Futures Spread Strategy For September, 2024 - Buy NGH25-NGF25

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Futures Spread Strategy For September, 2024 - Buy NGH25-NGF25

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 NGH25-NGF25 Entry: 2024-09-30 Exit: 2024-12-26

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% 88 25.43 9999 980.00 10.09 2238.00 -2302.00 2238.00 0.00 3250.00 -322.00 11190.00 11190.00 0.00 0.00
10 100% 10 0 50% 88 16.31 9999 3210.00 3.73 1435.00 -1906.00 1435.00 0.00 2206.00 -592.00 14350.00 14350.00 0.00 170.00
15 100% 15 0 47% 88 13.63 9999 3210.00 4.17 1199.33 -1452.67 1199.33 0.00 1823.33 -437.33 17990.00 17990.00 0.00 730.00
20 100% 20 0 50% 88 21.77 9999 3210.00 4.73 1915.50 -1437.00 1915.50 0.00 2452.00 -518.50 38310.00 38310.00 0.00 1900.00
30 87% 26 4 83% 88 8.63 1.76 3310.00 1.29 759.33 -2798.33 2026.92 -7480.00 2369.00 -1835.00 22780.00 52700.00 -29920.00 3310.00
34 88% 30 4 79% 88 10.71 2.07 3310.00 1.43 942.35 -2647.94 2065.33 -7480.00 2415.88 -1691.47 32040.00 61960.00 -29920.00 3310.00
Equity for backtest
Year Enter date Enter price Exit date Exit price Points Profit Days# Best Date Best Worst Date Worst Drawdown
2024 2023-10-02 -0.331 2023-12-26 -0.295 0.036 360.00 86 2023-12-14 1990.00 2023-10-06 -460.00 -1630.00
2023 2022-09-30 -1.219 2022-12-23 -0.660 0.559 5590.00 85 2022-12-20 7130.00 - 0.00 -6240.00
2022 2021-09-30 -0.556 2021-12-23 -0.217 0.339 3390.00 85 2021-12-13 4350.00 - 0.00 -1760.00
2021 2020-09-30 -0.168 2020-12-24 -0.020 0.148 1480.00 86 2020-12-07 1940.00 2020-10-30 -170.00 -800.00
2020 2019-09-30 -0.118 2019-12-26 -0.081 0.037 370.00 88 2019-12-24 840.00 2019-11-05 -980.00 -1080.00
2019 2018-10-01 -0.277 2018-12-26 -0.260 0.017 170.00 87 2018-12-20 740.00 2018-11-30 -3210.00 -3800.00
2018 2017-10-02 -0.041 2017-12-26 -0.012 0.029 290.00 86 2017-12-07 390.00 2017-10-04 -50.00 -430.00
2017 2016-09-30 -0.038 2016-12-23 -0.030 0.008 80.00 85 2016-11-17 910.00 2016-12-08 -260.00 -1170.00
2016 2015-09-30 -0.017 2015-12-24 0.114 0.131 1310.00 86 2015-12-17 2340.00 2015-10-15 -60.00 -1030.00
2015 2014-09-30 -0.097 2014-12-26 0.034 0.131 1310.00 88 2014-12-24 1430.00 2014-11-06 -730.00 -1120.00
2014 2013-09-30 -0.021 2013-12-26 0.008 0.029 290.00 88 2013-12-23 580.00 2013-12-12 -250.00 -530.00
2013 2012-10-01 -0.032 2012-12-26 0.048 0.080 800.00 87 2012-12-19 990.00 2012-10-19 -110.00 -320.00
2012 2011-09-30 -0.013 2011-12-23 0.070 0.083 830.00 85 2011-12-14 1000.00 2011-10-14 -140.00 -180.00
2011 2010-09-30 -0.035 2010-12-23 0.066 0.101 1010.00 85 2010-12-23 1010.00 2010-11-19 -110.00 -460.00
2010 2009-09-30 -0.028 2009-12-24 0.043 0.071 710.00 86 2009-11-23 1710.00 2009-10-20 -30.00 -1240.00
2009 2008-09-30 -0.090 2008-12-26 0.021 0.111 1110.00 88 2008-12-11 2000.00 - 0.00 -1170.00
2008 2007-10-01 -0.162 2007-12-26 0.155 0.317 3170.00 87 2007-12-18 3410.00 2007-11-01 -310.00 -680.00
2007 2006-10-02 -0.065 2006-12-26 0.305 0.370 3700.00 86 2006-12-26 3700.00 2006-10-20 -1000.00 -1000.00
2006 2005-09-30 -0.730 2005-12-23 0.134 0.864 8640.00 85 2005-12-23 8640.00 2005-10-04 -600.00 -1950.00
2005 2004-09-30 -0.305 2004-12-23 0.065 0.370 3700.00 85 2004-12-13 3940.00 2004-10-26 -1900.00 -2150.00
2004 2003-09-30 -0.155 2003-12-24 -0.277 -0.122 -1220.00 86 2003-11-26 1120.00 2003-12-08 -4160.00 -5280.00
2003 2002-09-30 -0.279 2002-12-26 -0.082 0.197 1970.00 88 2002-12-26 1970.00 2002-12-16 -950.00 -2840.00
2002 2001-10-01 -0.027 2001-12-26 0.006 0.033 330.00 87 2001-12-04 1900.00 2001-10-29 -480.00 -1890.00
2001 2000-10-02 -0.495 2000-12-26 -1.805 -1.310 -13100.00 86 2000-12-13 1850.00 2000-12-26 -13100.00 -14950.00
2000 1999-09-30 -0.305 1999-12-23 -0.011 0.294 2940.00 85 1999-12-09 3400.00 1999-10-19 -1000.00 -1550.00
1999 1998-09-30 -0.292 1998-12-24 0.002 0.294 2940.00 86 1998-12-10 3870.00 1998-10-02 -60.00 -1160.00
1998 1997-09-30 -0.590 1997-12-26 -0.033 0.557 5570.00 88 1997-12-26 5570.00 1997-10-27 -3310.00 -4110.00
1997 1996-09-30 -0.179 1996-12-24 -0.750 -0.571 -5710.00 86 1996-10-01 90.00 1996-12-16 -11540.00 -11630.00
1996 1995-10-02 -0.157 1995-12-21 -1.146 -0.989 -9890.00 81 1995-10-19 680.00 1995-12-21 -9890.00 -10570.00
1995 1994-09-30 -0.108 1994-12-22 -0.044 0.064 640.00 84 1994-11-30 1580.00 1994-10-28 -190.00 -1230.00
1994 1993-09-30 -0.260 1993-12-22 -0.163 0.097 970.00 84 1993-12-13 2290.00 1993-12-20 -130.00 -2420.00
1993 1992-09-30 -0.571 1992-12-22 -0.369 0.202 2020.00 84 1992-12-01 2320.00 1992-10-20 -510.00 -1240.00
1992 1991-09-30 -0.628 1991-12-20 -0.375 0.253 2530.00 82 1991-12-19 2720.00 1991-10-14 -740.00 -740.00
1991 1990-10-01 -0.820 1990-12-18 -0.446 0.374 3740.00 79 1990-12-18 3740.00 1990-10-09 -1080.00 -1680.00