Futures Spread Strategy For September, 2018 - Buy LHN19-LHM19

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Futures Spread Strategy For September, 2018 - Buy LHN19-LHM19

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
  • 100% Win for last 15 years
  • Backtest BUY LHN19-LHM19 Entry: 2018-09-21 Exit: 2019-02-25

    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% 158 3.27 9999 290.00 5.90 516.00 -606.00 516.00 0.00 814.00 -138.00 2580.00 2580.00 0.00 290.00
    10 100% 10 0 80% 158 3.18 9999 570.00 3.52 503.00 -672.00 503.00 0.00 779.00 -221.00 5030.00 5030.00 0.00 290.00
    15 100% 15 0 73% 158 3.43 9999 570.00 3.95 542.67 -646.67 542.67 0.00 814.00 -206.00 8140.00 8140.00 0.00 300.00
    20 90% 18 2 85% 158 2.33 7.93 760.00 2.26 367.50 -731.50 467.22 -530.00 713.00 -316.00 7350.00 8410.00 -1060.00 480.00
    30 73% 22 8 80% 158 1.40 3.07 760.00 1.86 221.84 -692.97 449.00 -402.85 606.84 -325.72 6655.20 9878.00 -3222.80 480.00
    48 75% 36 12 81% 158 1.61 4.35 811.20 1.97 254.08 -660.05 439.93 -303.47 594.11 -300.96 12196.00 15837.60 -3641.60 594.00
    Equity for backtest
    Year Enter date Enter price Exit date Exit price Points Profit Days# Best Date Best Worst Date Worst Drawdown
    2018 2017-09-21 0.000 2018-02-23 0.975 0.975 390.00 156 2018-02-15 450.00 2018-01-08 -170.00 -410.00
    2017 2016-09-21 -0.350 2017-02-24 0.075 0.425 170.00 157 2016-11-09 710.00 2017-01-17 -180.00 -890.00
    2016 2015-09-21 -0.850 2016-02-25 -0.475 0.375 150.00 158 2015-12-07 790.00 2015-09-29 -40.00 -730.00
    2015 2014-09-22 -2.525 2015-02-25 0.600 3.125 1250.00 157 2015-02-17 1390.00 2014-09-23 -10.00 -510.00
    2014 2013-09-23 -1.950 2014-02-25 -0.400 1.550 620.00 156 2014-02-11 730.00 2013-10-28 -290.00 -490.00
    2013 2012-09-21 -0.650 2013-02-25 -0.100 0.550 220.00 158 2012-11-05 420.00 2012-11-23 -50.00 -470.00
    2012 2011-09-21 -0.975 2012-02-24 0.025 1.000 400.00 157 2012-02-08 740.00 2011-10-07 -480.00 -540.00
    2011 2010-09-21 -1.925 2011-02-25 -0.675 1.250 500.00 158 2010-11-04 770.00 2011-01-31 -280.00 -1050.00
    2010 2009-09-21 -0.750 2010-02-25 -0.600 0.150 60.00 158 2009-10-09 520.00 2010-01-13 -570.00 -1090.00
    2009 2008-09-22 -1.425 2009-02-25 1.750 3.175 1270.00 157 2009-02-25 1270.00 2008-10-17 -140.00 -540.00
    2008 2007-09-21 -1.900 2008-02-25 0.900 2.800 1120.00 158 2008-02-08 1260.00 2007-09-24 -120.00 -610.00
    2007 2006-09-21 -2.500 2007-02-23 0.075 2.575 1030.00 156 2007-02-21 1050.00 2006-10-12 -60.00 -450.00
    2006 2005-09-21 -3.475 2006-02-24 -1.650 1.825 730.00 157 2006-02-16 830.00 2005-10-13 -300.00 -400.00
    2005 2004-09-21 -4.075 2005-02-25 -3.775 0.300 120.00 158 2005-02-07 520.00 2005-01-12 -160.00 -640.00
    2004 2003-09-22 -3.400 2004-02-25 -3.125 0.275 110.00 157 2003-12-09 760.00 2003-10-15 -240.00 -880.00
    2003 2002-09-23 -1.550 2003-02-25 -1.275 0.275 110.00 156 2003-02-25 110.00 2003-01-14 -670.00 -770.00
    2002 2001-09-21 -2.825 2002-02-25 -3.500 -0.675 -270.00 158 2001-11-20 670.00 2002-01-24 -470.00 -1140.00
    2001 2000-09-21 -0.875 2001-02-23 -2.850 -1.975 -790.00 156 - 0.00 2001-01-04 -950.00 -950.00
