Futures Spread Strategy For May, 2023 - Buy ZLH24-ZLN23

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Futures Spread Strategy For May, 2023 - Buy ZLH24-ZLN23

This futures spread combines several conditions to create an interesting trading opportunity.

  • 100% Win in last 20 years
  • Strong seasonal patterns correlation in trading window
  • The spread is moving in the range from 12/2022
  • The stop loss can be placed under a local support level.

Backtest BUY ZLH24-ZLN23 Entry: 2023-05-16 Exit: 2023-06-17

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% 33 45.35 9999 96.00 48.00 1496.40 -423.60 1870.50 0.00 1612.80 -33.60 7482.00 7482.00 0.00 24.00
10 100% 10 0 20% 33 25.22 9999 198.00 22.64 832.20 -319.20 924.67 0.00 951.00 -42.00 8322.00 8322.00 0.00 24.00
15 100% 15 0 13% 33 18.35 9999 198.00 22.99 605.60 -242.40 648.86 0.00 708.00 -30.80 9084.00 9084.00 0.00 24.00
20 100% 20 0 15% 33 15.30 9999 198.00 20.62 504.90 -238.20 531.47 0.00 618.60 -30.00 10098.00 10098.00 0.00 24.00
30 90% 27 3 20% 33 12.17 34.47 198.00 12.16 401.60 -217.80 477.23 -90.00 505.80 -41.60 12048.00 12408.00 -360.00 54.00
60 83% 50 10 30% 33 7.83 4.12 858.00 2.83 258.40 -290.60 417.67 -451.09 425.10 -150.00 15504.00 20466.00 -4962.00 858.00
Equity for backtest
Year Enter date Enter price Exit date Exit price Points Profit Days# Best Date Best Worst Date Worst Drawdown
2022 2022-05-16 -9.71 2022-06-17 -3.46 6.25 3750.00 33 2022-06-17 3750.00 - 0.00 -1290.00
2021 2021-05-17 -11.89 2021-06-17 -5.83 6.06 3636.00 32 2021-06-11 4050.00 2021-05-18 -24.00 -540.00
2020 2020-05-18 1.10 2020-06-17 1.21 0.11 66.00 31 2020-06-11 156.00 2020-05-20 -24.00 -96.00
2019 2019-05-16 1.14 2019-06-17 1.14 0.00 0.00 33 2019-06-14 72.00 2019-05-29 -24.00 -84.00
2018 2018-05-16 1.35 2018-06-15 1.40 0.05 30.00 31 2018-06-14 36.00 2018-06-08 -96.00 -108.00
2017 2017-05-16 0.63 2017-06-16 0.80 0.17 102.00 32 2017-06-05 180.00 - 0.00 -108.00
2016 2016-05-16 0.57 2016-06-17 0.87 0.30 180.00 33 2016-06-16 258.00 - 0.00 -132.00
2015 2015-05-18 0.44 2015-06-17 0.67 0.23 138.00 31 2015-06-17 138.00 2015-06-01 -198.00 -240.00
2014 2014-05-16 0.07 2014-06-17 0.59 0.52 312.00 33 2014-06-02 492.00 - 0.00 -306.00
2013 2013-05-16 -1.12 2013-06-17 -0.94 0.18 108.00 33 2013-05-29 378.00 2013-05-21 -54.00 -288.00
2012 2012-05-16 1.35 2012-06-15 1.37 0.02 12.00 31 2012-06-04 180.00 - 0.00 -168.00
2011 2011-05-16 1.32 2011-06-17 1.91 0.59 354.00 33 2011-06-13 372.00 2011-05-20 -24.00 -96.00
2010 2010-05-17 1.54 2010-06-17 1.65 0.11 66.00 32 2010-06-11 132.00 2010-05-20 -6.00 -66.00
2009 2009-05-18 1.14 2009-06-17 1.37 0.23 138.00 31 2009-06-12 192.00 2009-05-20 -6.00 -54.00
2008 2008-05-16 2.12 2008-06-17 2.44 0.32 192.00 33 2008-06-10 234.00 2008-05-22 -6.00 -60.00
2007 2007-05-16 1.74 2007-06-15 1.81 0.07 42.00 31 2007-06-13 84.00 2007-06-05 -36.00 -114.00
2006 2006-05-16 1.31 2006-06-16 1.44 0.13 78.00 32 2006-06-07 156.00 - 0.00 -78.00
2005 2005-05-16 0.17 2005-06-17 0.21 0.04 24.00 33 2005-06-08 180.00 2005-05-26 -84.00 -156.00
2004 2004-05-17 -4.35 2004-06-17 -3.35 1.00 600.00 32 2004-06-03 948.00 2004-05-19 -18.00 -570.00
2003 2003-05-16 -1.12 2003-06-17 -0.67 0.45 270.00 33 2003-06-12 384.00 - 0.00 -210.00
2002 2002-05-16 0.92 2002-06-17 0.76 -0.16 -96.00 33 2002-05-22 30.00 2002-06-04 -120.00 -150.00
2001 2001-05-16 1.07 2001-06-15 1.19 0.12 72.00 31 2001-05-25 114.00 - 0.00 -60.00
2000 2000-05-16 1.50 2000-06-16 1.53 0.03 18.00 32 2000-06-12 120.00 2000-06-15 -36.00 -156.00
