Futures Spread Strategy For May, 2022 - Buy ZSX22-ZSU22

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Futures Spread Strategy For May, 2022 - Buy ZSX22-ZSU22

This spread combines several conditions to create good trading opportunity.

  • 95% Win for last 20 years
  • Strong in trade correlation
  • Low margin requirements
  • High RRR
  • The spread is moving around historical lows

Backtest Buy ZSX22-ZSU22 Entry: 2022-05-19 Exit: 2022-06-17

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 20% 30 16.00 9999 12.50 205.00 480.00 -112.50 480.00 0.00 512.50 -2.50 2400.00 2400.00 0.00 0.00
10 100% 10 0 40% 30 19.62 9999 612.50 8.63 588.75 -248.75 588.75 0.00 668.75 -77.50 5887.50 5887.50 0.00 100.00
15 100% 15 0 40% 30 17.61 9999 612.50 6.60 528.33 -286.67 528.33 0.00 615.83 -93.33 7925.00 7925.00 0.00 100.00
20 95% 19 1 45% 30 16.19 60.77 612.50 6.96 485.62 -276.25 519.74 -162.50 586.88 -84.38 9712.50 9875.00 -162.50 100.00
30 77% 23 7 40% 30 11.54 14.85 612.50 4.72 346.25 -256.67 506.25 -93.75 452.08 -95.83 10387.50 11137.50 -750.00 100.00
71 66% 47 24 46% 30 5.42 2.73 625.00 1.50 162.51 -323.43 404.72 -256.71 318.32 -212.06 11538.00 18212.50 -6674.50 625.00
Equity for backtest
Year Enter date Enter price Exit date Exit price Points Profit Days# Best Date Best Worst Date Worst Drawdown
2021 2021-05-19 -37.75 2021-06-17 -5.75 32.00 1600.00 30 2021-06-17 1600.00 - 0.00 -275.00
2020 2020-05-19 4.50 2020-06-17 5.50 1.00 50.00 30 2020-06-09 187.50 2020-05-20 -12.50 -137.50
2019 2019-05-20 12.75 2019-06-17 13.25 0.50 25.00 29 2019-06-11 50.00 - 0.00 -25.00
2018 2018-05-21 3.50 2018-06-15 12.25 8.75 437.50 26 2018-06-15 437.50 - 0.00 -25.00
2017 2017-05-19 -0.75 2017-06-16 5.00 5.75 287.50 29 2017-06-16 287.50 - 0.00 -100.00
2016 2016-05-19 -8.50 2016-06-17 -3.50 5.00 250.00 30 2016-06-17 250.00 2016-06-02 -612.50 -612.50
2015 2015-05-19 -2.50 2015-06-17 -2.00 0.50 25.00 30 2015-06-03 125.00 2015-06-15 -50.00 -175.00
2014 2014-05-19 -54.50 2014-06-17 -32.00 22.50 1125.00 30 2014-06-17 1125.00 2014-05-22 -100.00 -200.00
2013 2013-05-20 -69.25 2013-06-17 -48.25 21.00 1050.00 29 2013-06-10 1587.50 - 0.00 -625.00
2012 2012-05-21 -38.75 2012-06-15 -18.00 20.75 1037.50 26 2012-06-15 1037.50 - 0.00 -312.50
2011 2011-05-19 -10.75 2011-06-17 0.50 11.25 562.50 30 2011-06-15 737.50 - 0.00 -175.00
2010 2010-05-19 -6.75 2010-06-17 -6.25 0.50 25.00 30 2010-06-11 262.50 2010-05-20 -112.50 -237.50
2009 2009-05-19 -55.00 2009-06-17 -32.00 23.00 1150.00 30 2009-06-03 1150.00 - 0.00 -612.50
2008 2008-05-19 -1.75 2008-06-17 1.00 2.75 137.50 30 2008-05-21 212.50 2008-06-12 -462.50 -675.00
2007 2007-05-21 14.75 2007-06-15 18.00 3.25 162.50 26 2007-06-11 187.50 2007-05-30 -50.00 -112.50
