Futures Spread Strategy For October, 2024 - Buy ZMN25-ZMU25

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Futures Spread Strategy For October, 2024 - Buy ZMN25-ZMU25

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

  • 100% Win in last 15 years
  • All seasonal patterns up to 30 years have similar movement and correlation over 86%
  • Role reversal - retracement back to 0 can be next support
  • Only 14 spreads since 1978 have ended below 0

Backtest BUY ZMN25-ZMU25 Entry: 2024-10-02 Exit: 2024-11-01

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% 31 9.29 9999 290.00 3.90 288.00 -230.00 288.00 0.00 398.00 -102.00 1440.00 1440.00 0.00 290.00
10 100% 10 0 70% 31 6.19 9999 290.00 5.16 192.00 -208.00 213.33 0.00 325.00 -63.00 1920.00 1920.00 0.00 290.00
15 100% 15 0 73% 31 6.82 9999 740.00 3.20 211.33 -268.00 226.43 0.00 367.33 -114.67 3170.00 3170.00 0.00 740.00
20 85% 17 3 60% 31 6.05 13.50 740.00 3.02 187.50 -261.50 253.13 -75.00 338.50 -112.00 3750.00 4050.00 -300.00 740.00
30 80% 24 6 57% 31 5.39 9.35 740.00 2.66 167.00 -252.33 267.14 -66.67 306.67 -115.33 5010.00 5610.00 -600.00 740.00
47 68% 32 15 60% 31 4.81 3.88 740.00 2.10 149.15 -294.26 325.52 -135.00 314.26 -149.36 7010.00 9440.00 -2430.00 740.00
Equity for backtest
Year Enter date Enter price Exit date Exit price Points Profit Days# Best Date Best Worst Date Worst Drawdown
2024 2023-10-02 2.5 2023-11-01 6.0 3.5 350.00 31 2023-10-19 590.00 2023-10-06 -90.00 -370.00
2023 2022-10-03 7.2 2022-11-01 11.3 4.1 410.00 30 2022-11-01 410.00 2022-10-06 -290.00 -290.00
2022 2021-10-04 -1.3 2021-11-01 0.5 1.8 180.00 29 2021-10-25 220.00 2021-10-08 -30.00 -70.00
2021 2020-10-02 9.2 2020-10-30 12.9 3.7 370.00 29 2020-10-21 520.00 2020-10-05 -100.00 -300.00
2020 2019-10-02 -2.9 2019-11-01 -1.6 1.3 130.00 31 2019-10-24 250.00 - 0.00 -120.00
2019 2018-10-02 -1.4 2018-11-01 -1.2 0.2 20.00 31 2018-10-17 110.00 2018-10-24 -50.00 -160.00
2018 2017-10-02 0.2 2017-11-01 0.8 0.6 60.00 31 2017-10-13 160.00 2017-10-24 -20.00 -180.00
2017 2016-10-03 0.6 2016-11-01 1.6 1.0 100.00 30 2016-10-27 240.00 2016-10-12 -40.00 -140.00
2016 2015-10-02 0.5 2015-10-30 0.5 0.0 0.00 29 2015-10-13 110.00 2015-10-06 -10.00 -110.00
2015 2014-10-02 -2.6 2014-10-31 0.4 3.0 300.00 30 2014-10-29 640.00 - 0.00 -340.00
2014 2013-10-02 13.9 2013-11-01 14.3 0.4 40.00 31 2013-10-04 130.00 2013-10-30 -220.00 -350.00
2013 2012-10-02 24.7 2012-11-01 30.3 5.6 560.00 31 2012-10-24 680.00 2012-10-10 -740.00 -740.00
2012 2011-10-03 0.0 2011-11-01 0.4 0.4 40.00 30 2011-10-14 430.00 - 0.00 -390.00
2011 2010-10-04 6.9 2010-11-01 12.3 5.4 540.00 29 2010-10-25 770.00 2010-10-07 -90.00 -280.00
2010 2009-10-02 0.0 2009-10-30 0.7 0.7 70.00 29 2009-10-14 250.00 2009-10-06 -40.00 -180.00
2009 2008-10-02 0.8 2008-10-31 -0.5 -1.3 -130.00 30 2008-10-08 20.00 2008-10-13 -230.00 -250.00
