Futures Spread Strategy For October, 2019 - Buy OJH20-OJN20

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Futures Spread Strategy For October, 2019 - Buy OJH20-OJN20

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.
  • Head & shoulders pattern
  • The spread is moves around historical low at the time of entry
  • BacktestBuy OJH20-OJN20 Entry: 2019-10-01 Exit: 2020-02-21

    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% 144 2.85 9999 450.00 2.73 411.00 -675.00 411.00 0.00 651.00 -238.50 2055.00 2055.00 0.00 450.00
    10 100% 10 0 50% 144 4.37 9999 450.00 5.93 629.25 -821.25 629.25 0.00 1103.25 -186.00 6292.50 6292.50 0.00 67.50
    15 93% 14 1 60% 144 4.03 17.84 450.00 4.82 581.00 -747.00 659.46 -517.50 1014.50 -210.50 8715.00 9232.50 -517.50 450.00
    20 85% 17 3 65% 144 3.26 7.31 450.00 3.78 468.75 -684.00 638.82 -495.00 855.38 -226.50 9375.00 10860.00 -1485.00 450.00
    30 70% 21 9 63% 144 2.61 4.23 727.50 2.53 376.00 -722.50 703.57 -388.33 776.25 -306.50 11280.00 14775.00 -3495.00 727.50
    52 54% 28 24 65% 144 1.23 2.10 892.50 1.47 177.69 -668.51 630.54 -350.63 545.48 -371.97 9240.00 17655.00 -8415.00 892.50
    Equity for backtest
    Year Enter date Enter price Exit date Exit price Points Profit Days# Best Date Best Worst Date Worst Drawdown
    2019 2018-10-01 -1.70 2019-02-21 -1.65 0.05 7.50 144 2018-10-24 187.50 2019-01-02 -210.00 -397.50
    2018 2017-10-02 -2.30 2018-02-21 0.45 2.75 412.50 143 2018-02-16 502.50 2017-12-27 -120.00 -547.50
    2017 2016-10-03 4.40 2017-02-21 8.45 4.05 607.50 142 2016-11-01 1222.50 2016-11-16 -450.00 -1672.50
    2016 2015-10-01 -4.05 2016-02-19 -0.15 3.90 585.00 142 2015-12-08 705.00 2015-10-02 -52.50 -360.00
    2015 2014-10-01 -2.80 2015-02-20 0.15 2.95 442.50 143 2015-01-21 637.50 2014-10-22 -360.00 -397.50
    2014 2013-10-01 -4.00 2014-02-21 -0.10 3.90 585.00 144 2014-02-21 585.00 2013-10-11 -180.00 -300.00
    2013 2012-10-01 -3.45 2013-02-21 -0.70 2.75 412.50 144 2012-12-18 510.00 2012-11-13 -330.00 -585.00
    2012 2011-10-03 -0.40 2012-02-21 9.60 10.00 1500.00 142 2012-01-24 4642.50 2011-10-07 -67.50 -3217.50
    2011 2010-10-01 -2.85 2011-02-18 8.40 11.25 1687.50 141 2011-02-18 1687.50 2010-10-04 -22.50 -337.50
    2010 2009-10-01 -6.65 2010-02-19 -6.30 0.35 52.50 142 2009-12-21 352.50 2009-12-16 -67.50 -397.50
    2009 2008-10-01 -7.25 2009-02-20 -3.10 4.15 622.50 143 2009-02-20 622.50 2008-12-08 -165.00 -240.00
    2008 2007-10-01 -1.00 2008-02-21 -4.45 -3.45 -517.50 144 2007-10-16 375.00 2008-02-15 -697.50 -1072.50
    2007 2006-10-02 0.00 2007-02-21 10.60 10.60 1590.00 143 2007-02-20 1597.50 2006-10-11 -75.00 -817.50
    2006 2005-10-03 -3.50 2006-02-21 0.70 4.20 630.00 142 2006-02-10 1192.50 2005-10-12 -217.50 -562.50
    2005 2004-10-01 -4.50 2005-02-18 -3.85 0.65 97.50 141 2004-12-16 397.50 2004-10-21 -142.50 -300.00
    2004 2003-10-01 -3.70 2004-02-20 -5.70 -2.00 -300.00 143 2003-10-09 75.00 2004-01-15 -322.50 -397.50
    2003 2002-10-01 -2.75 2003-02-21 -2.20 0.55 82.50 144 2002-10-24 270.00 2002-12-30 -285.00 -555.00
    2002 2001-10-01 -5.25 2002-02-21 1.20 6.45 967.50 144 2002-02-21 967.50 - 0.00 -495.00
    2001 2000-10-02 -3.70 2001-02-21 -8.15 -4.45 -667.50 143 - 0.00 2001-02-15 -675.00 -675.00
    2000 1999-10-01 -1.00 2000-02-18 2.85 3.85 577.50 141 2000-02-18 577.50 1999-10-11 -90.00 -352.50
