Futures Spread Strategy For January, 2018 - Buy LHN18-LHM18

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Futures Spread Strategy For January, 2018 - Buy LHN18-LHM18

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
  • Current price at local support, good entry point
  • Narrow legs spread with expected lower volatility
  • 100% Win for last 15 years
  • Backtest BUY LHN18-LHM18 Entry: 2018-01-08 Exit: 2018-04-30

    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 0 100% 113 4.04 9999 1480.00 1.68 456.00 -762.00 456.00 0.00 710.00 -422.00 2280.00 2280.00 0.00 190.00
    10 100% 10 0 70% 113 5.20 9999 1480.00 2.61 588.00 -804.00 588.00 0.00 903.00 -346.00 5880.00 5880.00 0.00 760.00
    15 100% 15 0 60% 113 7.84 9999 1480.00 3.52 886.00 -712.00 886.00 0.00 1142.67 -324.67 13290.00 13290.00 0.00 780.00
    20 90% 18 2 60% 113 6.63 42.61 1480.00 2.73 749.00 -758.50 852.22 -180.00 1031.00 -377.00 14980.00 15340.00 -360.00 780.00
    30 70% 21 9 63% 113 3.86 4.06 1480.00 1.54 435.81 -802.21 826.38 -475.51 777.96 -503.69 13074.40 17354.00 -4279.60 780.00
    51 67% 34 17 73% 113 2.89 3.33 1480.00 1.61 326.30 -713.57 699.56 -420.24 691.32 -428.55 16641.20 23785.20 -7144.00 780.00
    Equity for backtest
    Year Enter date Enter price Exit date Exit price Points Profit Days# Best Date Best Worst Date Worst Drawdown
    2017 2017-01-09 -0.575 2017-04-28 1.225 1.800 720.00 110 2017-04-19 850.00 2017-01-17 -90.00 -480.00
    2016 2016-01-08 -0.225 2016-04-29 0.075 0.300 120.00 113 2016-04-26 500.00 2016-03-16 -350.00 -570.00
    2015 2015-01-08 -0.850 2015-04-30 1.100 1.950 780.00 113 2015-04-22 1110.00 2015-01-14 -190.00 -330.00
    2014 2014-01-08 -1.400 2014-04-30 -0.725 0.675 270.00 113 2014-02-11 510.00 2014-03-17 -1480.00 -1990.00
    2013 2013-01-08 -0.650 2013-04-30 0.325 0.975 390.00 113 2013-03-12 580.00 - 0.00 -440.00
    2012 2012-01-09 -0.225 2012-04-30 0.325 0.550 220.00 113 2012-04-24 640.00 2012-01-10 -240.00 -590.00
    2011 2011-01-10 -0.725 2011-04-29 1.175 1.900 760.00 110 2011-04-29 760.00 2011-01-31 -760.00 -830.00
    2010 2010-01-08 -1.725 2010-04-30 -0.100 1.625 650.00 113 2010-04-01 1110.00 2010-01-13 -180.00 -650.00
    2009 2009-01-08 0.125 2009-04-30 2.775 2.650 1060.00 113 2009-04-30 1060.00 2009-01-27 -170.00 -910.00
    2008 2008-01-08 -0.400 2008-04-30 1.875 2.275 910.00 114 2008-03-14 1910.00 - 0.00 -1250.00
    2007 2007-01-08 -1.575 2007-04-30 0.250 1.825 730.00 113 2007-04-05 1200.00 2007-01-26 -130.00 -590.00
    2006 2006-01-09 -2.800 2006-04-28 1.250 4.050 1620.00 110 2006-04-25 1650.00 2006-01-13 -130.00 -400.00
    2005 2005-01-10 -4.400 2005-04-29 1.300 5.700 2280.00 110 2005-04-29 2280.00 2005-01-12 -30.00 -430.00
    2004 2004-01-08 -2.500 2004-04-30 0.775 3.275 1310.00 114 2004-04-29 1510.00 2004-03-30 -780.00 -850.00
    2003 2003-01-08 -2.375 2003-04-30 1.300 3.675 1470.00 113 2003-04-30 1470.00 2003-01-14 -340.00 -370.00
    2002 2002-01-08 -3.025 2002-04-30 0.325 3.350 1340.00 113 2002-04-16 1490.00 2002-01-24 -390.00 -630.00
    2001 2001-01-08 -3.150 2001-04-30 -1.850 1.300 520.00 113 2001-02-08 590.00 2001-03-21 -460.00 -1050.00
    2000 2000-01-10 -1.550 2000-04-28 -2.400 -0.850 -340.00 110 2000-02-25 420.00 2000-04-24 -860.00 -1280.00
    1999 1999-01-08 1.275 1999-04-30 1.225 -0.050 -20.00 113 1999-04-15 570.00 1999-02-09 -560.00 -720.00