2008 2007-10-02 6.8 2007-11-01 15.0 8.2 820.00 31 2007-10-31 1020.00 - 0.00 -450.00
2007 2006-10-02 -2.7 2006-11-01 -2.1 0.6 60.00 31 2006-10-20 130.00 2006-10-27 -30.00 -160.00
2006 2005-10-03 -0.5 2005-11-01 -1.5 -1.0 -100.00 30 2005-10-13 20.00 2005-10-31 -160.00 -180.00
2005 2004-10-04 -1.7 2004-11-01 -2.4 -0.7 -70.00 29 2004-10-13 70.00 2004-10-28 -100.00 -170.00
2004 2003-10-02 12.8 2003-10-31 21.0 8.2 820.00 30 2003-10-29 820.00 2003-10-06 -80.00 -310.00
2003 2002-10-02 4.1 2002-11-01 5.6 1.5 150.00 31 2002-10-23 160.00 2002-10-08 -40.00 -130.00
2002 2001-10-02 2.2 2001-11-01 1.1 -1.1 -110.00 31 2001-10-08 60.00 2001-10-15 -230.00 -290.00
2001 2000-10-02 1.3 2000-11-01 0.7 -0.6 -60.00 31 2000-10-19 80.00 2000-10-09 -130.00 -210.00
2000 1999-10-04 -1.1 1999-11-01 -0.2 0.9 90.00 29 1999-10-18 100.00 1999-10-13 -30.00 -100.00
1999 1998-10-02 -3.3 1998-10-30 -1.6 1.7 170.00 29 1998-10-22 180.00 1998-10-05 -100.00 -170.00
1998 1997-10-02 -0.7 1997-10-31 -0.7 0.0 0.00 30 1997-10-23 220.00 1997-10-03 -180.00 -220.00
1997 1996-10-02 6.3 1996-11-01 5.0 -1.3 -130.00 31 1996-10-10 390.00 1996-10-17 -250.00 -640.00
1996 1995-10-02 2.2 1995-11-01 5.5 3.3 330.00 31 1995-11-01 330.00 1995-10-06 -130.00 -130.00
1995 1994-10-03 -3.1 1994-11-01 -3.1 0.0 0.00 30 1994-10-07 90.00 1994-10-11 -50.00 -140.00
1994 1993-10-04 -1.2 1993-11-01 -0.1 1.1 110.00 29 1993-10-15 230.00 - 0.00 -130.00
1993 1992-10-02 -1.7 1992-10-30 -2.0 -0.3 -30.00 29 1992-10-22 70.00 1992-10-29 -80.00 -150.00
1992 1991-10-02 2.6 1991-11-01 0.9 -1.7 -170.00 31 - 0.00 1991-10-25 -310.00 -310.00
1991 1990-10-02 3.2 1990-11-01 2.6 -0.6 -60.00 31 1990-10-09 570.00 1990-10-29 -200.00 -770.00
1990 1989-10-02 3.0 1989-11-01 0.6 -2.4 -240.00 31 1989-10-04 30.00 1989-10-31 -280.00 -310.00
1989 1988-10-03 18.2 1988-11-01 10.2 -8.0 -800.00 30 1988-10-05 50.00 1988-11-01 -800.00 -850.00
1988 1987-10-02 1.7 1987-10-30 2.1 0.4 40.00 29 1987-10-20 230.00 1987-10-13 -130.00 -250.00
1987 1986-10-02 0.3 1986-10-31 0.9 0.6 60.00 30 1986-10-10 70.00 1986-10-07 -130.00 -130.00
1986 1985-10-02 -0.5 1985-11-01 2.2 2.7 270.00 31 1985-10-07 350.00 - 0.00 -320.00
1985 1984-10-02 1.3 1984-11-01 0.2 -1.1 -110.00 31 1984-10-10 90.00 1984-10-29 -330.00 -420.00
1984 1983-10-03 21.0 1983-11-01 26.0 5.0 500.00 30 1983-10-27 570.00 1983-10-04 -650.00 -650.00
1983 1982-10-04 0.5 1982-11-01 0.4 -0.1 -10.00 29 1982-10-26 100.00 1982-10-29 -80.00 -180.00
1982 1981-10-02 -3.5 1981-10-30 -1.0 2.5 250.00 29 1981-10-21 300.00 - 0.00 -250.00
1981 1980-10-02 8.3 1980-10-31 32.7 24.4 2440.00 30 1980-10-31 2440.00 1980-10-03 -100.00 -680.00
1980 1979-10-02 -1.2 1979-11-01 -4.7 -3.5 -350.00 31 1979-10-03 70.00 1979-10-26 -360.00 -430.00
1979 1978-10-02 2.6 1978-11-01 2.0 -0.6 -60.00 31 1978-10-13 190.00 1978-10-11 -110.00 -280.00
1978 1977-10-03 -0.3 1977-11-01 1.3 1.6 160.00 30 1977-10-31 210.00 - 0.00 -150.00