Futures Spread Strategy For March, 2021 - Buy ZCZ21-ZCU21

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Futures Spread Strategy For March, 2021 - Buy ZCZ21-ZCU21

This spread combines several conditions to create good trading opportunity.

  • 95% Win in last 20 years / 74% in all trading history
  • Current year moving in historical lows - only 3 years had lower values. It's a good opportunity but it is also a sign of a non-normal year!
  • Possible Role Reversal when the spread moves back to -23 / -26 and then starts to grow again. Then it could be a good sign of a new long trend
  • Low margin requirements
  • Long seasonal window - A lot of time for seasonality to kick in. Possibility to take profit earlier

Backtest Buy ZCZ21-ZCU21 Entry: 2021-03-05 Exit: 2021-08-13

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% 162 1.88 9999 487.50 2.24 305.00 -280.00 305.00 0.00 330.00 -147.50 1525.00 1525.00 0.00 62.50
10 100% 10 0 30% 162 5.25 9999 912.50 3.38 850.00 -655.00 850.00 0.00 862.50 -255.00 8500.00 8500.00 0.00 512.50
15 93% 14 1 33% 162 4.79 59.19 912.50 3.86 775.83 -565.83 845.54 -200.00 808.33 -209.17 11637.50 11837.50 -200.00 912.50
20 95% 19 1 30% 162 4.08 67.06 912.50 4.00 660.62 -454.38 705.92 -200.00 690.00 -172.50 13212.50 13412.50 -200.00 912.50
30 87% 26 4 27% 162 3.06 15.52 912.50 2.28 496.25 -460.42 612.02 -256.25 558.33 -245.00 14887.50 15912.50 -1025.00 912.50
73 74% 54 19 51% 162 1.51 4.91 1237.50 1.53 245.29 -403.10 416.42 -241.08 372.68 -243.59 17906.00 22486.50 -4580.50 912.50
Equity for backtest
Year Enter date Enter price Exit date Exit price Points Profit Days# Best Date Best Worst Date Worst Drawdown
2020 2020-03-05 3.75 2020-08-13 13.50 9.75 487.50 162 2020-08-13 487.50 2020-03-10 -12.50 -275.00
2019 2019-03-05 7.00 2019-08-13 10.50 3.50 175.00 162 2019-04-09 250.00 2019-07-05 -175.00 -425.00
2018 2018-03-05 6.00 2018-08-13 14.00 8.00 400.00 162 2018-08-01 425.00 2018-03-09 -62.50 -137.50
2017 2017-03-06 6.50 2017-08-11 14.00 7.50 375.00 159 2017-08-04 400.00 - 0.00 -62.50
2016 2016-03-07 9.00 2016-08-12 10.75 1.75 87.50 159 2016-08-11 87.50 2016-05-26 -487.50 -500.00
2015 2015-03-05 8.50 2015-08-13 11.50 3.00 150.00 162 2015-08-13 150.00 2015-03-25 -37.50 -137.50
2014 2014-03-05 0.50 2014-08-13 11.75 11.25 562.50 162 2014-08-07 562.50 2014-03-28 -225.00 -262.50
2013 2013-03-05 -25.00 2013-08-13 -8.00 17.00 850.00 162 2013-08-12 850.00 2013-07-19 -912.50 -1412.50
2012 2012-03-05 -35.00 2012-08-13 9.50 44.50 2225.00 162 2012-08-13 2225.00 2012-03-13 -125.00 -1775.00
2011 2011-03-07 -51.00 2011-08-12 12.75 63.75 3187.50 159 2011-08-12 3187.50 2011-04-11 -512.50 -1562.50
2010 2010-03-05 7.50 2010-08-13 15.50 8.00 400.00 162 2010-08-10 400.00 2010-04-28 -37.50 -237.50
2009 2009-03-05 11.50 2009-08-13 7.50 -4.00 -200.00 162 2009-05-27 100.00 2009-08-07 -350.00 -450.00
2008 2008-03-05 -2.25 2008-08-13 19.50 21.75 1087.50 162 2008-06-23 1137.50 2008-04-01 -162.50 -362.50