2006 2006-05-19 11.75 2006-06-16 13.50 1.75 87.50 29 2006-06-09 212.50 2006-05-23 -37.50 -125.00
2005 2005-05-19 0.00 2005-06-17 10.00 10.00 500.00 30 2005-06-15 587.50 - 0.00 -87.50
2004 2004-05-19 -52.00 2004-06-17 -29.50 22.50 1125.00 30 2004-06-10 1187.50 - 0.00 -487.50
2003 2003-05-19 -35.00 2003-06-17 -30.25 4.75 237.50 30 2003-06-11 512.50 - 0.00 -275.00
2002 2002-05-20 -3.75 2002-06-17 -7.00 -3.25 -162.50 29 - 0.00 2002-06-04 -250.00 -250.00
2001 2001-05-21 3.25 2001-06-15 -2.50 -5.75 -287.50 26 - 0.00 2001-06-11 -325.00 -325.00
2000 2000-05-19 5.75 2000-06-16 4.75 -1.00 -50.00 29 2000-06-06 50.00 2000-06-14 -187.50 -237.50
1999 1999-05-19 6.75 1999-06-17 5.75 -1.00 -50.00 30 1999-05-20 50.00 1999-06-16 -87.50 -137.50
1998 1998-05-19 -4.25 1998-06-17 -4.25 0.00 0.00 30 1998-06-08 12.50 1998-05-28 -162.50 -162.50
1997 1997-05-19 -46.75 1997-06-17 -32.75 14.00 700.00 30 1997-06-04 825.00 1997-05-30 -50.00 -500.00
1996 1996-05-20 -11.75 1996-06-17 -12.50 -0.75 -37.50 29 1996-05-29 262.50 1996-05-31 -75.00 -337.50
1995 1995-05-19 8.25 1995-06-16 7.50 -0.75 -37.50 29 1995-06-02 62.50 1995-05-22 -87.50 -100.00
1994 1994-05-19 -16.00 1994-06-17 -5.50 10.50 525.00 30 1994-06-17 525.00 - 0.00 -125.00
1993 1993-05-19 3.00 1993-06-17 0.50 -2.50 -125.00 30 - 0.00 1993-06-03 -150.00 -150.00
1992 1992-05-19 6.75 1992-06-17 7.50 0.75 37.50 30 1992-05-29 37.50 1992-06-02 -62.50 -100.00
1991 1991-05-20 7.25 1991-06-17 6.75 -0.50 -25.00 29 1991-05-23 87.50 1991-05-21 -75.00 -137.50
1990 1990-05-21 7.25 1990-06-15 7.25 0.00 0.00 26 1990-06-14 75.00 1990-06-04 -75.00 -100.00
1989 1989-05-19 -8.25 1989-06-16 -15.25 -7.00 -350.00 29 1989-05-22 112.50 1989-05-31 -587.50 -700.00
1988 1988-05-19 8.75 1988-06-17 -11.00 -19.75 -987.50 30 - 0.00 1988-06-17 -987.50 -987.50
1987 1987-05-19 8.25 1987-06-17 10.00 1.75 87.50 30 1987-06-16 87.50 1987-05-28 -237.50 -237.50
1986 1986-05-19 -1.25 1986-06-17 -3.00 -1.75 -87.50 30 - 0.00 1986-06-16 -175.00 -175.00
1985 1985-05-20 7.50 1985-06-17 1.25 -6.25 -312.50 29 1985-05-23 62.50 1985-06-17 -312.50 -375.00
1984 1984-05-21 -54.75 1984-06-15 -24.00 30.75 1537.50 26 1984-06-14 1537.50 - 0.00 -150.00
1983 1983-05-19 10.25 1983-06-17 9.00 -1.25 -62.50 30 1983-06-07 37.50 1983-05-31 -125.00 -137.50
1982 1982-05-19 4.25 1982-06-17 4.00 -0.25 -12.50 30 1982-06-08 225.00 1982-05-20 -12.50 -237.50
1981 1981-05-19 7.00 1981-06-17 12.75 5.75 287.50 30 1981-06-09 462.50 1981-05-20 -12.50 -175.00
1980 1980-05-19 13.50 1980-06-17 15.00 1.50 75.00 30 1980-06-05 125.00 1980-05-27 -62.50 -112.50
1979 1979-05-21 -9.00 1979-06-15 5.50 14.50 725.00 26 1979-06-15 725.00 1979-05-23 -250.00 -262.50