1999 1999-05-17 1.27 1999-06-17 1.25 -0.02 -12.00 32 1999-05-26 66.00 1999-06-11 -60.00 -126.00
1998 1998-05-18 -0.44 1998-06-17 0.53 0.97 582.00 31 1998-06-05 600.00 1998-05-20 -0.00 -444.00
1997 1997-05-16 0.98 1997-06-17 1.08 0.10 60.00 33 1997-06-10 162.00 1997-05-29 -96.00 -144.00
1996 1996-05-16 0.72 1996-06-17 1.09 0.37 222.00 33 1996-06-17 222.00 - 0.00 -132.00
1995 1995-05-16 0.01 1995-06-16 -0.41 -0.42 -252.00 32 1995-05-19 132.00 1995-06-15 -282.00 -414.00
1994 1994-05-16 -2.83 1994-06-17 -0.73 2.10 1260.00 33 1994-06-17 1260.00 1994-05-18 -54.00 -102.00
1993 1993-05-17 0.83 1993-06-17 0.99 0.16 96.00 32 1993-06-17 96.00 - 0.00 -42.00
1992 1992-05-18 1.07 1992-06-17 1.22 0.15 90.00 31 1992-06-17 90.00 1992-06-02 -66.00 -138.00
1991 1991-05-16 1.32 1991-06-17 1.47 0.15 90.00 33 1991-06-17 90.00 1991-05-21 -18.00 -84.00
1990 1990-05-16 -1.37 1990-06-15 -1.27 0.10 60.00 31 1990-06-05 84.00 1990-05-18 -186.00 -234.00
1989 1989-05-16 1.79 1989-06-16 1.29 -0.50 -300.00 32 1989-05-17 30.00 1989-05-30 -324.00 -354.00
1988 1988-05-16 1.25 1988-06-17 0.49 -0.76 -456.00 33 1988-06-03 108.00 1988-06-17 -456.00 -564.00
1987 1987-05-18 1.29 1987-06-17 1.37 0.08 48.00 31 1987-06-16 102.00 1987-05-29 -66.00 -84.00
1986 1986-05-16 0.79 1986-06-17 1.13 0.34 204.00 33 1986-06-13 270.00 1986-05-23 -276.00 -282.00
1985 1985-05-16 -3.70 1985-06-17 -5.32 -1.62 -972.00 33 - 0.00 1985-06-10 -1110.00 -1110.00
1984 1984-05-16 -8.75 1984-06-15 -4.17 4.58 2748.00 31 1984-06-15 2748.00 1984-05-18 -858.00 -858.00
1983 1983-05-16 1.35 1983-06-17 1.09 -0.26 -156.00 33 - 0.00 1983-06-06 -282.00 -282.00
1982 1982-05-17 1.43 1982-06-17 1.65 0.22 132.00 32 1982-06-08 282.00 1982-05-20 -54.00 -150.00
1981 1981-05-18 2.35 1981-06-17 2.67 0.32 192.00 31 1981-06-12 378.00 1981-05-20 -102.00 -198.00
1980 1980-05-16 1.52 1980-06-17 1.64 0.12 72.00 33 1980-06-17 72.00 1980-05-23 -168.00 -192.00
1979 1979-05-16 -0.17 1979-06-15 0.55 0.72 432.00 31 1979-06-14 588.00 1979-05-18 -24.00 -156.00
1978 1978-05-16 -4.23 1978-06-16 -3.52 0.71 426.00 32 1978-06-08 1050.00 - 0.00 -624.00
1977 1977-05-16 -5.75 1977-06-17 -2.33 3.42 2052.00 33 1977-06-17 2052.00 - 0.00 -708.00
1976 1976-05-17 0.74 1976-06-17 0.97 0.23 138.00 32 1976-06-09 168.00 1976-05-18 -12.00 -120.00
1975 1975-05-16 -3.28 1975-06-17 -3.17 0.11 66.00 33 1975-05-28 108.00 1975-06-09 -384.00 -492.00
1974 1974-05-16 -5.53 1974-06-17 -7.20 -1.67 -1002.00 33 1974-05-28 90.00 1974-06-14 -1002.00 -1092.00
1973 1973-05-16 -3.89 1973-06-15 -6.20 -2.31 -1386.00 31 1973-05-21 210.00 1973-06-15 -1386.00 -1596.00
1972 1972-05-16 -0.80 1972-06-16 -0.33 0.47 282.00 32 1972-06-14 288.00 1972-05-23 -42.00 -114.00
1971 1971-05-17 -0.77 1971-06-17 -1.32 -0.55 -330.00 32 1971-05-18 114.00 1971-06-17 -330.00 -444.00
1970 1970-05-18 -1.50 1970-06-17 -1.28 0.22 132.00 31 1970-06-16 192.00 1970-05-22 -210.00 -228.00
1969 1969-05-16 -0.97 1969-06-17 -0.33 0.64 384.00 33 1969-06-13 444.00 - 0.00 -60.00
1968 1968-05-16 -0.22 1968-06-17 0.19 0.41 246.00 33 1968-06-06 258.00 - 0.00 -48.00
1967 1967-05-16 -0.11 1967-06-16 0.04 0.15 90.00 32 1967-06-09 120.00 1967-05-19 -24.00 -54.00
1966 1966-05-16 -0.52 1966-06-17 -0.46 0.06 36.00 33 1966-06-10 174.00 1966-05-18 -66.00 -138.00
1965 1965-05-17 -1.07 1965-06-17 -1.01 0.06 36.00 32 1965-05-20 102.00 1965-06-04 -294.00 -396.00
1964 1964-05-18 0.43 1964-06-17 0.55 0.12 72.00 31 1964-05-27 72.00 - 0.00 -48.00
1963 1963-05-16 0.29 1963-06-17 0.34 0.05 30.00 33 1963-05-29 48.00 1963-05-21 -12.00 -54.00