Futures Spread Strategy For April, 2023 - Buy ZSX23-ZSU23

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Futures Spread Strategy For April, 2023 - Buy ZSX23-ZSU23

This spread combines several conditions to create good trading opportunity.

  • 95% Win for last 20 years
  • Intra-crop spread
  • Strong in trade correlation
  • Low margin requirements
  • High RRR
  • The spread is moving around historic lows and also it looks like that local resistance has been broken and we have role reversal pattern now
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% 52 14.86 9999 362.50 8.35 772.50 -332.50 772.50 0.00 835.00 -100.00 3862.50 3862.50 0.00 362.50
10 100% 10 0 40% 52 12.45 9999 1400.00 2.85 647.50 -441.25 647.50 0.00 705.00 -247.50 6475.00 6475.00 0.00 362.50
15 93% 14 1 40% 52 12.45 26.90 1400.00 3.31 647.50 -485.83 720.54 -375.00 795.00 -240.00 9712.50 10087.50 -375.00 362.50
20 95% 19 1 35% 52 12.03 34.37 1400.00 3.82 625.62 -435.62 678.29 -375.00 781.25 -204.38 12512.50 12887.50 -375.00 362.50
30 77% 23 7 37% 52 8.98 10.34 1400.00 3.20 467.08 -384.58 674.46 -214.29 626.25 -195.83 14012.50 15512.50 -1500.00 362.50
72 69% 50 22 46% 52 3.62 2.40 1400.00 1.28 188.01 -454.35 483.32 -402.62 400.16 -313.74 13536.50 23199.50 -9663.00 1025.00
Equity for backtest
Year Enter date Enter price Exit date Exit price Points Profit Days# Best Date Best Worst Date Worst Drawdown
2022 2022-05-02 -38.00 2022-06-17 -16.75 21.25 1062.50 47 2022-06-10 1100.00 2022-05-20 -362.50 -775.00
2021 2021-04-30 -41.50 2021-06-18 -4.25 37.25 1862.50 50 2021-06-18 1862.50 2021-05-14 -125.00 -562.50
2020 2020-04-30 3.00 2020-06-19 5.50 2.50 125.00 51 2020-06-09 262.50 - 0.00 -162.50
2019 2019-04-30 9.50 2019-06-20 13.00 3.50 175.00 52 2019-06-11 212.50 - 0.00 -50.00
2018 2018-04-30 -2.50 2018-06-20 10.25 12.75 637.50 52 2018-06-15 737.50 2018-05-03 -12.50 -112.50
2017 2017-05-01 -2.50 2017-06-20 5.50 8.00 400.00 51 2017-06-20 400.00 2017-05-16 -37.50 -112.50
2016 2016-05-02 -11.25 2016-06-20 -3.50 7.75 387.50 50 2016-06-17 387.50 2016-06-02 -475.00 -812.50
2015 2015-04-30 -6.50 2015-06-19 -2.25 4.25 212.50 51 2015-06-03 325.00 2015-05-05 -62.50 -175.00
2014 2014-04-30 -63.50 2014-06-20 -32.00 31.50 1575.00 52 2014-06-17 1575.00 - 0.00 -225.00
2013 2013-04-30 -41.25 2013-06-20 -40.50 0.75 37.50 52 2013-06-10 187.50 2013-05-20 -1400.00 -1425.00
2012 2012-04-30 -43.50 2012-06-20 -14.75 28.75 1437.50 52 2012-06-18 1612.50 - 0.00 -650.00
2011 2011-05-02 -7.25 2011-06-20 2.00 9.25 462.50 50 2011-06-15 562.50 2011-05-19 -175.00 -362.50
2010 2010-04-30 -8.00 2010-06-18 -7.25 0.75 37.50 50 2010-06-11 325.00 2010-05-20 -50.00 -287.50
2009 2009-04-30 -37.00 2009-06-19 -44.50 -7.50 -375.00 51 2009-06-03 250.00 2009-05-19 -900.00 -900.00
