Futures Spread Strategy For August, 2021 - Buy SWZ21-SWH22

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Futures Spread Strategy For August, 2021 - Buy SWZ21-SWH22

This spread combines several conditions to create good trading opportunity.

  • 93% Win in last 15 years
  • Strong seasonal pattern correlation in trading window
  • Strong support arroung -10

Backtest Buy SWZ21-SWH22 Entry: 2021-08-15 Exit: 2021-10-13

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 60% 60 4.43 9999 320.00 3.27 266.00 -220.00 266.00 0.00 356.00 -109.00 1330.00 1330.00 0.00 55.00
10 90% 9 1 60% 60 4.47 12.19 320.00 3.15 268.50 -281.50 325.00 -240.00 412.00 -131.00 2685.00 2925.00 -240.00 55.00
15 93% 14 1 53% 60 5.68 22.31 440.00 3.53 341.00 -312.67 382.50 -240.00 470.67 -133.33 5115.00 5355.00 -240.00 135.00
20 80% 16 4 50% 60 4.21 6.35 440.00 2.58 252.75 -324.75 375.00 -236.25 412.00 -159.75 5055.00 6000.00 -945.00 135.00
30 67% 20 10 60% 60 2.99 4.02 440.00 2.02 179.50 -310.33 358.50 -178.50 338.67 -167.33 5385.00 7170.00 -1785.00 440.00
31 68% 21 10 58% 60 3.03 4.16 440.00 2.05 181.77 -308.06 353.33 -178.50 335.81 -163.55 5635.00 7420.00 -1785.00 185.00
Equity for backtest
Year Enter date Enter price Exit date Exit price Points Profit Days# Best Date Best Worst Date Worst Drawdown
2020 2020-08-17 -1.8 2020-10-13 0.3 2.1 105.00 58 2020-09-28 125.00 2020-08-27 -145.00 -170.00
2019 2019-08-15 -10.8 2019-10-11 2.1 12.9 645.00 58 2019-10-09 735.00 - 0.00 -95.00
2018 2018-08-15 -4.1 2018-10-12 0.5 4.6 230.00 59 2018-09-05 340.00 2018-08-22 -25.00 -320.00
2017 2017-08-15 -9.3 2017-10-13 -3.1 6.2 310.00 60 2017-10-05 505.00 2017-09-13 -55.00 -195.00
2016 2016-08-15 -1.5 2016-10-13 -0.7 0.8 40.00 60 2016-09-16 75.00 2016-09-09 -320.00 -320.00
2015 2015-08-17 2.9 2015-10-13 -1.9 -4.8 -240.00 58 2015-10-05 105.00 2015-10-13 -240.00 -345.00
2014 2014-08-15 -19.8 2014-10-13 -9.2 10.6 530.00 60 2014-10-03 580.00 2014-09-10 -30.00 -170.00
2013 2013-08-15 4.1 2013-10-11 4.4 0.3 15.00 58 2013-09-10 145.00 2013-10-03 -305.00 -450.00
2012 2012-08-15 -5.9 2012-10-12 11.0 16.9 845.00 59 2012-10-09 1155.00 2012-08-16 -5.00 -310.00
2011 2011-08-15 10.2 2011-10-13 14.3 4.1 205.00 60 2011-10-04 355.00 2011-09-08 -185.00 -440.00
2010 2010-08-16 3.2 2010-10-13 13.3 10.1 505.00 59 2010-10-08 715.00 - 0.00 -515.00
2009 2009-08-17 -18.2 2009-10-13 -14.6 3.6 180.00 58 2009-10-13 180.00 2009-09-09 -440.00 -555.00
2008 2008-08-15 -16.0 2008-10-13 -8.3 7.7 385.00 60 2008-10-13 385.00 2008-08-19 -15.00 -250.00
2007 2007-08-15 -9.9 2007-10-12 -9.7 0.2 10.00 59 2007-09-19 235.00 2007-09-13 -100.00 -225.00
2006 2006-08-15 16.0 2006-10-13 43.0 27.0 1350.00 60 2006-10-12 1425.00 2006-08-17 -135.00 -330.00
2005 2005-08-15 -1.0 2005-10-13 -7.4 -6.4 -320.00 60 2005-08-31 250.00 2005-10-05 -390.00 -640.00
2004 2004-08-16 -9.5 2004-10-13 -14.0 -4.5 -225.00 59 2004-09-03 200.00 2004-10-08 -345.00 -545.00
2003 2003-08-15 -1.7 2003-10-13 -4.9 -3.2 -160.00 60 2003-09-02 35.00 2003-10-08 -175.00 -210.00
2002 2002-08-15 -2.5 2002-10-11 6.1 8.6 430.00 58 2002-10-01 475.00 2002-08-28 -100.00 -175.00
2001 2001-08-15 0.5 2001-10-12 4.8 4.3 215.00 59 2001-10-09 220.00 2001-09-13 -185.00 -235.00
2000 2000-08-15 3.7 2000-10-13 -1.4 -5.1 -255.00 60 2000-08-25 35.00 2000-10-13 -255.00 -290.00
1999 1999-08-16 -4.5 1999-10-13 -8.8 -4.3 -215.00 59 - 0.00 1999-09-14 -310.00 -310.00
1998 1998-08-17 -3.5 1998-10-13 -5.7 -2.2 -110.00 58 1998-10-06 25.00 1998-09-15 -140.00 -140.00
1997 1997-08-15 -2.7 1997-10-13 -6.7 -4.0 -200.00 60 1997-08-27 60.00 1997-09-30 -290.00 -350.00
1996 1996-08-15 4.4 1996-10-11 4.0 -0.4 -20.00 58 1996-08-27 160.00 1996-09-18 -275.00 -435.00
1995 1995-08-15 8.5 1995-10-13 24.7 16.2 810.00 60 1995-10-12 1085.00 1995-09-13 -50.00 -430.00
1994 1994-08-15 -0.3 1994-10-13 2.5 2.8 140.00 60 1994-10-13 140.00 1994-09-23 -55.00 -110.00
1993 1993-08-16 -1.6 1993-10-13 -1.0 0.6 30.00 59 1993-08-24 30.00 1993-09-03 -145.00 -175.00
1992 1992-08-17 -3.0 1992-10-13 0.8 3.8 190.00 58 1992-10-13 190.00 1992-08-20 -25.00 -100.00
1991 1991-08-15 1.6 1991-10-11 0.8 -0.8 -40.00 58 1991-09-16 195.00 1991-09-26 -280.00 -475.00
1990 1990-08-15 -2.0 1990-10-12 3.0 5.0 250.00 59 1990-10-12 250.00 1990-09-18 -50.00 -240.00