Futures Spread Strategy For November, 2024 - Buy HEV25-HEG25

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Futures Spread Strategy For November, 2024 - Buy HEV25-HEG25

This spread combines several conditions to create good trading opportunity.

  • Low margin requirements
  • The spread moves around -6 now and it is quite low compared to historical range +10 / -15. The bottom is usually around MID of November
  • The seasonal window has 93% Win for last 15 years, another kind of speculacation can be that spread will close at positive number

Backtest BUY HEV25-HEG25 Entry: 2024-11-25 Exit: 2024-12-11

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% 17 58.71 9999 910.00 3.41 998.00 -854.00 998.00 0.00 1226.00 -360.00 4990.00 4990.00 0.00 480.00
10 90% 9 1 80% 17 40.47 7.88 970.00 2.40 688.00 -913.00 875.56 -1000.00 1094.00 -455.00 6880.00 7880.00 -1000.00 910.00
15 93% 14 1 67% 17 46.59 12.88 970.00 3.22 792.00 -729.33 920.00 -1000.00 1065.33 -330.67 11880.00 12880.00 -1000.00 910.00
20 85% 17 3 80% 17 39.38 6.80 970.00 2.30 669.50 -755.50 923.53 -770.00 971.00 -423.00 13390.00 15700.00 -2310.00 910.00
30 77% 23 7 70% 17 31.64 4.34 970.00 1.76 537.95 -748.83 911.44 -689.26 860.56 -488.88 16138.40 20963.20 -4824.80 910.00
52 71% 37 15 63% 17 24.17 3.58 986.00 1.68 410.92 -658.88 801.44 -552.35 729.85 -434.58 21368.00 29653.20 -8285.20 910.00
Equity for backtest
Year Enter date Enter price Exit date Exit price Points Profit Days# Best Date Best Worst Date Worst Drawdown
2024 2023-11-27 12.750 2023-12-11 15.150 2.400 960.00 15 2023-12-11 960.00 2023-11-30 -910.00 -910.00
2023 2022-11-25 2.175 2022-12-09 5.875 3.700 1480.00 15 2022-12-09 1480.00 2022-12-05 -480.00 -1400.00
2022 2021-11-26 -0.850 2021-12-10 1.300 2.150 860.00 15 2021-12-08 1680.00 - 0.00 -820.00
2021 2020-11-25 1.625 2020-12-11 5.275 3.650 1460.00 17 2020-12-11 1460.00 2020-11-30 -360.00 -540.00
2020 2019-11-25 5.325 2019-12-11 5.900 0.575 230.00 17 2019-11-27 550.00 2019-12-05 -50.00 -600.00
2019 2018-11-26 3.350 2018-12-11 4.100 0.750 300.00 16 2018-12-11 300.00 2018-12-07 -970.00 -1000.00
2018 2017-11-27 -0.900 2017-12-11 1.900 2.800 1120.00 15 2017-12-11 1120.00 2017-11-28 -510.00 -540.00
2017 2016-11-25 6.750 2016-12-09 4.250 -2.500 -1000.00 15 2016-12-02 750.00 2016-12-09 -1000.00 -1750.00
2016 2015-11-25 6.400 2015-12-11 7.100 0.700 280.00 17 2015-12-07 1370.00 2015-11-27 -270.00 -1090.00
2015 2014-11-25 -8.425 2014-12-11 -5.450 2.975 1190.00 17 2014-12-09 1270.00 - 0.00 -480.00
2014 2013-11-25 -7.700 2013-12-11 -4.125 3.575 1430.00 17 2013-12-11 1430.00 2013-11-26 -380.00 -380.00
2013 2012-11-26 0.825 2012-12-11 3.225 2.400 960.00 16 2012-12-11 960.00 2012-11-28 -30.00 -200.00
2012 2011-11-25 -5.825 2011-12-09 -2.775 3.050 1220.00 15 2011-12-09 1220.00 - 0.00 -430.00
2011 2010-11-26 1.500 2010-12-10 3.250 1.750 700.00 15 2010-12-10 700.00 - 0.00 -390.00
2010 2009-11-25 0.525 2009-12-11 2.250 1.725 690.00 17 2009-12-10 730.00 - 0.00 -410.00
2009 2008-11-25 9.500 2008-12-11 6.375 -3.125 -1250.00 17 - 0.00 2008-12-05 -2040.00 -2040.00
2008 2007-11-26 5.025 2007-12-11 4.875 -0.150 -60.00 16 2007-12-07 150.00 2007-11-29 -990.00 -990.00
2007 2006-11-27 -0.375 2006-12-11 1.000 1.375 550.00 15 2006-12-04 940.00 - 0.00 -670.00
