Futures Spread Strategy For March, 2019 - Buy NGZ19-NGN19

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Futures Spread Strategy For March, 2019 - Buy NGZ19-NGN19

This spread combines several conditions to create good trading opportunity.

  • 93% Win for last 15 years
  • All patterns has similar movement and correlation in seasonal window
  • Low margin requirements
  • Local support just reached

Backtest BUY NGZ19-NGN19 Entry: 2019-03-12 Exit: 2019-04-07

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% 27 10.74 9999 650.00 2.40 290.00 -394.00 290.00 0.00 476.00 -198.00 1450.00 1450.00 0.00 650.00
10 90% 9 1 40% 27 24.52 7.76 1100.00 2.61 662.00 -681.00 844.44 -980.00 949.00 -364.00 6620.00 7600.00 -980.00 570.00
15 93% 14 1 47% 27 35.41 15.63 1140.00 3.43 956.00 -948.67 1094.29 -980.00 1232.00 -359.33 14340.00 15320.00 -980.00 1140.00
20 80% 16 4 50% 27 22.72 4.49 1140.00 2.21 613.50 -1000.00 986.87 -880.00 1025.00 -464.50 12270.00 15790.00 -3520.00 1140.00
28 64% 18 10 61% 27 12.50 2.32 1140.00 1.54 337.50 -921.07 923.89 -718.00 792.14 -515.36 9450.00 16630.00 -7180.00 1140.00
Equity for backtest
Year Enter price Exit price Points Profit Drawdown
2018 0.165 0.199 0.034 340.00 -120.00
2017 0.177 0.188 0.011 110.00 -350.00
2016 0.543 0.581 0.038 380.00 -640.00
2015 0.286 0.332 0.046 460.00 -650.00
2014 0.127 0.143 0.016 160.00 -210.00
2013 0.309 0.211 -0.098 -980.00 -980.00
2012 0.648 0.842 0.194 1940.00 -210.00
2011 0.574 0.578 0.004 40.00 -1470.00
2010 0.911 1.045 0.134 1340.00 -1150.00
2009 1.259 1.542 0.283 2830.00 -1030.00
2008 0.681 0.724 0.043 430.00 -970.00
2007 1.512 1.630 0.118 1180.00 -930.00
2006 2.505 2.942 0.437 4370.00 -3970.00
2005 0.683 0.844 0.161 1610.00 -750.00
2004 0.307 0.320 0.013 130.00 -800.00
2003 0.135 0.138 0.003 30.00 -900.00
2002 0.571 0.465 -0.106 -1060.00 -1740.00
2001 0.209 0.253 0.044 440.00 -900.00
2000 0.258 0.193 -0.065 -650.00 -950.00
1999 0.466 0.383 -0.083 -830.00 -1280.00
1998 0.319 0.193 -0.126 -1260.00 -1270.00
1997 0.268 0.329 0.061 610.00 -360.00
1996 0.126 0.062 -0.064 -640.00 -640.00
1995 0.284 0.222 -0.062 -620.00 -970.00
1994 0.257 0.251 -0.006 -60.00 -600.00
1993 0.420 0.350 -0.070 -700.00 -930.00
1992 0.591 0.614 0.023 230.00 -480.00
1991 0.705 0.667 -0.038 -380.00 -540.00