Corn Futures Seasonality — First Business Day Edge (1970–2026 CBOT Backtest)

CBOT Corn futures (ZC1!) show a strong seasonal edge on the first business day of the month. Backtest from 14.01.1970–13.03.2026 reveals ROI 2,374.83% with profit factor 1.96, Sharpe 3.65 and a 60.24% win rate across 674 trades. The average gain per trade is 0.50% with very low volatility (2.19), making it one of the strongest day-of-month patterns in corn futures. Explore the full breakdown and see how this first-business-day effect compares to other trading days in ZC1!.

MetaDuro Quantitative Desk

Model Performance Verdict & Backtest Audit

Verified Backtest
Cumulative ROI
+2,157.0%
Total Net Return
Win Rate
60.1%
Positive Sessions
Profit Factor
1.91
Gross Win / Loss
Sharpe Ratio
3.50
Risk-Adjusted Alpha
Max Drawdown
-65.1%
Peak-to-Trough Decline
Current Drawdown
-38.3%
From Recent Peak
Annualized (CAGR)
+5.6%
Compound Growth
Consistency (R²)
0.79
Equity Curve Fit
Audited Sample
681
Historical Executions
Executive Research Synthesis
Verdict: CAUTIONARY REGIME

Over an empirical backtest sample comprising 681 audited executions, this model achieved a cumulative net return of +2,157.0% (+5.6% compound annual growth rate). Trade execution efficiency registered a 60.1% win rate (demonstrating robust directional accuracy), paired with a solid profit factor of 1.91. Downside risk analysis records a maximum historical drawdown of -65.1% (elevated drawdown risk during market contractions requiring disciplined margin management), while current drawdown stands at -38.3% from recent peak equity. Risk metrics reflect an annualized Sharpe ratio of 3.50 (exceptional risk-adjusted alpha) alongside an R² statistical fit score of 0.79 (79% consistency, indicating high equity curve linearity with controlled dispersion).

Historical return drift exhibits negative expectancy or elevated drawdown during the tested interval; macro trend filters are recommended.
Audit Methodology: Historical backtests evaluate trade entries and exits with zero lookahead bias based on verified market price history. Past performance does not guarantee future results.

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