Futures Spread Strategy For January, 2020 - Buy ZWZ20-ZWN20

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Futures Spread Strategy For January, 2020 - Buy ZWZ20-ZWN20

This spread combines several conditions to create good trading opportunity.

  • 100% Win for last 20 years
  • All patterns have similar movement and correlation in seasonal window over 80%
  • Low margin requirements
  • High RRR
  • Double bottom pattern

Backtest Buy ZWZ20-ZWN20 Entry: 2020-01-22 Exit: 2020-05-13

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 0 100% 112 1.09 9999 237.50 2.86 122.50 -315.00 122.50 0.00 357.50 -125.00 612.50 612.50 0.00 175.00
10 100% 10 0 10% 112 4.55 9999 437.50 3.19 510.00 -368.75 510.00 0.00 653.75 -205.00 5100.00 5100.00 0.00 75.00
15 100% 15 0 13% 112 4.66 9999 587.50 3.21 521.67 -412.50 521.67 0.00 655.83 -204.17 7825.00 7825.00 0.00 75.00
20 100% 20 0 25% 112 3.79 9999 587.50 3.35 424.38 -364.38 424.38 0.00 556.25 -166.25 8487.50 8487.50 0.00 75.00
30 93% 28 2 40% 112 2.92 26.32 587.50 3.01 327.08 -328.75 364.29 -193.75 456.25 -151.67 9812.50 10200.00 -387.50 125.00
68 79% 54 14 47% 112 1.57 7.35 587.50 2.22 176.38 -263.77 272.19 -111.06 292.93 -131.79 11993.50 13881.50 -1888.00 400.00
Equity for backtest
Year Enter date Enter price Exit date Exit price Points Profit Days# Best Date Best Worst Date Worst Drawdown
2019 2019-01-22 21.75 2019-05-13 22.75 1.00 50.00 112 2019-02-28 225.00 2019-02-05 -237.50 -287.50
2018 2018-01-22 34.75 2018-05-11 38.50 3.75 187.50 110 2018-04-23 425.00 2018-03-01 -175.00 -425.00
2017 2017-01-23 31.75 2017-05-12 33.50 1.75 87.50 110 2017-04-24 350.00 2017-02-10 -175.00 -300.00
2016 2016-01-22 22.25 2016-05-13 24.50 2.25 112.50 113 2016-05-09 350.00 2016-02-03 -25.00 -287.50
2015 2015-01-22 19.50 2015-05-13 23.00 3.50 175.00 112 2015-04-30 437.50 2015-01-23 -12.50 -275.00
2014 2014-01-22 21.75 2014-05-13 24.00 2.25 112.50 112 2014-05-12 125.00 2014-03-19 -312.50 -312.50
2013 2013-01-22 24.50 2013-05-13 25.25 0.75 37.50 112 2013-02-05 150.00 2013-03-20 -412.50 -562.50
2012 2012-01-23 38.00 2012-05-11 38.50 0.50 25.00 110 2012-05-03 162.50 2012-02-01 -437.50 -450.00
2011 2011-01-24 27.25 2011-05-13 107.25 80.00 4000.00 110 2011-05-13 4000.00 2011-01-25 -75.00 -437.50
2010 2010-01-22 41.00 2010-05-13 47.25 6.25 312.50 112 2010-05-13 312.50 2010-02-26 -187.50 -350.00
2009 2009-01-22 45.25 2009-05-13 48.75 3.50 175.00 112 2009-04-20 262.50 2009-01-30 -125.00 -137.50
2008 2008-01-22 -2.75 2008-05-13 35.00 37.75 1887.50 113 2008-05-07 1887.50 - 0.00 -950.00
2007 2007-01-22 18.00 2007-05-11 19.00 1.00 50.00 110 2007-04-02 487.50 2007-04-20 -587.50 -1075.00
