Fellow quant here and data analysist. Will debut a automated intraday CL trading strategy in a few days, once I get VPN server setup up. It’s been in the walk forward incubator since december 2017 and I’m satisfied with the result I see to offer it here. Here are the backtest results, and the result during the 3 month incubation period I have for all my automated strategies. Would like to gauge interest. I have more in the pipeline coming out of incubation for other instruments.
Here are the stats, result includes commission and $20 slippage per trade.
a) 1 contract per trade, up to 2 entry
b) closes at end of day.
c) no new position taken at report to avoid slippage, but will hold existing positions.
Can field question regarding this strategy in the meantime.