2006 2005-11-25 -9.300 2005-12-09 -6.650 2.650 1060.00 15 2005-12-07 1140.00 2005-11-28 -360.00 -360.00
2005 2004-11-26 -16.975 2004-12-10 -13.950 3.025 1210.00 15 2004-12-10 1210.00 2004-11-30 -110.00 -110.00
2004 2003-11-25 -1.075 2003-12-11 -2.475 -1.400 -560.00 17 - 0.00 2003-12-01 -1550.00 -1550.00
2003 2002-11-25 -0.950 2002-12-11 0.250 1.200 480.00 17 2002-12-10 740.00 2002-12-03 -480.00 -480.00
2002 2001-11-26 -0.350 2001-12-11 0.450 0.800 320.00 16 2001-12-10 560.00 2001-11-30 -480.00 -480.00
2001 2000-11-27 -6.125 2000-12-11 -7.375 -1.250 -500.00 15 2000-11-29 180.00 2000-12-06 -670.00 -850.00
2000 1999-11-26 -2.850 1999-12-10 0.600 3.450 1380.00 15 1999-12-10 1380.00 - 0.00 -340.00
1999 1998-11-25 16.125 1998-12-11 23.025 6.900 2760.00 17 1998-12-11 2760.00 1998-12-03 -290.00 -600.00
1998 1997-11-25 -2.650 1997-12-11 -2.975 -0.325 -130.00 17 1997-12-02 170.00 1997-12-11 -130.00 -300.00
1997 1996-11-25 -14.675 1996-12-11 -13.900 0.775 310.00 17 1996-12-11 310.00 1996-12-02 -890.00 -890.00
1996 1995-11-27 1.014 1995-12-11 -2.298 -3.312 -1324.80 15 1995-11-28 26.80 1995-12-07 -1581.20 -1608.00
1995 1994-11-25 5.879 1994-12-09 5.912 0.033 13.20 15 1994-12-01 270.00 1994-11-29 -135.20 -256.80
1994 1993-11-26 -0.405 1993-12-10 0.879 1.284 513.60 15 1993-12-09 621.60 - 0.00 -149.20
1993 1992-11-25 -3.682 1992-12-11 -3.784 -0.102 -40.80 17 1992-12-03 310.80 1992-12-11 -40.80 -351.60
1992 1991-11-25 -1.993 1991-12-11 -1.081 0.912 364.80 17 1991-12-10 581.20 1991-11-26 -54.00 -256.40
1991 1990-11-26 -6.756 1990-12-11 -6.520 0.236 94.40 16 1990-12-04 540.40 1990-11-27 -284.00 -527.20
1990 1989-11-27 -8.581 1989-12-11 -6.723 1.858 743.20 15 1989-12-08 1080.80 - 0.00 -337.60
1989 1988-11-25 -0.608 1988-12-09 -0.372 0.236 94.40 15 1988-12-06 446.00 - 0.00 -351.60
1988 1987-11-25 -6.825 1987-12-11 -4.493 2.332 932.80 17 1987-12-07 1000.40 1987-11-27 -13.20 -270.40
1987 1986-11-25 -13.919 1986-12-11 -13.986 -0.067 -26.80 17 1986-12-09 27.20 1986-12-10 -405.20 -432.40
1986 1985-11-25 -9.155 1985-12-11 -10.034 -0.879 -351.60 17 - 0.00 1985-12-05 -540.80 -540.80
1985 1984-11-26 -6.487 1984-12-11 -7.872 -1.385 -554.00 16 - 0.00 1984-11-30 -716.00 -716.00
1984 1983-11-28 6.453 1983-12-09 4.527 -1.926 -770.40 12 - 0.00 1983-12-08 -851.20 -851.20
1983 1982-11-26 -12.163 1982-12-10 -11.689 0.474 189.60 15 1982-12-08 581.60 1982-12-01 -986.00 -986.00
1982 1981-11-25 -0.608 1981-12-11 0.913 1.521 608.40 17 1981-12-11 608.40 1981-11-30 -500.00 -526.80
1981 1980-11-25 3.243 1980-12-11 5.879 2.636 1054.40 17 1980-12-09 1621.60 - 0.00 -567.20
1980 1979-11-26 -0.439 1979-12-11 -1.048 -0.609 -243.60 16 1979-11-29 324.40 1979-11-27 -351.20 -568.00
1979 1978-11-27 -9.662 1978-12-11 -6.419 3.243 1297.20 15 1978-12-11 1297.20 - 0.00 -432.40
1978 1977-11-25 -6.993 1977-12-09 -7.973 -0.980 -392.00 15 - 0.00 1977-12-05 -540.40 -540.40
1977 1976-11-26 0.777 1976-12-10 -1.926 -2.703 -1081.20 15 1976-11-29 26.80 1976-12-10 -1081.20 -1108.00
1976 1975-11-25 -14.324 1975-12-11 -14.088 0.236 94.40 17 1975-12-08 364.40 1975-12-03 -689.20 -1013.20
1975 1974-11-25 -0.405 1974-12-11 0.980 1.385 554.00 17 1974-12-11 554.00 1974-12-03 -459.60 -459.60
1974 1973-11-26 -6.047 1973-12-11 -1.385 4.662 1864.80 16 1973-12-11 1864.80 - 0.00 -392.00
1973 1972-11-27 -7.737 1972-12-11 -7.027 0.710 284.00 15 1972-12-11 284.00 1972-12-06 -418.80 -418.80