Futures Spread Strategy For February, 2021 - Buy ZOZ21-ZOU21

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Futures Spread Strategy For February, 2021 - Buy ZOZ21-ZOU21

This spread combines several conditions to create good trading opportunity.

  • 95% Win for last 20 years
  • The spread is historically moving in the range and it's now moving in a low area of that range.
  • Low margin requirements
  • Really low average Worst

Backtest Buy ZOZ21-ZOU21 Entry: 2021-02-18 Exit: 2021-04-10

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% 53 6.46 9999 112.50 12.00 342.50 -282.50 342.50 0.00 510.00 -42.50 1712.50 1712.50 0.00 112.50
10 100% 10 0 60% 53 6.18 9999 525.00 4.95 327.50 -376.25 327.50 0.00 520.00 -105.00 3275.00 3275.00 0.00 112.50
15 100% 15 0 73% 53 5.08 9999 525.00 4.35 269.17 -333.33 288.39 0.00 424.17 -97.50 4037.50 4037.50 0.00 112.50
20 95% 19 1 65% 53 4.21 179.50 525.00 2.70 223.12 -317.50 263.97 -8.33 354.38 -131.25 4462.50 4487.50 -25.00 287.50
30 80% 24 6 47% 53 2.70 10.27 525.00 2.12 142.92 -247.92 215.91 -57.81 249.17 -117.50 4287.50 4750.00 -462.50 525.00
47 70% 33 14 43% 53 1.89 6.03 525.00 1.89 100.27 -204.52 182.26 -58.59 194.15 -102.93 4712.50 5650.00 -937.50 525.00
Equity for backtest
Year Enter date Enter price Exit date Exit price Points Profit Days# Best Date Best Worst Date Worst Drawdown
2020 2020-02-18 -9.00 2020-04-09 -4.25 4.75 237.50 52 2020-03-18 600.00 2020-02-19 -25.00 -425.00
2019 2019-02-19 -8.00 2019-04-10 -5.75 2.25 112.50 51 2019-03-01 300.00 2019-04-04 -75.00 -375.00
2018 2018-02-20 -1.00 2018-04-10 9.00 10.00 500.00 50 2018-03-29 612.50 2018-02-26 -112.50 -212.50
2017 2017-02-21 -3.50 2017-04-10 1.25 4.75 237.50 49 2017-02-28 312.50 - 0.00 -225.00
2016 2016-02-18 -4.25 2016-04-08 8.25 12.50 625.00 51 2016-03-09 725.00 - 0.00 -175.00
2015 2015-02-18 3.00 2015-04-10 3.50 0.50 25.00 52 2015-02-26 100.00 2015-03-12 -312.50 -412.50
2014 2014-02-18 -20.50 2014-04-10 -10.75 9.75 487.50 52 2014-03-28 812.50 - 0.00 -487.50
2013 2013-02-19 -6.75 2013-04-10 -3.00 3.75 187.50 51 2013-04-03 312.50 2013-03-28 -525.00 -762.50
2012 2012-02-21 -2.00 2012-04-10 2.50 4.50 225.00 50 2012-03-08 550.00 - 0.00 -362.50
2011 2011-02-18 -6.50 2011-04-08 6.25 12.75 637.50 50 2011-03-16 875.00 - 0.00 -325.00
2010 2010-02-18 11.50 2010-04-09 12.50 1.00 50.00 51 2010-04-08 175.00 - 0.00 -125.00
2009 2009-02-18 14.00 2009-04-09 14.00 0.00 0.00 51 2009-03-09 62.50 2009-02-20 -25.00 -62.50
2008 2008-02-19 9.25 2008-04-10 14.50 5.25 262.50 52 2008-04-01 287.50 2008-03-13 -262.50 -400.00
2007 2007-02-20 -5.00 2007-04-10 0.00 5.00 250.00 50 2007-03-05 250.00 2007-03-26 -125.00 -375.00
2006 2006-02-21 -9.75 2006-04-10 -5.75 4.00 200.00 49 2006-03-03 387.50 - 0.00 -275.00
2005 2005-02-18 0.00 2005-04-08 0.25 0.25 12.50 50 2005-02-24 25.00 2005-04-04 -200.00 -225.00
2004 2004-02-18 2.75 2004-04-08 4.00 1.25 62.50 51 2004-04-06 87.50 2004-03-18 -337.50 -400.00