2007 2007-03-05 -12.25 2007-08-13 18.00 30.25 1512.50 162 2007-08-13 1512.50 - 0.00 -800.00
2006 2006-03-06 10.25 2006-08-11 17.00 6.75 337.50 159 2006-08-01 350.00 2006-03-07 -37.50 -87.50
2005 2005-03-07 8.25 2005-08-12 13.25 5.00 250.00 159 2005-08-05 287.50 2005-03-15 -50.00 -100.00
2004 2004-03-05 -3.25 2004-08-13 10.50 13.75 687.50 162 2004-08-10 725.00 2004-03-17 -75.00 -200.00
2003 2003-03-05 1.25 2003-08-13 9.50 8.25 412.50 162 2003-08-12 437.50 2003-05-13 -100.00 -150.00
2002 2002-03-05 8.50 2002-08-13 11.75 3.25 162.50 162 2002-08-13 162.50 2002-03-12 -37.50 -87.50
2001 2001-03-05 11.00 2001-08-13 12.25 1.25 62.50 162 2001-07-13 62.50 2001-03-30 -50.00 -62.50
2000 2000-03-06 8.75 2000-08-11 12.50 3.75 187.50 159 2000-08-09 187.50 2000-05-05 -37.50 -112.50
1999 1999-03-05 9.00 1999-08-13 13.25 4.25 212.50 162 1999-08-13 212.50 1999-03-26 -125.00 -137.50
1998 1998-03-05 1.00 1998-08-13 9.75 8.75 437.50 162 1998-08-07 437.50 1998-03-11 -37.50 -150.00
1997 1997-03-05 -2.00 1997-08-13 4.25 6.25 312.50 162 1997-08-13 312.50 1997-04-01 -125.00 -187.50
1996 1996-03-05 -12.75 1996-08-13 -24.00 -11.25 -562.50 162 1996-03-15 37.50 1996-05-17 -2825.00 -2862.50
1995 1995-03-06 4.00 1995-08-11 0.50 -3.50 -175.00 159 1995-06-07 75.00 1995-07-25 -275.00 -350.00
1994 1994-03-07 -13.00 1994-08-12 3.25 16.25 812.50 159 1994-08-03 875.00 1994-03-16 -37.50 -225.00
1993 1993-03-05 7.25 1993-08-13 5.50 -1.75 -87.50 162 1993-07-01 150.00 1993-04-27 -162.50 -275.00
1992 1992-03-05 -3.50 1992-08-13 3.75 7.25 362.50 162 1992-06-29 450.00 1992-03-11 -87.50 -237.50
1991 1991-03-05 2.00 1991-08-13 5.50 3.50 175.00 162 1991-08-02 212.50 1991-04-12 -187.50 -187.50
1990 1990-03-05 -1.25 1990-08-13 -4.00 -2.75 -137.50 162 1990-03-12 87.50 1990-05-07 -312.50 -400.00
1989 1989-03-06 -5.75 1989-08-11 1.75 7.50 375.00 159 1989-08-04 412.50 1989-05-25 -25.00 -312.50
1988 1988-03-07 3.75 1988-08-12 8.25 4.50 225.00 159 1988-06-01 450.00 1988-06-23 -137.50 -587.50
1987 1987-03-05 9.50 1987-08-13 10.25 0.75 37.50 162 1987-08-10 125.00 1987-05-04 -437.50 -437.50
1986 1986-03-05 -3.00 1986-08-13 5.50 8.50 425.00 162 1986-08-06 550.00 1986-05-13 -300.00 -312.50
1985 1985-03-05 -5.25 1985-08-13 -6.00 -0.75 -37.50 162 1985-08-05 187.50 1985-07-18 -325.00 -425.00
1984 1984-03-05 -17.25 1984-08-13 -9.00 8.25 412.50 162 1984-07-30 475.00 1984-07-16 -425.00 -600.00
1983 1983-03-07 -2.00 1983-08-12 -1.25 0.75 37.50 159 1983-07-28 387.50 1983-07-05 -1237.50 -1475.00
1982 1982-03-05 4.50 1982-08-13 8.00 3.50 175.00 162 1982-08-13 175.00 1982-07-19 -325.00 -425.00
1981 1981-03-05 -3.25 1981-08-13 5.00 8.25 412.50 162 1981-07-27 712.50 - 0.00 -350.00
1980 1980-03-05 10.00 1980-08-13 -0.75 -10.75 -537.50 162 1980-03-12 37.50 1980-08-11 -575.00 -612.50
1979 1979-03-05 4.75 1979-08-13 -2.25 -7.00 -350.00 162 1979-06-13 137.50 1979-08-08 -475.00 -612.50
1978 1978-03-06 1.00 1978-08-11 5.25 4.25 212.50 159 1978-08-04 337.50 1978-05-01 -62.50 -212.50
