Futures Spread Strategy For April, 2022 - Buy HEG23-HEZ22

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Futures Spread Strategy For April, 2022 - Buy HEG23-HEZ22

This spread combines several conditions to create good trading opportunity.

  • Low margin requirements
  • Long seasonal window - A lot of time for seasonality to kick in. Possibility to take profit earlier
  • Narrow legs spread with expected lower volatility
  • 93% Win for last 15 years
  • Pattern correlation over 88%

Backtest BUY HEG23-HEZ22 Entry: 2022-04-07 Exit: 2022-08-24

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% 140 10.74 9999 180.00 20.87 1504.00 -894.00 1504.00 0.00 1962.00 -94.00 7520.00 7520.00 0.00 110.00
10 100% 10 0 70% 140 9.53 9999 1470.00 5.92 1334.00 -926.00 1334.00 0.00 1705.00 -288.00 13340.00 13340.00 0.00 110.00
15 93% 14 1 67% 140 7.93 20.60 1470.00 4.61 1110.67 -1078.00 1250.71 -850.00 1598.67 -346.67 16660.00 17510.00 -850.00 1470.00
20 80% 16 4 70% 140 5.82 5.01 1470.00 2.80 814.50 -1150.00 1271.87 -1015.00 1403.50 -502.00 16290.00 20350.00 -4060.00 1470.00
30 67% 20 10 60% 140 3.55 3.57 1470.00 2.03 496.44 -1100.76 1034.50 -579.68 1094.40 -539.36 14893.20 20690.00 -5796.80 1470.00
51 63% 32 19 71% 140 2.42 2.29 1470.00 1.72 338.94 -1096.35 959.06 -705.47 989.29 -575.36 17286.00 30690.00 -13404.00 1470.00
Equity for backtest
Year Enter date Enter price Exit date Exit price Points Profit Days# Best Date Best Worst Date Worst Drawdown
2021 2021-04-07 0.875 2021-08-24 2.150 1.275 510.00 140 2021-07-08 1410.00 2021-05-26 -180.00 -1050.00
2020 2020-04-07 5.625 2020-08-24 6.275 0.650 260.00 140 2020-07-30 1450.00 2020-04-15 -110.00 -1190.00
2019 2019-04-08 -1.175 2019-08-23 7.575 8.750 3500.00 138 2019-08-23 3500.00 2019-04-10 -50.00 -860.00
2018 2018-04-09 3.875 2018-08-24 10.575 6.700 2680.00 138 2018-08-24 2680.00 2018-04-11 -110.00 -690.00
2017 2017-04-07 3.225 2017-08-24 4.650 1.425 570.00 140 2017-07-24 770.00 2017-07-05 -20.00 -680.00
2016 2016-04-07 2.675 2016-08-24 4.750 2.075 830.00 140 2016-08-04 970.00 2016-06-21 -160.00 -480.00
2015 2015-04-07 2.700 2015-08-24 4.750 2.050 820.00 140 2015-07-27 1500.00 2015-05-18 -360.00 -830.00
2014 2014-04-07 -3.575 2014-08-22 -0.625 2.950 1180.00 138 2014-08-12 1410.00 2014-06-27 -1470.00 -2300.00
2013 2013-04-08 2.150 2013-08-23 2.250 0.100 40.00 138 2013-04-22 410.00 2013-06-27 -410.00 -820.00
2012 2012-04-09 0.575 2012-08-24 7.950 7.375 2950.00 138 2012-08-24 2950.00 2012-04-18 -10.00 -360.00
2011 2011-04-07 -0.050 2011-08-24 3.000 3.050 1220.00 140 2011-08-24 1220.00 - 0.00 -1040.00
2010 2010-04-07 0.725 2010-08-24 2.425 1.700 680.00 140 2010-08-12 840.00 2010-05-12 -440.00 -490.00
2009 2009-04-07 2.875 2009-08-24 6.050 3.175 1270.00 140 2009-08-12 2410.00 - 0.00 -1140.00
2008 2008-04-07 3.750 2008-08-22 6.250 2.500 1000.00 138 2008-06-30 2100.00 - 0.00 -2000.00
2007 2007-04-09 3.275 2007-08-24 1.150 -2.125 -850.00 138 2007-04-12 360.00 2007-08-06 -1880.00 -2240.00
2006 2006-04-07 2.575 2006-08-24 -0.525 -3.100 -1240.00 140 2006-04-10 100.00 2006-08-21 -1240.00 -1340.00
2005 2005-04-07 -0.300 2005-08-24 1.400 1.700 680.00 140 2005-06-28 1470.00 2005-04-19 -40.00 -1120.00
2004 2004-04-07 2.550 2004-08-24 0.250 -2.300 -920.00 140 2004-05-28 300.00 2004-08-02 -2130.00 -2430.00