    1998 1998-01-08 -0.475 1998-04-30 0.000 0.475 190.00 113 1998-02-25 410.00 1998-04-14 -400.00 -810.00
    1997 1997-01-08 -2.725 1997-04-30 0.925 3.650 1460.00 113 1997-04-29 1490.00 1997-01-14 -70.00 -410.00
    1996 1996-01-08 -0.101 1996-04-30 -2.534 -2.433 -973.20 114 - 0.00 1996-04-10 -1621.60 -1621.60
    1995 1995-01-09 0.270 1995-04-28 0.642 0.372 148.80 110 1995-04-28 148.80 1995-02-28 -648.40 -648.40
    1994 1994-01-10 -0.574 1994-04-29 -0.845 -0.271 -108.40 110 - 0.00 1994-02-03 -364.80 -364.80
    1993 1993-01-08 -0.473 1993-04-30 -1.487 -1.014 -405.60 113 - 0.00 1993-03-26 -1148.80 -1148.80
    1992 1992-01-08 0.608 1992-04-30 -2.736 -3.344 -1337.60 114 1992-01-14 189.20 1992-04-15 -1378.00 -1567.20
    1991 1991-01-08 -0.270 1991-04-30 -1.182 -0.912 -364.80 113 1991-01-22 216.00 1991-04-22 -500.40 -716.40
    1990 1990-01-08 0.406 1990-04-30 -1.351 -1.757 -702.80 113 1990-01-26 134.80 1990-04-27 -865.20 -1000.00
    1989 1989-01-09 0.338 1989-04-28 1.351 1.013 405.20 110 1989-04-28 405.20 1989-03-01 -270.40 -594.80
    1988 1988-01-08 0.879 1988-04-29 0.811 -0.068 -27.20 113 1988-03-31 134.80 1988-03-18 -703.20 -824.40
    1987 1987-01-08 -0.068 1987-04-30 -3.683 -3.615 -1446.00 113 1987-02-12 243.20 1987-04-22 -1662.00 -1905.20
    1986 1986-01-08 0.676 1986-04-30 -0.270 -0.946 -378.40 113 1986-01-23 351.20 1986-04-22 -405.60 -756.80
    1985 1985-01-08 0.743 1985-04-30 3.952 3.209 1283.60 113 1985-04-29 1284.00 1985-02-13 -297.20 -446.00
    1984 1984-01-09 1.487 1984-04-30 4.189 2.702 1080.80 113 1984-04-30 1080.80 1984-01-16 -351.60 -419.20
    1983 1983-01-10 -0.169 1983-04-29 0.439 0.608 243.20 110 1983-04-19 594.80 1983-01-14 -216.00 -486.80
    1982 1982-01-08 1.115 1982-04-30 0.946 -0.169 -67.60 113 1982-03-29 256.80 1982-01-14 -202.80 -392.00
    1981 1981-01-08 1.723 1981-04-30 3.277 1.554 621.60 113 1981-04-20 1189.20 1981-03-16 -243.60 -635.60
    1980 1980-01-08 1.250 1980-04-30 1.790 0.540 216.00 114 1980-03-24 594.80 1980-01-09 -148.80 -689.60
    1979 1979-01-08 0.372 1979-04-30 0.271 -0.101 -40.40 113 1979-03-21 364.80 1979-02-21 -175.60 -459.60
    1978 1978-01-09 -0.033 1978-04-28 0.641 0.674 269.60 110 1978-04-27 486.40 1978-02-10 -203.20 -432.40
    1977 1977-01-10 0.878 1977-04-29 2.129 1.251 500.40 110 1977-04-04 1027.20 1977-01-20 -270.40 -526.80
    1976 1976-01-08 -0.102 1976-04-30 -0.304 -0.202 -80.80 114 1976-02-02 540.80 1976-04-14 -743.20 -1284.00
    1975 1975-01-08 1.284 1975-04-30 0.710 -0.574 -229.60 113 1975-01-16 283.60 1975-04-29 -270.40 -554.00
    1974 1974-01-08 0.338 1974-04-30 2.939 2.601 1040.40 113 1974-02-26 1337.60 1974-01-10 -13.60 -608.00
    1973 1973-01-08 -0.033 1973-04-30 0.777 0.810 324.00 113 1973-04-26 445.60 1973-03-05 -189.20 -472.40
    1972 1972-01-10 0.000 1972-04-28 0.440 0.440 176.00 110 1972-03-23 405.60 - 0.00 -324.40
    1971 1971-01-08 1.183 1971-04-30 2.196 1.013 405.20 113 1971-04-08 553.60 1971-01-29 -14.00 -148.80
    1970 1970-01-08 -0.305 1970-04-30 -0.304 0.001 0.40 113 1970-03-11 230.00 1970-03-30 -310.40 -540.40
    1969 1969-01-08 0.676 1969-04-30 0.000 -0.676 -270.40 113 1969-01-09 81.20 1969-04-07 -392.00 -473.20
    1968 1968-01-08 1.250 1968-04-30 0.372 -0.878 -351.20 114 1968-01-19 80.80 1968-03-15 -473.20 -554.00
    1967 1967-01-09 0.338 1967-04-28 1.013 0.675 270.00 110 1967-04-13 486.40 1967-01-10 -162.40 -216.40