1977 1977-03-07 3.00 1977-08-12 8.75 5.75 287.50 159 1977-08-01 287.50 1977-05-26 -50.00 -137.50
1976 1976-03-05 -5.75 1976-08-13 -3.75 2.00 100.00 162 1976-04-20 225.00 1976-07-29 -375.00 -600.00
1975 1975-03-05 -11.75 1975-08-13 -4.50 7.25 362.50 162 1975-08-13 362.50 1975-06-23 -550.00 -550.00
1974 1974-03-05 -20.25 1974-08-13 -7.00 13.25 662.50 162 1974-07-23 687.50 1974-03-19 -250.00 -562.50
1973 1973-03-05 -5.62 1973-08-13 -22.25 -16.63 -831.50 162 1973-04-18 231.00 1973-07-27 -919.00 -1150.00
1972 1972-03-06 -1.87 1972-08-11 0.37 2.24 112.00 159 1972-07-03 168.50 1972-03-07 -6.50 -137.50
1971 1971-03-05 -1.37 1971-08-13 -0.75 0.62 31.00 162 1971-06-11 131.00 1971-07-20 -194.00 -325.00
1970 1970-03-05 -5.13 1970-08-13 -0.87 4.26 213.00 162 1970-08-13 213.00 1970-05-22 -68.50 -175.00
1969 1969-03-05 -5.88 1969-08-13 -6.50 -0.62 -31.00 162 1969-07-07 269.00 1969-08-08 -43.50 -312.50
1968 1968-03-05 0.25 1968-08-13 -1.63 -1.88 -94.00 162 1968-06-07 87.50 1968-07-25 -94.00 -181.50
1967 1967-03-06 -7.37 1967-08-11 -1.50 5.87 293.50 159 1967-04-27 375.00 - 0.00 -169.00
1966 1966-03-07 -4.25 1966-08-12 1.00 5.25 262.50 159 1966-07-28 369.00 1966-03-17 -50.00 -119.00
1965 1965-03-05 -7.87 1965-08-13 -2.88 4.99 249.50 162 1965-08-13 249.50 1965-05-14 -69.00 -87.50
1964 1964-03-05 -2.13 1964-08-13 -1.75 0.38 19.00 162 1964-08-12 38.00 1964-05-05 -137.50 -169.00
1963 1963-03-05 -3.00 1963-08-13 -10.87 -7.87 -393.50 162 1963-04-02 25.00 1963-08-13 -393.50 -418.50
1962 1962-03-05 0.25 1962-08-13 -0.25 -0.50 -25.00 162 1962-08-07 75.00 1962-04-04 -87.50 -125.00
1961 1961-03-06 -2.88 1961-08-11 3.62 6.50 325.00 159 1961-07-03 350.00 1961-03-15 -6.00 -75.00
1960 1960-03-07 -6.75 1960-08-12 -4.37 2.38 119.00 159 1960-08-01 187.50 1960-03-30 -50.00 -100.00
1959 1959-03-05 -4.13 1959-08-13 -7.25 -3.12 -156.00 162 1959-03-20 31.50 1959-05-19 -200.00 -231.50
1958 1958-03-05 -3.25 1958-08-13 -9.62 -6.37 -318.50 162 1958-03-19 31.00 1958-08-13 -318.50 -349.50
1957 1957-03-05 -4.13 1957-08-13 -2.75 1.38 69.00 162 1957-07-16 125.00 1957-05-07 -218.50 -218.50
1956 1956-03-05 -4.50 1956-08-13 -6.25 -1.75 -87.50 162 - 0.00 1956-05-15 -562.50 -562.50
1955 1955-03-07 -4.87 1955-08-12 -3.12 1.75 87.50 159 1955-08-12 87.50 1955-06-17 -163.00 -163.00
1954 1954-03-05 -7.50 1954-08-13 -9.12 -1.62 -81.00 162 1954-07-20 144.00 1954-06-14 -137.50 -244.00
1953 1953-03-05 -3.00 1953-08-13 -11.25 -8.25 -412.50 162 1953-03-30 18.50 1953-08-13 -412.50 -431.00
1952 1952-03-05 -8.87 1952-08-13 -3.00 5.87 293.50 162 1952-08-13 293.50 1952-05-19 -119.00 -200.00
1951 1951-03-05 -10.00 1951-08-13 -9.88 0.12 6.00 162 1951-06-20 200.00 1951-04-25 -181.50 -244.00
1950 1950-03-06 -8.12 1950-08-11 -9.37 -1.25 -62.50 159 1950-07-25 75.00 1950-06-23 -100.00 -162.00
1949 1949-03-07 -11.87 1949-08-12 -6.62 5.25 262.50 159 1949-08-12 262.50 1949-07-21 -37.50 -212.50
1948 1948-03-05 -31.00 1948-08-13 -20.88 10.12 506.00 162 1948-08-10 781.00 - 0.00 -438.00