Futures Spread Strategy For April, 2020 - Buy ZMU20-ZMH21

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Futures Spread Strategy For April, 2020 - Buy ZMU20-ZMH21

This futures spread combines several conditions to create good trading opportunity.

  • 80% Win in last 20 years
  • All seasonal patterns up to 30 years have similar movement and correlation over 90%
  • Possible to entry at support and use a small stop-loss
  • A lot of space for growth according to stacked graph
  • Warning: there is a possibility for Head and shoulders formation, where the price can go in the opposite direction after small growth.

Backtest BUY ZMU20-ZMH21 Entry: 2020-04-11 Exit: 2020-05-04

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 40% 24 20.33 9999 430.00 4.98 488.00 -300.00 488.00 0.00 618.00 -124.00 2440.00 2440.00 0.00 0.00
10 90% 9 1 40% 24 21.33 129.00 430.00 4.43 512.00 -347.00 573.33 -40.00 669.00 -151.00 5120.00 5160.00 -40.00 0.00
15 87% 13 2 47% 24 18.47 31.23 430.00 4.49 443.33 -372.67 572.50 -73.33 613.33 -136.67 6650.00 6870.00 -220.00 0.00
20 80% 16 4 50% 24 14.90 15.02 430.00 3.02 357.50 -381.50 510.67 -102.00 530.50 -175.50 7150.00 7660.00 -510.00 80.00
24 79% 19 5 42% 24 15.50 17.24 500.00 3.07 372.08 -390.83 526.67 -91.67 540.00 -175.83 8930.00 9480.00 -550.00 500.00
Equity for backtest
Year Enter date Enter price Exit date Exit price Points Profit Days# Best Date Best Worst Date Worst Drawdown
2019 2019-04-11 -6.0 2019-05-03 -5.0 1.0 100.00 23 2019-04-25 210.00 - 0.00 -130.00
2018 2018-04-11 18.7 2018-05-04 21.6 2.9 290.00 24 2018-05-01 650.00 2018-04-23 -430.00 -620.00
2017 2017-04-11 0.2 2017-05-04 0.4 0.2 20.00 24 2017-05-01 140.00 2017-04-19 -120.00 -230.00
2016 2016-04-11 -3.4 2016-05-04 13.3 16.7 1670.00 24 2016-05-03 1730.00 - 0.00 -350.00
2015 2015-04-13 0.2 2015-05-04 3.8 3.6 360.00 22 2015-05-04 360.00 2015-04-15 -70.00 -170.00
2014 2014-04-11 31.7 2014-05-02 34.5 2.8 280.00 22 2014-04-29 530.00 2014-04-23 -60.00 -450.00
2013 2013-04-11 16.8 2013-05-03 16.4 -0.4 -40.00 23 - 0.00 2013-04-24 -710.00 -710.00
2012 2012-04-11 19.7 2012-05-04 39.9 20.2 2020.00 24 2012-04-30 2350.00 - 0.00 -330.00
2011 2011-04-11 -2.3 2011-05-04 1.3 3.6 360.00 24 2011-04-26 460.00 2011-04-13 -80.00 -230.00
2010 2010-04-12 6.4 2010-05-04 7.0 0.6 60.00 23 2010-04-22 260.00 2010-04-13 -40.00 -250.00
2009 2009-04-13 15.7 2009-05-04 31.7 16.0 1600.00 22 2009-05-04 1600.00 - 0.00 -690.00
2008 2008-04-11 20.0 2008-05-02 20.0 0.0 0.00 22 2008-04-23 450.00 2008-04-16 -300.00 -750.00
2007 2007-04-11 -7.5 2007-05-04 -9.3 -1.8 -180.00 24 - 0.00 2007-05-02 -190.00 -190.00
2006 2006-04-11 -5.4 2006-05-04 -5.1 0.3 30.00 24 2006-04-25 220.00 - 0.00 -200.00
2005 2005-04-11 -1.2 2005-05-04 -0.4 0.8 80.00 24 2005-04-13 240.00 2005-04-19 -50.00 -290.00
2004 2004-04-12 48.5 2004-05-04 46.3 -2.2 -220.00 23 2004-04-15 150.00 2004-04-22 -1050.00 -1200.00
2003 2003-04-11 8.5 2003-05-02 12.9 4.4 440.00 22 2003-05-01 600.00 2003-04-23 -50.00 -220.00
2002 2002-04-11 2.1 2002-05-03 3.5 1.4 140.00 23 2002-04-24 360.00 2002-04-12 -100.00 -230.00
2001 2001-04-11 0.4 2001-05-04 -0.3 -0.7 -70.00 24 2001-04-19 90.00 2001-04-30 -190.00 -280.00
2000 2000-04-11 -3.9 2000-05-04 -1.8 2.1 210.00 24 2000-05-04 210.00 2000-04-13 -70.00 -110.00
1999 1999-04-12 -10.7 1999-05-04 -8.4 2.3 230.00 23 1999-04-26 240.00 1999-04-22 -50.00 -220.00
1998 1998-04-13 -5.4 1998-05-04 -5.8 -0.4 -40.00 22 1998-04-24 170.00 1998-04-28 -160.00 -330.00
1997 1997-04-11 33.5 1997-05-02 43.7 10.2 1020.00 22 1997-05-02 1020.00 1997-04-21 -500.00 -700.00
1996 1996-04-11 0.0 1996-05-03 5.7 5.7 570.00 23 1996-04-26 920.00 - 0.00 -500.00