Introduction
Hello and welcome to this new video where, as usual, we’ll dive into a couple of our portfolio strategies that have performed very well recently.
Today, we’re specifically talking about coffee futures traded on the ICE exchange, a market we’ve covered before.
This time, we’ll introduce two new strategies: one intraday and the other multiday.
Coffee futures are intriguing because they allow for the creation of effective trend-following systems that aren’t overly complex. However, there’s still no micro contract available, it’s more suitable for traders with a medium to large capital.
With that said, I’m one of the coaches at the Unger Academy, and let’s start with the first system analysis.
Intraday Strategy
This is an intraday strategy, meaning each position will close by the end of the trading session.
It operates on a 5-minute timeframe, with entry levels calculated using a n-period Donchian channel.
Trades are filtered using our pattern libraries and include risk management measures such as a monetary stop loss set at $1,700 and a take profit at $1,900.
Looking at the metrics, the equity line is impressively stable.
It has generated about $242,000 in net profit since 2010, with a maximum drawdown of around $10,000.
The average trade is $184 spread across 1,315 trades, which is quite good for an intraday strategy, especially given the instrument’s pretty large tick value of $18.75.
I’d also like to highlight a less commonly discussed metric, the time analysis, which measures how long our system stays in the market.
In this case, the percentage is very low at 6.57%, which has the great advantage of lowering the risk by keeping trades open for only a short duration.
Multiday Strategy
Now, let’s move to the multiday strategy. This uses an n-period Donchian Channel for entry levels.
However, this strategy keeps positions open beyond the end of the trading day. If the trend continues, the position is kept open until it reaches the profit target, while if it changes its direction, it is kept open until it reaches the stop loss or the breakeven stop.
Evaluating its performance, this system has produced around $197,000 since 2010, with a maximum drawdown near $29,000.
As you can see, the equity line of this strategy is less regular than that of the intraday strategy.
Moreover, drawdowns are deeper due to a tight stop loss of $1,100 and a wide take profit of $11,000, leading in a relatively low profitability percentage of around 35%, which is typical for trend-following strategies.
The average trade here is higher, at around $262.
Looking at the net profit distribution over the years, we see some excellent years and some less favorable ones.
In recent years, the strategy has performed very well, including 2024, with a net profit of over $19,000.
Conclusion
Today, we’ve reviewed two very interesting systems that have performed excellently this year.
So we’ll monitor them to see if they’ll continue to perform well for the rest of 2024.
And that’s it for today! For more information, please click on the link in the description.
From there you can watch a video by Andrea Unger, get our best-selling book "The Unger Method" by covering the shipping costs, or book a free call with a team member.
Thank you very much, and I’ll see you in the next video.
