Futures Spread Strategy For July, 2022 - Buy ZCZ22-ZCU22

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Futures Spread Strategy For July, 2022 - Buy ZCZ22-ZCU22

This spread combines several conditions to create good trading opportunity.

  • 95% Win for last 20 years
  • Reverse Head and shoulders pattern
  • Strong seasonal pattern colleration
  • Low margin requirements
  • Really low average Worst

Backtest Buy ZOZ21-ZOU21 Entry: 2022-07-20 Exit: 2022-08-04

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% 16 11.56 9999 25.00 25.00 185.00 -32.50 185.00 0.00 187.50 -7.50 925.00 925.00 0.00 12.50
10 90% 9 1 20% 16 25.08 81.25 25.00 42.88 401.25 -67.50 451.39 -50.00 428.75 -10.00 4012.50 4062.50 -50.00 0.00
15 93% 14 1 27% 16 21.35 103.50 162.50 19.00 341.67 -67.50 369.64 -50.00 364.17 -19.17 5125.00 5175.00 -50.00 0.00
20 95% 19 1 25% 16 17.15 110.75 162.50 15.53 274.38 -57.50 291.45 -50.00 291.25 -18.75 5487.50 5537.50 -50.00 0.00
30 80% 24 6 27% 16 10.65 8.18 162.50 4.37 170.42 -80.83 277.38 -79.17 211.25 -48.33 5112.50 5825.00 -712.50 12.50
75 67% 50 25 43% 16 5.76 3.98 200.00 2.10 92.15 -111.75 205.12 -77.32 148.33 -70.51 6911.00 9230.50 -2319.50 200.00
Equity for backtest
Year Enter date Enter price Exit date Exit price Points Profit Days# Best Date Best Worst Date Worst Drawdown
2021 2021-07-20 -6.00 2021-08-04 1.00 7.00 350.00 16 2021-08-03 362.50 - 0.00 -75.00
2020 2020-07-20 7.50 2020-08-04 12.00 4.50 225.00 16 2020-08-04 225.00 2020-07-22 -12.50 -37.50
2019 2019-07-22 4.50 2019-08-02 10.00 5.50 275.00 12 2019-07-26 275.00 - 0.00 -12.50
2018 2018-07-20 13.75 2018-08-03 14.50 0.75 37.50 15 2018-08-01 37.50 - 0.00 -12.50
2017 2017-07-20 13.75 2017-08-04 14.50 0.75 37.50 16 2017-08-04 37.50 2017-07-26 -25.00 -25.00
2016 2016-07-20 6.75 2016-08-04 10.25 3.50 175.00 16 2016-08-04 175.00 2016-07-21 -12.50 -12.50
2015 2015-07-20 11.00 2015-08-04 10.00 -1.00 -50.00 16 - 0.00 2015-08-03 -50.00 -50.00
2014 2014-07-21 8.00 2014-08-04 10.50 2.50 125.00 15 2014-08-04 125.00 - 0.00 -12.50
2013 2013-07-22 -42.75 2013-08-02 -12.25 30.50 1525.00 12 2013-08-02 1525.00 - 0.00 -225.00
2012 2012-07-20 -28.75 2012-08-03 -2.50 26.25 1312.50 15 2012-08-02 1525.00 - 0.00 -212.50
2011 2011-07-20 -10.25 2011-08-04 7.75 18.00 900.00 16 2011-08-04 900.00 - 0.00 -37.50
2010 2010-07-20 13.50 2010-08-04 14.75 1.25 62.50 16 2010-08-04 62.50 2010-07-23 -12.50 -25.00
2009 2009-07-20 10.50 2009-08-04 11.25 0.75 37.50 16 2009-07-23 62.50 2009-07-29 -162.50 -225.00
2008 2008-07-21 19.00 2008-08-04 20.00 1.00 50.00 15 2008-07-31 50.00 2008-07-22 -12.50 -12.50
2007 2007-07-20 15.25 2007-08-03 16.50 1.25 62.50 15 2007-08-02 100.00 - 0.00 -37.50
2006 2006-07-20 16.75 2006-08-04 17.25 0.50 25.00 16 2006-08-01 25.00 2006-07-21 -25.00 -25.00