2003 2003-04-07 5.225 2003-08-22 2.600 -2.625 -1050.00 138 - 0.00 2003-07-11 -1240.00 -1240.00
2002 2002-04-08 2.450 2002-08-23 7.850 5.400 2160.00 138 2002-08-14 2220.00 2002-05-17 -190.00 -700.00
2001 2001-04-09 1.075 2001-08-24 1.125 0.050 20.00 138 2001-07-23 610.00 2001-06-25 -470.00 -930.00
2000 2000-04-07 0.650 2000-08-24 0.675 0.025 10.00 140 2000-07-20 280.00 2000-05-02 -390.00 -580.00
1999 1999-04-07 2.950 1999-08-24 3.125 0.175 70.00 140 1999-08-18 670.00 1999-06-18 -410.00 -650.00
1998 1998-04-07 3.875 1998-08-24 3.350 -0.525 -210.00 140 1998-07-31 230.00 1998-05-08 -950.00 -1000.00
1997 1997-04-07 -1.375 1997-08-22 -0.775 0.600 240.00 138 1997-05-23 350.00 1997-05-07 -260.00 -580.00
1996 1996-04-08 2.476 1996-08-23 1.666 -0.810 -324.00 138 1996-04-12 1446.00 1996-08-09 -1350.00 -2796.00
1995 1995-04-07 0.946 1995-08-24 0.540 -0.406 -162.40 140 1995-07-13 256.80 1995-08-01 -229.60 -486.40
1994 1994-04-07 0.439 1994-08-24 -0.101 -0.540 -216.00 140 1994-04-08 121.60 1994-07-08 -756.80 -878.40
1993 1993-04-07 0.068 1993-08-24 -0.338 -0.406 -162.40 140 1993-07-20 338.00 1993-08-06 -567.60 -905.60
1992 1992-04-07 1.351 1992-08-24 -0.304 -1.655 -662.00 140 1992-06-16 459.60 1992-08-13 -756.80 -1216.40
1991 1991-04-08 -0.979 1991-08-23 -0.709 0.270 108.00 138 1991-08-02 702.40 1991-08-20 -162.40 -864.80
1990 1990-04-09 -1.013 1990-08-24 -3.040 -2.027 -810.80 138 - 0.00 1990-07-02 -1189.60 -1189.60
1989 1989-04-07 1.250 1989-08-24 1.318 0.068 27.20 140 1989-07-07 608.00 1989-08-07 -135.20 -743.20
1988 1988-04-07 -0.406 1988-08-24 2.703 3.109 1243.60 140 1988-06-28 2838.00 1988-04-20 -108.00 -1838.00
1987 1987-04-07 -0.980 1987-08-24 -2.398 -1.418 -567.20 140 1987-04-29 283.60 1987-07-02 -770.40 -1054.00
1986 1986-04-07 2.635 1986-08-22 -3.344 -5.979 -2391.60 138 - 0.00 1986-07-16 -2702.40 -2702.40
1985 1985-04-08 1.418 1985-08-23 2.331 0.913 365.20 138 1985-06-26 513.60 1985-05-02 -432.00 -553.60
1984 1984-04-09 -2.128 1984-08-24 3.614 5.742 2296.80 138 1984-08-23 2310.40 1984-04-11 -40.80 -635.20
1983 1983-04-07 1.013 1983-08-24 5.033 4.020 1608.00 140 1983-08-16 2068.00 - 0.00 -945.60
1982 1982-04-07 -1.892 1982-08-24 -3.514 -1.622 -648.80 140 1982-07-07 40.40 1982-05-18 -1405.20 -1405.20
1981 1981-04-07 2.432 1981-08-24 0.236 -2.196 -878.40 140 1981-05-18 459.60 1981-08-21 -878.40 -1338.00
1980 1980-04-07 3.851 1980-08-22 2.466 -1.385 -554.00 138 1980-04-14 446.00 1980-08-22 -554.00 -1000.00
1979 1979-04-09 -0.405 1979-08-24 2.635 3.040 1216.00 138 1979-06-25 2080.80 1979-04-25 -473.20 -1229.60
1978 1978-04-07 -2.939 1978-08-24 -1.486 1.453 581.20 140 1978-07-17 973.20 1978-04-11 -122.00 -878.80
1977 1977-04-07 0.608 1977-08-24 -3.344 -3.952 -1580.80 140 1977-04-12 256.80 1977-08-23 -1729.60 -1986.40
1976 1976-04-07 -1.386 1976-08-24 -0.777 0.609 243.60 140 1976-07-14 851.60 - 0.00 -797.20
1975 1975-04-07 -0.338 1975-08-22 -0.574 -0.236 -94.40 138 1975-08-08 189.60 1975-06-23 -824.40 -864.80
1974 1974-04-08 1.149 1974-08-23 5.608 4.459 1783.60 138 1974-08-23 1783.60 1974-04-10 -392.00 -716.40
1973 1973-04-09 -0.202 1973-08-24 0.642 0.844 337.60 138 1973-07-05 688.80 1973-08-02 -459.60 -1148.40
1972 1972-04-07 -0.101 1972-08-24 -0.304 -0.203 -81.20 140 1972-08-08 81.20 1972-06-14 -540.40 -540.40
1971 1971-04-07 1.419 1971-08-24 1.892 0.473 189.20 140 1971-07-22 446.00 1971-05-20 -243.20 -459.60