    1999 1998-10-01 -5.50 1999-02-19 4.20 9.70 1455.00 142 1999-02-19 1455.00 1998-10-02 -112.50 -997.50
    1998 1997-10-01 -5.25 1998-02-20 -6.20 -0.95 -142.50 143 1998-01-15 330.00 1997-12-30 -225.00 -502.50
    1997 1996-10-01 -4.00 1997-02-21 -5.80 -1.80 -270.00 144 1997-01-27 480.00 1996-12-31 -570.00 -907.50
    1996 1995-10-02 -4.25 1996-02-21 -0.25 4.00 600.00 143 1996-02-01 870.00 1995-12-15 -322.50 -840.00
    1995 1994-10-03 -6.70 1995-02-21 -7.85 -1.15 -172.50 142 1994-11-18 217.50 1995-01-09 -292.50 -510.00
    1994 1993-10-01 -2.30 1994-02-18 -5.65 -3.35 -502.50 141 1993-10-04 90.00 1994-02-16 -652.50 -742.50
    1993 1992-10-01 -1.10 1993-02-19 -6.70 -5.60 -840.00 142 1992-11-12 225.00 1993-02-05 -922.50 -1147.50
    1992 1991-10-01 -1.00 1992-02-21 5.15 6.15 922.50 144 1992-02-21 922.50 1991-12-31 -75.00 -622.50
    1991 1990-10-01 0.40 1991-02-21 -0.15 -0.55 -82.50 144 1991-02-11 90.00 1990-12-28 -765.00 -787.50
    1990 1989-10-02 0.50 1990-02-21 6.75 6.25 937.50 143 1990-02-13 1500.00 1990-01-24 -727.50 -937.50
    1989 1988-10-03 3.40 1989-02-21 2.00 -1.40 -210.00 142 1989-01-19 75.00 1988-12-08 -712.50 -765.00
    1988 1987-10-01 -0.05 1988-02-19 8.60 8.65 1297.50 142 1988-02-18 1500.00 1987-12-31 -352.50 -720.00
    1987 1986-10-01 -1.50 1987-02-20 -2.60 -1.10 -165.00 143 1986-11-13 322.50 1987-02-06 -225.00 -547.50
    1986 1985-10-01 1.50 1986-02-21 -0.75 -2.25 -337.50 144 1985-10-22 165.00 1986-01-08 -825.00 -990.00
    1985 1984-10-01 0.80 1985-02-21 -1.95 -2.75 -412.50 144 1984-11-30 60.00 1985-02-14 -772.50 -832.50
    1984 1983-10-03 0.95 1984-02-21 3.20 2.25 337.50 142 1984-02-21 337.50 1984-01-09 -892.50 -1110.00
    1983 1982-10-01 -2.15 1983-02-18 -1.00 1.15 172.50 141 1983-02-17 285.00 1982-10-20 -105.00 -165.00
    1982 1981-10-01 -4.25 1982-02-19 -5.90 -1.65 -247.50 142 1981-12-18 382.50 1982-01-29 -367.50 -750.00
    1981 1980-10-01 -1.00 1981-02-20 -9.45 -8.45 -1267.50 143 1980-10-09 30.00 1981-02-12 -1365.00 -1395.00
    1980 1979-10-01 -1.00 1980-02-21 -1.45 -0.45 -67.50 144 1979-10-05 45.00 1979-10-26 -495.00 -540.00
    1979 1978-10-02 1.00 1979-02-21 -1.85 -2.85 -427.50 143 1978-10-23 157.50 1979-01-18 -915.00 -1072.50
    1978 1977-10-03 1.40 1978-02-21 4.70 3.30 495.00 142 1978-02-17 495.00 1978-01-05 -375.00 -555.00
    1977 1976-10-01 -2.55 1977-02-18 -0.85 1.70 255.00 141 1977-02-01 307.50 1976-10-14 -157.50 -240.00
    1976 1975-10-01 -1.00 1976-02-20 -3.55 -2.55 -382.50 143 - 0.00 1976-01-19 -465.00 -465.00
    1975 1974-10-01 -1.50 1975-02-21 -2.95 -1.45 -217.50 144 1974-10-03 7.50 1974-12-23 -367.50 -375.00
    1974 1973-10-01 -0.70 1974-02-21 -3.40 -2.70 -405.00 144 1973-10-16 37.50 1974-02-21 -405.00 -442.50
    1973 1972-10-02 -1.05 1973-02-21 -1.30 -0.25 -37.50 143 1972-12-29 105.00 1972-12-01 -112.50 -217.50
    1972 1971-10-01 0.60 1972-02-18 0.00 -0.60 -90.00 141 1971-11-22 67.50 1972-01-19 -195.00 -262.50
    1971 1970-10-01 -1.25 1971-02-19 -0.30 0.95 142.50 142 1971-02-19 142.50 1970-12-08 -112.50 -157.50
    1970 1969-10-01 -0.95 1970-02-20 -2.85 -1.90 -285.00 143 1970-01-08 105.00 1970-02-17 -322.50 -427.50
    1969 1968-10-01 -0.90 1969-02-20 0.30 1.20 180.00 143 1968-10-24 285.00 1968-12-10 -240.00 -525.00
    1968 1967-10-02 -1.30 1968-02-21 -3.75 -2.45 -367.50 143 1967-11-03 165.00 1968-02-21 -367.50 -532.50