2008 2008-04-30 -40.00 2008-06-20 -6.50 33.50 1675.00 52 2008-05-21 2125.00 - 0.00 -675.00
2007 2007-04-30 14.75 2007-06-20 17.50 2.75 137.50 52 2007-06-11 187.50 2007-05-03 -50.00 -150.00
2006 2006-05-01 9.50 2006-06-20 12.75 3.25 162.50 51 2006-06-09 325.00 2006-05-12 -37.50 -162.50
2005 2005-05-02 -0.50 2005-06-20 7.50 8.00 400.00 50 2005-06-15 612.50 2005-05-04 -112.50 -212.50
2004 2004-04-30 -71.75 2004-06-18 -32.50 39.25 1962.50 50 2004-06-10 2175.00 - 0.00 -487.50
2003 2003-04-30 -32.75 2003-06-20 -30.00 2.75 137.50 52 2003-06-11 400.00 2003-05-14 -287.50 -412.50
2002 2002-04-30 -0.25 2002-06-20 -6.50 -6.25 -312.50 52 2002-05-09 50.00 2002-06-04 -425.00 -475.00
2001 2001-04-30 3.50 2001-06-20 -3.50 -7.00 -350.00 52 2001-05-16 12.50 2001-06-19 -350.00 -362.50
2000 2000-05-01 6.75 2000-06-20 3.25 -3.50 -175.00 51 2000-05-12 62.50 2000-06-14 -237.50 -300.00
1999 1999-04-30 8.50 1999-06-18 5.25 -3.25 -162.50 50 1999-05-04 37.50 1999-06-16 -175.00 -212.50
1998 1998-04-30 -6.50 1998-06-19 -6.00 0.50 25.00 51 1998-06-08 125.00 1998-05-04 -62.50 -162.50
1997 1997-04-30 -70.25 1997-06-20 -31.00 39.25 1962.50 52 1997-06-18 2012.50 - 0.00 -500.00
1996 1996-04-30 -9.25 1996-06-20 -9.50 -0.25 -12.50 52 1996-05-29 137.50 1996-05-09 -212.50 -337.50
1995 1995-05-01 7.00 1995-06-20 8.50 1.50 75.00 51 1995-06-02 125.00 1995-05-22 -25.00 -125.00
1994 1994-05-02 -16.75 1994-06-20 -5.50 11.25 562.50 50 1994-06-17 562.50 1994-05-11 -162.50 -175.00
1993 1993-04-30 2.75 1993-06-18 0.50 -2.25 -112.50 50 1993-05-07 37.50 1993-06-03 -137.50 -175.00
1992 1992-04-30 7.00 1992-06-19 7.00 0.00 0.00 51 1992-05-06 62.50 1992-06-02 -75.00 -137.50
1991 1991-04-30 9.75 1991-06-20 5.25 -4.50 -225.00 52 - 0.00 1991-06-20 -225.00 -225.00
1990 1990-04-30 4.75 1990-06-20 8.25 3.50 175.00 52 1990-06-18 225.00 1990-05-02 -12.50 -100.00
1989 1989-05-01 -6.50 1989-06-20 -15.50 -9.00 -450.00 51 1989-05-22 25.00 1989-05-31 -675.00 -700.00
1988 1988-05-02 11.00 1988-06-20 -11.00 -22.00 -1100.00 50 1988-05-17 25.00 1988-06-17 -1100.00 -1125.00
1987 1987-04-30 4.25 1987-06-19 8.25 4.00 200.00 51 1987-05-15 300.00 1987-05-08 -150.00 -337.50
1986 1986-04-30 -0.25 1986-06-20 -3.25 -3.00 -150.00 52 1986-05-08 62.50 1986-06-16 -225.00 -287.50
1985 1985-04-30 8.50 1985-06-20 2.50 -6.00 -300.00 52 1985-05-23 12.50 1985-06-17 -362.50 -375.00
1984 1984-04-30 -34.25 1984-06-20 -17.50 16.75 837.50 52 1984-06-20 837.50 1984-05-21 -1025.00 -1050.00
1983 1983-05-02 12.25 1983-06-20 9.00 -3.25 -162.50 50 1983-05-03 25.00 1983-05-31 -225.00 -250.00
1982 1982-04-30 5.75 1982-06-18 4.25 -1.50 -75.00 50 1982-06-08 150.00 1982-05-05 -175.00 -237.50
1981 1981-04-30 11.75 1981-06-19 17.50 5.75 287.50 51 1981-06-19 287.50 1981-05-20 -250.00 -450.00
1980 1980-04-30 15.50 1980-06-20 15.00 -0.50 -25.00 52 1980-06-05 25.00 1980-05-15 -175.00 -175.00
