Hi dear C2 community members. Starting of this year 4 trading systems have been launched on C2. All system have algo models that stand behind of them and based on ideas - value investing, contango monetization in natural gas, volatility selling using hedge against the spike risk. I will link backtest for systems here and will highlight trading stats and mechanics. All systems use rules based trading and hedging to preserve the capital and to mitigate DD. Below explained trading idea for Oilgasfund. I do planning to obtain TOS shortly.
Oilgasfund using long - short low leverage trading style. Long position introduced by oil and natural gas companies. Stocks selected among XOP and XLE components and pick up criteria - low volatility as TA indicator and stable cash flow, as fundamental. I revise portfolio components annually. And portion of oil and gas companies not exceed 50% of total portfolio value . Short positions - UGAZ. UNG . Trading idea - contango impact that decay natural gas fund value. As part of this algorithm i use model to forecast the rate of contango or negative rollover yield in two nearest natural gas futures. Max long term position value of natgas short in portfolio has limitation - 50% . I do revise it quarterly. Also trading model use systematically uncovered call option writing with delta adjustments 0.25. Total exposure of natural gas short position do not exceed 100% and switching its size depending on inventories and COT of natural gas. I hope that this trading system will find community attention and will disclose trading data more closely.