    2000 1999-09-21 -0.875 2000-02-25 -0.500 0.375 150.00 158 1999-09-29 150.00 1999-12-06 -380.00 -530.00
    1999 1998-09-21 0.925 1999-02-25 0.950 0.025 10.00 158 1998-12-23 1120.00 1998-10-14 -760.00 -1540.00
    1998 1997-09-22 -2.100 1998-02-25 0.550 2.650 1060.00 157 1998-02-25 1060.00 - 0.00 -310.00
    1997 1996-09-23 -2.450 1997-02-25 -1.800 0.650 260.00 156 1997-02-18 440.00 1996-12-26 -410.00 -660.00
    1996 1995-09-21 -0.845 1996-02-23 -1.993 -1.148 -459.20 156 1995-11-03 338.00 1996-02-08 -540.40 -878.40
    1995 1994-09-21 -0.101 1995-02-24 -0.676 -0.575 -230.00 157 1995-01-06 188.80 1995-01-23 -338.00 -526.80
    1994 1993-09-21 -1.283 1994-02-25 -0.980 0.303 121.20 158 1993-12-29 715.60 1993-10-06 -243.20 -796.80
    1993 1992-09-21 -0.135 1993-02-25 -1.994 -1.859 -743.60 158 1992-09-22 40.40 1993-02-23 -811.20 -851.60
    1992 1991-09-23 0.135 1992-02-25 0.202 0.067 26.80 156 1992-01-14 378.40 1991-11-15 -148.80 -391.60
    1991 1990-09-21 0.000 1991-02-25 -0.608 -0.608 -243.20 158 1990-11-01 324.40 1991-02-19 -270.40 -594.80
    1990 1989-09-21 0.473 1990-02-23 -0.642 -1.115 -446.00 156 1989-12-08 162.40 1990-02-23 -446.00 -608.40
    1989 1988-09-21 0.406 1989-02-24 0.304 -0.102 -40.80 157 1989-01-18 297.20 1989-02-23 -243.60 -540.80
    1988 1987-09-21 0.101 1988-02-25 -0.406 -0.507 -202.80 158 1987-12-28 730.00 1988-02-04 -324.00 -1054.00
    1987 1986-09-22 -0.574 1987-02-25 -0.439 0.135 54.00 157 1987-02-12 445.60 1986-11-03 -310.80 -554.00
    1986 1985-09-23 0.710 1986-02-25 0.642 -0.068 -27.20 156 1985-10-15 378.40 1985-12-31 -324.40 -702.80
    1985 1984-09-21 0.507 1985-02-25 1.148 0.641 256.40 158 1984-10-23 608.00 1985-02-13 -202.80 -810.80
    1984 1983-09-21 2.467 1984-02-24 2.568 0.101 40.40 157 1983-09-29 445.60 1983-12-30 -811.20 -1256.80
    1983 1982-09-21 -0.979 1983-02-25 0.338 1.317 526.80 158 1983-01-19 635.20 1982-09-22 -297.60 -540.80
    1982 1981-09-21 0.405 1982-02-25 1.419 1.014 405.60 158 1981-11-23 540.80 1981-10-12 -216.00 -459.60
    1981 1980-09-22 1.351 1981-02-25 2.500 1.149 459.60 157 1981-02-25 459.60 1980-10-22 -283.60 -432.40
    1980 1979-09-21 -0.034 1980-02-25 1.081 1.115 446.00 158 1979-10-30 784.00 - 0.00 -419.20
    1979 1978-09-21 0.540 1979-02-23 0.338 -0.202 -80.80 156 1978-12-13 216.40 1978-10-09 -270.00 -459.20
    1978 1977-09-21 0.405 1978-02-24 0.135 -0.270 -108.00 157 1977-12-06 189.60 1978-02-10 -378.40 -568.00
    1977 1976-09-21 0.405 1977-02-25 1.452 1.047 418.80 158 1976-11-24 622.00 1976-10-13 -134.80 -703.20
    1976 1975-09-22 -1.217 1976-02-25 0.743 1.960 784.00 157 1976-02-02 986.80 1975-10-02 -594.00 -770.40
    1975 1974-09-23 0.946 1975-02-25 1.385 0.439 175.60 156 1975-01-16 418.80 1974-12-16 -243.20 -540.40
    1974 1973-09-21 -0.405 1974-02-25 3.142 3.547 1418.80 158 1974-02-25 1418.80 1973-09-24 -0.00 -500.00
    1973 1972-09-21 -0.304 1973-02-23 -0.135 0.169 67.60 156 1973-01-24 391.60 1972-12-22 -108.40 -364.80
    1972 1971-09-21 0.101 1972-02-25 0.676 0.575 230.00 158 1971-12-27 230.00 1971-12-21 -94.40 -270.40
    1971 1970-09-21 0.067 1971-02-25 1.757 1.690 676.00 158 1970-12-24 810.80 1970-10-21 -80.80 -486.40