1979 1979-04-30 -11.75 1979-06-20 -3.75 8.00 400.00 52 1979-06-15 862.50 1979-05-23 -112.50 -462.50
1978 1978-05-01 -32.50 1978-06-20 -23.00 9.50 475.00 51 1978-06-08 637.50 1978-05-25 -575.00 -887.50
1977 1977-05-03 -91.25 1977-06-20 -28.00 63.25 3162.50 49 1977-06-20 3162.50 - 0.00 -1300.00
1976 1976-04-30 8.25 1976-06-18 6.50 -1.75 -87.50 50 1976-05-27 62.50 1976-05-17 -275.00 -275.00
1975 1975-04-30 -2.75 1975-06-20 0.75 3.50 175.00 52 1975-05-06 237.50 1975-05-21 -12.50 -250.00
1974 1974-04-30 -3.25 1974-06-20 -7.50 -4.25 -212.50 52 - 0.00 1974-05-21 -375.00 -375.00
1973 1973-04-30 -95.25 1973-06-20 -180.00 -84.75 -4237.50 52 - 0.00 1973-06-05 -8137.50 -8137.50
1972 1972-05-01 -18.12 1972-06-20 -13.13 4.99 249.50 51 1972-06-15 331.00 1972-05-17 -31.50 -125.00
1971 1971-04-30 -5.87 1971-06-18 -4.62 1.25 62.50 50 1971-05-27 124.50 1971-06-11 -19.00 -143.50
1970 1970-04-30 -2.75 1970-06-19 -2.25 0.50 25.00 51 1970-06-18 50.00 1970-06-09 -131.00 -150.00
1969 1969-04-30 -10.50 1969-06-20 -10.00 0.50 25.00 52 1969-05-21 119.00 1969-06-04 -44.00 -163.00
1968 1968-04-30 -2.87 1968-06-20 -2.25 0.62 31.00 52 1968-05-29 49.50 1968-06-10 -19.00 -68.50
1967 1967-05-01 -2.12 1967-06-20 -2.25 -0.13 -6.50 51 1967-05-25 56.00 1967-05-02 -6.50 -62.50
1966 1966-05-02 -7.00 1966-06-20 -15.12 -8.12 -406.00 50 1966-05-06 81.50 1966-06-20 -406.00 -487.50
1965 1965-04-30 -6.25 1965-06-18 -6.88 -0.63 -31.50 50 1965-05-20 87.50 1965-06-07 -125.00 -212.50
1964 1964-04-30 -1.50 1964-06-19 -1.12 0.38 19.00 51 1964-06-01 37.50 1964-05-04 -6.50 -37.50
1963 1963-04-30 -2.00 1963-06-20 -1.50 0.50 25.00 52 1963-05-23 31.50 1963-05-10 -25.00 -44.00
1962 1962-04-30 -2.00 1962-06-20 -0.62 1.38 69.00 52 1962-06-01 106.50 1962-05-04 -18.50 -81.50
1961 1961-05-01 -11.75 1961-06-20 -7.37 4.38 219.00 51 1961-06-13 300.00 1961-05-02 -25.00 -187.50
1960 1960-05-02 -1.50 1960-06-20 -1.25 0.25 12.50 50 1960-05-11 37.50 1960-06-01 -19.00 -56.50
1959 1959-04-30 -4.25 1959-06-19 -2.25 2.00 100.00 51 1959-06-19 100.00 1959-05-04 -19.00 -50.00
1958 1958-04-30 -2.75 1958-06-20 -0.63 2.12 106.00 52 1958-06-18 112.50 - 0.00 -25.50
1957 1957-04-30 -3.50 1957-06-20 -3.50 0.00 0.00 52 1957-05-08 31.00 1957-05-21 -81.50 -112.50
1956 1956-04-30 -16.00 1956-06-20 -12.25 3.75 187.50 52 1956-06-18 250.00 1956-05-07 -275.00 -400.00
1955 1955-05-02 -2.50 1955-06-20 -1.75 0.75 37.50 50 1955-06-13 75.00 1955-05-20 -62.50 -62.50
1954 1954-04-30 -23.75 1954-06-18 -19.25 4.50 225.00 50 1954-06-14 337.50 1954-05-07 -25.00 -169.00
1953 1953-04-30 -8.12 1953-06-19 -6.75 1.37 68.50 51 1953-06-19 68.50 1953-05-15 -69.00 -131.00
1952 1952-04-30 -4.25 1952-06-20 -18.13 -13.88 -694.00 52 - 0.00 1952-06-11 -1043.50 -1043.50
1951 1951-04-30 -25.25 1951-06-20 -15.00 10.25 512.50 52 1951-06-13 637.50 1951-05-21 -100.00 -225.00