Futures Spread Strategy For November, 2021 - Buy NGN22-NGM22

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Futures Spread Strategy For November, 2021 - Buy NGN22-NGM22

This spread combines several conditions to create good trading opportunity.

  • 100% Win for last 20 years
  • All patterns have similar movement and correlation in seasonal window with correlation over 90%
  • Low margin requirements
  • High RRR
  • Long seasonal window

Backtest Buy NGN22-NGM22 Entry: 2021-11-26 Exit: 2022-04-16

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% 142 3.66 9999 200.00 11.32 520.00 -346.00 520.00 0.00 634.00 -56.00 2600.00 2600.00 0.00 0.00
10 100% 10 0 40% 142 2.99 9999 200.00 9.62 424.00 -282.00 424.00 0.00 539.00 -56.00 4240.00 4240.00 0.00 80.00
15 100% 15 0 53% 142 2.95 9999 240.00 6.20 418.67 -312.67 418.67 0.00 525.33 -84.67 6280.00 6280.00 0.00 160.00
20 100% 20 0 50% 142 3.35 9999 1530.00 3.34 475.00 -396.50 475.00 0.00 579.00 -173.50 9500.00 9500.00 0.00 300.00
30 83% 25 5 57% 142 2.30 8.82 1530.00 2.09 326.00 -424.67 441.20 -250.00 478.33 -229.00 9780.00 11030.00 -1250.00 450.00
31 81% 25 6 61% 142 2.20 8.23 1530.00 2.01 312.58 -423.23 441.20 -223.33 465.16 -231.61 9690.00 11030.00 -1340.00 450.00
Equity for backtest
Year Enter price Exit price Points Profit Drawdown
2021 0.055 0.075 0.020 200.00 -410.00
2020 0.046 0.190 0.144 1440.00 -670.00
2019 0.022 0.064 0.042 420.00 -170.00
2018 0.032 0.043 0.011 110.00 -210.00
2017 0.026 0.069 0.043 430.00 -270.00
2016 0.048 0.108 0.060 600.00 -250.00
2015 0.024 0.058 0.034 340.00 -190.00
2014 0.033 0.040 0.007 70.00 -150.00
2013 0.040 0.042 0.002 20.00 -220.00
2012 0.053 0.114 0.061 610.00 -280.00
2011 0.053 0.074 0.021 210.00 -260.00
2010 0.092 0.118 0.026 260.00 -360.00
2009 0.110 0.159 0.049 490.00 -230.00
2008 0.085 0.107 0.022 220.00 -440.00
2007 0.083 0.169 0.086 860.00 -580.00
2006 0.045 0.230 0.185 1850.00 -600.00
2005 0.032 0.111 0.079 790.00 -280.00
2004 0.020 0.068 0.048 480.00 -300.00
2003 0.023 0.032 0.009 90.00 -1530.00
2002 0.037 0.038 0.001 10.00 -530.00
2001 -0.015 0.052 0.067 670.00 -300.00
2000 0.025 0.013 -0.012 -120.00 -280.00
1999 0.013 0.015 0.002 20.00 -360.00
1998 0.005 0.026 0.021 210.00 -300.00
1997 -0.005 0.029 0.034 340.00 -520.00
1996 0.008 -0.015 -0.023 -230.00 -1080.00
1995 0.004 0.033 0.029 290.00 -350.00
1994 0.003 -0.013 -0.016 -160.00 -600.00
1993 0.010 -0.035 -0.045 -450.00 -630.00
1992 0.010 -0.019 -0.029 -290.00 -390.00
1991 0.035 0.026 -0.009 -90.00 -380.00