2003 2003-02-18 -8.25 2003-04-10 -0.75 7.50 375.00 52 2003-03-26 425.00 2003-02-24 -287.50 -287.50
2002 2002-02-19 1.50 2002-04-10 1.50 0.00 0.00 51 2002-04-09 87.50 2002-03-05 -312.50 -312.50
2001 2001-02-20 6.00 2001-04-10 5.50 -0.50 -25.00 50 2001-03-02 100.00 2001-04-09 -25.00 -125.00
2000 2000-02-18 7.00 2000-04-10 6.25 -0.75 -37.50 53 2000-02-23 12.50 2000-03-13 -75.00 -87.50
1999 1999-02-18 5.50 1999-04-09 5.75 0.25 12.50 51 1999-03-31 25.00 1999-03-01 -125.00 -137.50
1998 1998-02-18 4.75 1998-04-09 6.00 1.25 62.50 51 1998-04-01 75.00 1998-02-24 -62.50 -62.50
1997 1997-02-18 2.00 1997-04-10 0.50 -1.50 -75.00 52 1997-02-19 25.00 1997-02-24 -150.00 -175.00
1996 1996-02-20 3.50 1996-04-10 -0.25 -3.75 -187.50 51 - 0.00 1996-04-10 -187.50 -187.50
1995 1995-02-21 6.50 1995-04-10 4.25 -2.25 -112.50 49 1995-02-22 12.50 1995-04-07 -112.50 -125.00
1994 1994-02-18 4.00 1994-04-08 6.50 2.50 125.00 50 1994-04-08 125.00 - 0.00 -62.50
1993 1993-02-18 2.50 1993-04-08 2.00 -0.50 -25.00 50 1993-02-24 37.50 1993-03-18 -50.00 -87.50
1992 1992-02-18 6.25 1992-04-10 7.25 1.00 50.00 53 1992-04-10 50.00 1992-02-24 -37.50 -62.50
1991 1991-02-19 8.00 1991-04-10 8.25 0.25 12.50 51 1991-04-09 25.00 1991-03-13 -100.00 -100.00
1990 1990-02-20 9.00 1990-04-10 7.50 -1.50 -75.00 50 1990-02-26 25.00 1990-04-02 -100.00 -125.00
1989 1989-02-21 7.00 1989-04-10 7.75 0.75 37.50 49 1989-02-24 87.50 1989-03-06 -50.00 -137.50
1988 1988-02-18 7.50 1988-04-08 5.75 -1.75 -87.50 51 1988-02-24 12.50 1988-04-07 -100.00 -112.50
1987 1987-02-18 3.00 1987-04-10 5.00 2.00 100.00 52 1987-03-10 225.00 1987-02-20 -25.00 -162.50
1986 1986-02-18 2.50 1986-04-10 4.00 1.50 75.00 52 1986-03-12 75.00 1986-03-04 -25.00 -75.00
1985 1985-02-19 4.25 1985-04-10 3.25 -1.00 -50.00 51 1985-02-20 25.00 1985-02-28 -100.00 -125.00
1984 1984-02-21 4.50 1984-04-10 4.00 -0.50 -25.00 50 1984-02-28 37.50 1984-03-08 -75.00 -112.50
1983 1983-02-18 10.00 1983-04-08 12.00 2.00 100.00 50 1983-04-06 125.00 1983-02-22 -12.50 -50.00
1982 1982-02-18 5.00 1982-04-08 4.00 -1.00 -50.00 50 1982-02-19 50.00 1982-03-19 -212.50 -262.50
1981 1981-02-18 6.50 1981-04-10 11.00 4.50 225.00 52 1981-03-31 237.50 1981-02-24 -62.50 -100.00
1980 1980-02-19 10.50 1980-04-10 9.75 -0.75 -37.50 52 1980-03-14 62.50 1980-04-10 -37.50 -100.00
1979 1979-02-20 6.00 1979-04-10 6.50 0.50 25.00 50 1979-04-06 100.00 1979-02-21 -12.50 -75.00
1978 1978-02-21 4.75 1978-04-10 5.50 0.75 37.50 49 1978-03-20 62.50 1978-03-07 -62.50 -87.50
1977 1977-02-18 2.50 1977-04-07 2.00 -0.50 -25.00 49 1977-03-10 100.00 1977-03-03 -75.00 -125.00
1976 1976-02-18 -0.50 1976-04-09 2.00 2.50 125.00 52 1976-03-29 225.00 1976-02-20 -25.00 -100.00
1975 1975-02-18 5.75 1975-04-10 3.25 -2.50 -125.00 52 1975-03-06 12.50 1975-03-25 -237.50 -250.00
1974 1974-02-19 1.00 1974-04-10 4.50 3.50 175.00 51 1974-04-05 187.50 1974-03-21 -100.00 -175.00