2005 2005-07-20 10.75 2005-08-04 13.00 2.25 112.50 16 2005-08-02 112.50 - 0.00 -25.00
2004 2004-07-20 8.00 2004-08-04 10.00 2.00 100.00 16 2004-08-04 100.00 - 0.00 -12.50
2003 2003-07-21 5.50 2003-08-04 7.75 2.25 112.50 15 2003-08-04 112.50 2003-07-22 -25.00 -37.50
2002 2002-07-22 10.00 2002-08-02 10.25 0.25 12.50 12 2002-08-02 12.50 2002-07-29 -37.50 -37.50
2001 2001-07-20 11.50 2001-08-03 11.50 0.00 0.00 15 2001-07-25 25.00 2001-07-30 -25.00 -50.00
2000 2000-07-20 12.00 2000-08-04 12.00 0.00 0.00 16 2000-08-01 12.50 2000-07-24 -12.50 -12.50
1999 1999-07-20 11.50 1999-08-04 11.50 0.00 0.00 16 1999-07-23 50.00 1999-07-22 -37.50 -75.00
1998 1998-07-20 4.00 1998-08-04 7.75 3.75 187.50 16 1998-08-04 187.50 1998-07-21 -12.50 -12.50
1997 1997-07-21 1.50 1997-08-04 1.25 -0.25 -12.50 15 1997-07-29 37.50 1997-07-25 -75.00 -87.50
1996 1996-07-22 -27.00 1996-08-02 -34.00 -7.00 -350.00 12 - 0.00 1996-07-30 -550.00 -550.00
1995 1995-07-20 0.50 1995-08-04 -1.00 -1.50 -75.00 16 1995-07-21 12.50 1995-07-25 -100.00 -112.50
1994 1994-07-20 2.00 1994-08-04 4.00 2.00 100.00 16 1994-08-03 125.00 - 0.00 -50.00
1993 1993-07-20 8.75 1993-08-04 5.25 -3.50 -175.00 16 1993-07-22 25.00 1993-07-26 -200.00 -225.00
1992 1992-07-20 3.75 1992-08-04 2.75 -1.00 -50.00 16 1992-07-24 37.50 1992-07-31 -62.50 -100.00
1991 1991-07-22 3.25 1991-08-02 6.25 3.00 150.00 12 1991-08-02 150.00 - 0.00 -62.50
1990 1990-07-20 -4.75 1990-08-03 -5.25 -0.50 -25.00 15 1990-07-24 12.50 1990-07-27 -62.50 -75.00
1989 1989-07-20 -2.50 1989-08-04 2.50 5.00 250.00 16 1989-08-04 250.00 1989-07-26 -50.00 -87.50
1988 1988-07-20 5.25 1988-08-04 7.50 2.25 112.50 16 1988-07-28 175.00 - 0.00 -125.00
1987 1987-07-20 9.00 1987-08-04 10.00 1.00 50.00 16 1987-07-31 50.00 1987-07-21 -62.50 -62.50
1986 1986-07-21 3.75 1986-08-04 6.50 2.75 137.50 15 1986-08-04 137.50 1986-07-25 -200.00 -200.00
1985 1985-07-22 -9.50 1985-08-02 -3.75 5.75 287.50 12 1985-07-31 312.50 - 0.00 -112.50
1984 1984-07-20 -20.75 1984-08-03 -11.50 9.25 462.50 15 1984-07-30 650.00 - 0.00 -250.00
1983 1983-07-20 -3.25 1983-08-04 2.25 5.50 275.00 16 1983-07-28 450.00 - 0.00 -237.50
1982 1982-07-20 -1.25 1982-08-04 5.75 7.00 350.00 16 1982-07-29 425.00 - 0.00 -100.00
1981 1981-07-20 8.00 1981-08-04 6.75 -1.25 -62.50 16 1981-07-27 150.00 1981-08-04 -62.50 -212.50
1980 1980-07-21 5.00 1980-08-04 5.25 0.25 12.50 15 1980-07-22 175.00 - 0.00 -162.50
1979 1979-07-20 5.00 1979-08-03 -2.50 -7.50 -375.00 15 - 0.00 1979-08-01 -412.50 -412.50
1978 1978-07-20 6.25 1978-08-04 7.75 1.50 75.00 16 1978-08-04 75.00 1978-07-24 -12.50 -25.00
1977 1977-07-20 5.25 1977-08-04 8.25 3.00 150.00 16 1977-08-01 175.00 - 0.00 -50.00