1978 1978-05-19 -31.50 1978-06-16 -20.00 11.50 575.00 29 1978-06-08 587.50 1978-05-25 -625.00 -625.00
1977 1977-05-19 -57.88 1977-06-17 -28.25 29.63 1481.50 30 1977-06-17 1481.50 1977-05-26 -456.00 -1000.00
1976 1976-05-19 4.50 1976-06-17 5.75 1.25 62.50 30 1976-05-27 250.00 1976-05-21 -25.00 -275.00
1975 1975-05-19 0.25 1975-06-17 -1.75 -2.00 -100.00 30 1975-06-16 75.00 1975-05-21 -162.50 -175.00
1974 1974-05-20 -8.75 1974-06-17 -3.50 5.25 262.50 29 1974-06-17 262.50 1974-05-21 -100.00 -150.00
1973 1973-05-21 -145.75 1973-06-15 -206.00 -60.25 -3012.50 26 - 0.00 1973-06-05 -5612.50 -5612.50
1972 1972-05-19 -17.63 1972-06-16 -12.63 5.00 250.00 29 1972-06-15 306.50 - 0.00 -100.00
1971 1971-05-19 -5.00 1971-06-17 -3.87 1.13 56.50 30 1971-05-27 81.00 1971-06-11 -62.50 -143.50
1970 1970-05-19 -3.25 1970-06-17 -2.38 0.87 43.50 30 1970-06-16 62.50 1970-06-09 -106.00 -125.00
1969 1969-05-19 -9.75 1969-06-17 -10.25 -0.50 -25.00 30 1969-05-21 81.50 1969-06-04 -81.50 -163.00
1968 1968-05-20 -2.37 1968-06-17 -2.75 -0.38 -19.00 29 1968-05-29 24.50 1968-06-10 -44.00 -68.50
1967 1967-05-19 -1.62 1967-06-16 -1.87 -0.25 -12.50 29 1967-05-25 31.00 1967-05-23 -31.50 -50.00
1966 1966-05-19 -5.88 1966-06-17 -13.50 -7.62 -381.00 30 - 0.00 1966-06-15 -443.50 -443.50
1965 1965-05-19 -5.63 1965-06-17 -5.87 -0.24 -12.00 30 1965-05-20 56.50 1965-06-07 -156.00 -212.50
1964 1964-05-19 -1.25 1964-06-17 -1.00 0.25 12.50 30 1964-06-01 25.00 1964-05-22 -19.00 -37.50
1963 1963-05-20 -1.88 1963-06-17 -1.75 0.13 6.50 29 1963-05-23 25.50 1963-06-03 -18.50 -44.00
1962 1962-05-21 -1.87 1962-06-15 -0.75 1.12 56.00 26 1962-06-01 100.00 - 0.00 -81.50
1961 1961-05-19 -10.50 1961-06-16 -6.50 4.00 200.00 29 1961-06-13 237.50 1961-06-05 -62.50 -187.50
1960 1960-05-19 -1.00 1960-06-17 -1.25 -0.25 -12.50 30 - 0.00 1960-06-01 -44.00 -44.00
1959 1959-05-19 -4.50 1959-06-17 -2.75 1.75 87.50 30 1959-06-01 100.00 - 0.00 -50.00
1958 1958-05-19 -1.62 1958-06-17 -0.75 0.87 43.50 30 1958-06-17 43.50 1958-05-22 -25.50 -25.50
1957 1957-05-20 -4.63 1957-06-17 -3.75 0.88 44.00 29 1957-06-12 44.00 1957-05-21 -25.00 -37.50
1956 1956-05-21 -21.00 1956-06-15 -11.75 9.25 462.50 26 1956-06-15 462.50 - 0.00 -300.00
1955 1955-05-19 -3.00 1955-06-17 -2.00 1.00 50.00 30 1955-06-13 100.00 1955-05-20 -37.50 -50.00
1954 1954-05-19 -21.25 1954-06-17 -20.38 0.87 43.50 30 1954-06-14 212.50 1954-06-01 -100.00 -169.00
1953 1953-05-19 -9.00 1953-06-17 -9.50 -0.50 -25.00 30 1953-05-25 106.00 1953-06-17 -25.00 -131.00
1952 1952-05-19 -5.00 1952-06-17 -14.75 -9.75 -487.50 30 1952-05-21 6.50 1952-06-11 -1006.00 -1012.50
1951 1951-05-21 -27.25 1951-06-15 -14.75 12.50 625.00 26 1951-06-13 737.50 - 0.00 -162.50