2006 2006-01-23 22.50 2006-05-12 29.50 7.00 350.00 110 2006-05-03 400.00 2006-02-17 -125.00 -137.50
2005 2005-01-24 14.00 2005-05-13 19.25 5.25 262.50 110 2005-05-13 262.50 2005-03-17 -175.00 -200.00
2004 2004-01-22 9.50 2004-05-13 17.00 7.50 375.00 113 2004-05-11 375.00 2004-03-23 -37.50 -287.50
2003 2003-01-22 13.50 2003-05-13 14.25 0.75 37.50 112 2003-03-28 200.00 2003-01-24 -62.50 -237.50
2002 2002-01-22 13.25 2002-05-13 15.50 2.25 112.50 112 2002-04-22 300.00 2002-02-26 -62.50 -187.50
2001 2001-01-22 23.75 2001-05-11 25.50 1.75 87.50 110 2001-01-25 262.50 2001-03-06 -25.00 -287.50
2000 2000-01-24 25.00 2000-05-12 26.00 1.00 50.00 110 2000-04-27 150.00 2000-02-09 -75.00 -100.00
1999 1999-01-22 23.25 1999-05-13 24.25 1.00 50.00 112 1999-02-25 225.00 1999-02-05 -37.50 -200.00
1998 1998-01-22 14.75 1998-05-13 24.25 9.50 475.00 112 1998-04-22 475.00 - 0.00 -137.50
1997 1997-01-22 10.50 1997-05-13 17.75 7.25 362.50 112 1997-05-12 362.50 1997-03-19 -62.50 -250.00
1996 1996-01-22 8.75 1996-05-13 2.50 -6.25 -312.50 113 1996-03-14 337.50 1996-04-26 -637.50 -975.00
1995 1995-01-23 14.75 1995-05-12 19.50 4.75 237.50 110 1995-04-19 250.00 1995-02-08 -125.00 -187.50
1994 1994-01-24 8.50 1994-05-13 14.75 6.25 312.50 110 1994-04-28 325.00 1994-02-04 -50.00 -137.50
1993 1993-01-22 11.25 1993-05-13 13.00 1.75 87.50 112 1993-05-04 150.00 1993-02-01 -87.50 -175.00
1992 1992-01-22 12.75 1992-05-13 11.25 -1.50 -75.00 113 1992-02-26 100.00 1992-05-05 -162.50 -262.50
1991 1991-01-22 19.75 1991-05-13 21.50 1.75 87.50 112 1991-03-15 175.00 1991-01-25 -37.50 -125.00
1990 1990-01-22 16.75 1990-05-11 18.75 2.00 100.00 110 1990-03-29 162.50 1990-01-24 -25.00 -125.00
1989 1989-01-23 14.75 1989-05-12 18.75 4.00 200.00 110 1989-03-30 387.50 - 0.00 -325.00
1988 1988-01-22 12.50 1988-05-13 18.25 5.75 287.50 113 1988-05-11 400.00 1988-02-09 -25.00 -162.50
1987 1987-01-22 6.25 1987-05-13 9.25 3.00 150.00 112 1987-04-27 237.50 1987-02-20 -150.00 -262.50
1986 1986-01-22 9.00 1986-05-13 10.50 1.50 75.00 112 1986-02-13 337.50 1986-04-23 -162.50 -500.00
1985 1985-01-22 11.25 1985-05-13 10.75 -0.50 -25.00 112 1985-01-24 112.50 1985-04-04 -200.00 -312.50
1984 1984-01-23 20.75 1984-05-11 14.50 -6.25 -312.50 110 1984-01-26 87.50 1984-04-04 -450.00 -537.50
1983 1983-01-24 26.75 1983-05-13 24.75 -2.00 -100.00 110 1983-01-27 62.50 1983-03-18 -312.50 -375.00
1982 1982-01-22 27.75 1982-05-13 36.75 9.00 450.00 112 1982-02-04 550.00 - 0.00 -512.50
1981 1981-01-22 35.00 1981-05-13 41.00 6.00 300.00 112 1981-05-08 425.00 1981-03-17 -87.50 -350.00
1980 1980-01-22 30.25 1980-05-13 30.25 0.00 0.00 113 1980-03-31 325.00 1980-03-04 -262.50 -412.50