1976 1976-07-20 -9.00 1976-08-04 -9.00 0.00 0.00 16 1976-07-21 25.00 1976-07-29 -212.50 -237.50
1975 1975-07-21 -9.50 1975-08-04 -9.50 0.00 0.00 15 1975-08-01 50.00 1975-07-24 -225.00 -225.00
1974 1974-07-22 -9.00 1974-08-02 -12.50 -3.50 -175.00 12 1974-07-23 125.00 1974-07-31 -175.00 -300.00
1973 1973-07-20 -10.88 1973-08-03 -12.25 -1.37 -68.50 15 - 0.00 1973-07-27 -656.00 -656.00
1972 1972-07-20 -0.12 1972-08-04 0.00 0.12 6.00 16 1972-08-04 6.00 1972-07-28 -56.50 -56.50
1971 1971-07-20 -5.25 1971-08-04 -2.38 2.87 143.50 16 1971-08-04 143.50 - 0.00 -25.00
1970 1970-07-20 -5.25 1970-08-04 -4.25 1.00 50.00 16 1970-07-28 62.50 - 0.00 -37.50
1969 1969-07-22 -2.00 1969-08-04 -5.75 -3.75 -187.50 14 - 0.00 1969-08-04 -187.50 -187.50
1968 1968-07-22 0.00 1968-08-02 0.25 0.25 12.50 12 1968-08-01 12.50 1968-07-25 -81.50 -81.50
1967 1967-07-20 -1.75 1967-08-04 -1.88 -0.13 -6.50 16 1967-08-02 6.50 1967-07-26 -75.00 -75.00
1966 1966-07-20 1.87 1966-08-04 0.87 -1.00 -50.00 16 1966-07-28 63.00 1966-08-04 -50.00 -113.00
1965 1965-07-20 -6.25 1965-08-04 -4.50 1.75 87.50 16 1965-08-04 87.50 - 0.00 -43.50
1964 1964-07-20 -2.75 1964-08-04 -2.87 -0.12 -6.00 16 1964-07-21 6.00 1964-07-28 -43.50 -49.50
1963 1963-07-22 -8.25 1963-08-02 -9.00 -0.75 -37.50 12 1963-08-01 31.00 1963-07-26 -56.50 -68.50
1962 1962-07-20 0.63 1962-08-03 1.25 0.62 31.00 15 1962-08-03 31.00 1962-07-26 -50.50 -50.50
1961 1961-07-20 3.37 1961-08-04 3.75 0.38 19.00 16 1961-07-28 25.50 - 0.00 -19.00
1960 1960-07-20 -3.88 1960-08-04 -4.50 -0.62 -31.00 16 1960-08-01 44.00 1960-07-28 -37.50 -75.00
1959 1959-07-20 -3.87 1959-08-04 -7.13 -3.26 -163.00 16 - 0.00 1959-08-04 -163.00 -163.00
1958 1958-07-21 -5.63 1958-08-04 -7.62 -1.99 -99.50 15 - 0.00 1958-07-25 -112.00 -112.00
1957 1957-07-22 -3.25 1957-08-02 -3.75 -0.50 -25.00 12 - 0.00 1957-07-26 -106.00 -106.00
1956 1956-07-20 -11.75 1956-08-03 -8.50 3.25 162.50 15 1956-08-03 162.50 - 0.00 -56.00
1955 1955-07-20 -6.63 1955-08-04 -5.50 1.13 56.50 16 1955-08-03 62.50 1955-07-26 -6.00 -12.50
1954 1954-07-20 -4.62 1954-08-04 -6.87 -2.25 -112.50 16 - 0.00 1954-07-23 -150.00 -150.00
1953 1953-07-20 -7.62 1953-08-04 -8.13 -0.51 -25.50 16 - 0.00 1953-07-23 -106.50 -106.50
1952 1952-07-21 -7.50 1952-08-04 -5.00 2.50 125.00 15 1952-08-04 125.00 1952-07-24 -44.00 -50.00
1951 1951-07-20 -7.88 1951-08-03 -9.38 -1.50 -75.00 15 - 0.00 1951-07-27 -150.00 -150.00
1950 1950-07-20 -8.87 1950-08-04 -9.38 -0.51 -25.50 16 1950-07-25 112.50 1950-08-01 -37.50 -150.00
1949 1949-07-20 -10.75 1949-08-04 -11.88 -1.13 -56.50 16 1949-07-26 12.50 1949-07-21 -93.50 -106.00
1948 1948-07-20 -18.75 1948-08-04 -16.88 1.87 93.50 16 1948-07-26 100.00 1948-07-28 -100.00 -200.00
1947 1947-07-21 -22.75 1947-08-04 -16.63 6.12 306.00 15 1947-08-04 306.00 - 0.00 -118.50