00 18 2002-07-11 1500.00 2002-06-25 -170.00 -170.00
2001 2001-06-25 -0.625 2001-07-11 -0.368 0.257 2570.00 17 2001-07-06 2630.00 - 0.00 -220.00
2000 2000-06-23 -0.798 2000-07-11 -0.680 0.118 1180.00 19 2000-07-11 1180.00 2000-06-27 -820.00 -820.00
1999 1999-06-23 -0.318 1999-07-09 -0.275 0.043 430.00 17 1999-07-07 520.00 1999-06-30 -380.00 -380.00
1998 1998-06-23 -0.390 1998-07-10 -0.375 0.015 150.00 18 1998-06-24 210.00 1998-06-30 -270.00 -480.00
1997 1997-06-23 -0.325 1997-07-11 -0.273 0.052 520.00 19 1997-07-02 550.00 - 0.00 -60.00
1996 1996-06-24 -0.515 1996-07-11 -0.485 0.030 300.00 18 1996-07-01 430.00 1996-07-10 -120.00 -550.00
1995 1995-06-23 -0.105 1995-07-11 -0.093 0.012 120.00 19 1995-07-06 200.00 - 0.00 -120.00
1994 1994-06-23 -0.212 1994-07-11 -0.195 0.017 170.00 19 1994-07-11 170.00 1994-06-30 -210.00 -210.00
1993 1993-06-23 -0.415 1993-07-09 -0.377 0.038 380.00 17 1993-07-02 450.00 - 0.00 -70.00
1992 1992-06-23 -0.556 1992-07-10 -0.584 -0.028 -280.00 18 - 0.00 1992-07-08 -390.00 -390.00
1991 1991-06-24 -0.449 1991-07-11 -0.521 -0.072 -720.00 18 - 0.00 1991-07-08 -1160.00 -1160.00
1990 1990-06-25 -0.552 1990-07-11 -0.410 0.142 1420.00 17 1990-07-09 1630.00 - 0.00 -210.00