1979 1979-01-22 14.50 1979-05-11 11.00 -3.50 -175.00 110 1979-03-06 87.50 1979-05-09 -312.50 -400.00
1978 1978-01-23 15.75 1978-05-12 6.75 -9.00 -450.00 110 - 0.00 1978-05-12 -450.00 -450.00
1977 1977-01-24 15.87 1977-05-13 14.87 -1.00 -50.00 110 1977-04-13 137.50 1977-05-10 -100.00 -237.50
1976 1976-01-22 14.75 1976-05-13 20.25 5.50 275.00 113 1976-05-05 287.50 1976-01-26 -25.00 -125.00
1975 1975-01-22 16.00 1975-05-13 13.75 -2.25 -112.50 112 1975-01-24 175.00 1975-02-20 -225.00 -400.00
1974 1974-01-22 -0.50 1974-05-13 16.50 17.00 850.00 112 1974-05-09 875.00 1974-02-19 -400.00 -450.00
1973 1973-01-22 0.12 1973-05-11 0.12 0.00 0.00 110 1973-03-28 131.50 1973-02-05 -212.50 -300.00
1972 1972-01-24 6.62 1972-05-12 6.62 0.00 0.00 110 1972-03-17 31.50 1972-04-28 -106.00 -137.50
1971 1971-01-22 7.00 1971-05-13 5.87 -1.13 -56.50 112 1971-02-11 37.50 1971-05-12 -100.00 -137.50
1970 1970-01-22 6.00 1970-05-13 6.75 0.75 37.50 112 1970-05-11 69.00 1970-04-23 -31.50 -100.00
1969 1969-01-22 7.75 1969-05-13 8.13 0.38 19.00 112 1969-02-10 68.50 1969-05-08 -31.00 -99.50
1968 1968-01-22 8.12 1968-05-13 9.50 1.38 69.00 113 1968-05-08 69.00 1968-01-26 -24.50 -38.00
1967 1967-01-23 7.63 1967-05-12 9.37 1.74 87.00 110 1967-05-01 100.00 1967-02-08 -44.00 -56.50
1966 1966-01-24 6.12 1966-05-13 7.50 1.38 69.00 110 1966-04-28 69.00 1966-01-27 -6.00 -37.50
1965 1965-01-22 6.38 1965-05-13 6.50 0.12 6.00 112 1965-02-10 31.00 1965-01-29 -12.50 -37.50
1964 1964-01-22 5.87 1964-05-13 6.12 0.25 12.50 113 1964-03-11 75.50 1964-01-23 -43.50 -81.00
1963 1963-01-22 7.13 1963-05-13 6.12 -1.01 -50.50 112 1963-01-23 12.00 1963-04-22 -112.50 -124.50
1962 1962-01-22 7.75 1962-05-11 7.00 -0.75 -37.50 110 1962-02-21 56.50 1962-05-07 -100.00 -156.50
1961 1961-01-23 7.75 1961-05-12 9.50 1.75 87.50 110 1961-05-09 87.50 1961-03-09 -25.00 -106.50
1960 1960-01-22 7.37 1960-05-13 7.50 0.13 6.50 113 1960-02-03 25.50 1960-04-06 -37.50 -63.00
1959 1959-01-22 6.50 1959-05-13 7.63 1.13 56.50 112 1959-04-17 75.00 1959-02-10 -62.50 -68.50
1958 1958-01-22 7.00 1958-05-13 8.25 1.25 62.50 112 1958-03-10 87.50 - 0.00 -56.50
1957 1957-01-22 4.50 1957-05-13 6.50 2.00 100.00 112 1957-04-03 118.50 - 0.00 -43.50
1956 1956-01-23 5.37 1956-05-11 4.37 -1.00 -50.00 110 1956-01-30 75.00 1956-05-11 -50.00 -125.00
1955 1955-01-24 5.50 1955-05-13 3.88 -1.62 -81.00 110 1955-01-28 18.50 1955-04-25 -93.50 -112.00
1954 1954-01-22 5.75 1954-05-13 9.00 3.25 162.50 112 1954-05-13 162.50 1954-02-01 -131.50 -250.00
1953 1953-01-22 5.75 1953-05-13 9.37 3.62 181.00 112 1953-04-17 206.00 1953-01-26 -12.50 -62.00
1952 1952-01-22 3.50 1952-05-13 6.25 2.75 137.50 113 1952-05-13 137.50 1952-01-23 -12.50 -68.50