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Crude Oil Trader Z


#1

Was wondering if anybody has any information, in put, or thoughts on this strategy. It is new started in November average hold time is 7.3 hours average win is twice as great as average loss. Just reviewing it. To my knowledge here on C2 we have not had any long term strategy’s for oil. https://collective2.com/details/115023400


#2

Most good strategies last longer than 6 months so I’d say give it some time for better analysis. Its still too early but it does look promising since there’s no averaging down.


#3

Agreed. Same size each trade, seems to have stops, but does take large DD’s per trade (>5% in some cases).
Still, does look promising. Little pricey IMO.


#4

I Agree with AgoSystems and DogZebra. The system doesn’t have much of a history but so far it looks good and fits my criterion:
Sharpe Ratio > 3 (4.715)
Correlation S&P500<.5 (0.188)
Calmer Ratio >25 (60.496)

However, time will say whether it’s going to keep shining! Good luck!


#5

@DogZebra_Investing, Good for you! Good strategies will keep you from eating popcorn and watching trainwrecks! LOL!


#6

Here is a snapshot of an excel that I created for this strategy for tracking purpose as of February 15, 2018:


#7

This strategy looks good. However, I think it is prudent to wait a while longer before issuing an opinion.


#8

MohammadKabir thanks for the spreadsheet. I do agree with all that it is still to new. Personally i usually never use real money till after 6 months of history. Given the recent events in the last few weeks i find myself looking at other strategy options. If anybody has found something interesting that they are looking at as well let me know. Thanks for the feedback keep it coming.


#9

@GREGGL One idea would be to consider the highest Sharpe ratio reading among C2 futures systems that have traded at least 30 times. Oh sorry that’s my system (6.7 Sharpe): :slight_smile:

I understand you need 6 months,I have further 6 months from my C2 system from 2013.


#10

Just some pertinent info–

I did the final testing and optimization for this strategy. It uses a pattern recognition algorithm. There is no averaging up or down. For now, the profit target is 110 ticks and the initial protective stop is set at about 90 ticks. The daytrading system will stop trading for the day if there is a realized loss of over $2000. The signals are transmitted to C2 via PlatformTransmit. We have a VPN server located in NYC running Ninjatrader continuously with realtime datafeed from DTN. There is no backtesting or forward testing that I can show here. A better way is to observe it in real-time for at least 6 months. The strategy is for individuals with high risk tolerance.


#11

5-month update: Hit a high water mark in account equity today, +$16383. Attached are the charts of the last five trades.


#12

Another high water in account equity from past week. Now the strategy is up $20000 (or $10000 per contract) since November 2017,


#13

1-year performance review:

Achieved an equity new high right around the 1-year mark, made over $28000 daytrading two contracts of NYMEX Crude Oil. Drawdown is a manageable 18.2% (around $4700 per contract). Sharpe ratio is 2.755. As expected, the strategy performs equally well in a higher volatility environment. Crude Oil is a very difficult market to trade, but this strategy, with its proven pattern recognition algorithm, finds success by identifying tradeable V-tops or V-bottoms. New subscribers (or past subscribers) can get on board with the first month subscription fee half off. Just hit the “Simulate This” and I will send out an e-coupon.


#14

You aren’t kidding. Anyone who could succeed in this year’s crude oil market madness gets mad props from me. Well done sir, I tip my hat to you.
:face_with_monocle:


#15

Thank you, It is not easy monitoring the trades 22/5.


#16

Your strategy is one of the few on my watchlist that has been profitable consistently! Kudos! :clap:


#17

Thank you. The strategy has a long-term statistical edge. Just have to be sure everyone (including me) on board is well-capitalized!


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