Hey, everyone, and welcome back to our usual chat that we have about the strategies in our portfolio that have performed the best in the last period.
Okay, so this week, I want to tell you about RBOB Gasoline.
It’s a futures that is part of the Energy sector.
And it tracks the trend of the price of U.S. gasoline. And this market is well-suited for strategies that are based on trend-following and bias approaches.
But let’s just start as always with the first strategy that I want to show you today.
This is a trend-following strategy that keeps positions open beyond the end of the session, which means that it is a multiday strategy.
It opens both long and short positions, and other filters have also been included, such as a time window, a filter based on the ADX, which must be lower than 45, as well as filters for the days of the week whose purpose is to let us avoid opening long positions on Monday and short positions on Thursday.
The stop loss is $1,800. The break-even is in place and is at $1,000, and the take profit is at $3,000.
This is a strategy that has been out-of-sample for a couple of years, and it’s really worked very well over the last 365 trading days, which means more or less over the previous year and a half.
This market has been trending up for quite some time, but then in the last phase… well, we could say that there’s been a sort of reversal, or at least that prices have stopped going up and then settled down a little bit.
So, let’s go and have a look at the equity line. Let’s see the long and short equity lines, and you can see that the strategy has been able to exploit very well the recent declines that happened over the last few months.
Alright, let’s move on to the next strategy that I want to show you today.
This strategy is also based on a trend-following logic, but unlike the previous one it enters at specific times of the day that are different for the long and the short trades.
The long trades, in particular, are opened in the 11:00 am bar, New York Exchange time.
And we’re working on 60-minute bars. While the short trades are opened at 9:00 p.m., so basically, a couple of hours after the session starts, which we know starts at 6:00 p.m. Exchange time, and ends at 5:00 p.m.
So for the first part of the session, you’ll try to enter short when the low of the previous bar is crossed,
while the long entries will be made in the second part of the session, precisely at 11:00 am, on breaking the high of the previous bar.
This strategy has also been created some years ago but unlike the previous one is an intraday strategy, which means that positions will be closed at the end of the session.
And yeah, it has also performed exceptionally well. In the last 365 days, this strategy has accumulated gains of about $22,500.
And also, the Average trade since the beginning of the year, if you consider that these numbers are already net of commissions and slippage, meaning these costs have already been taken into account, has given us a return of over $16,000.
The slippage paid (in this case, the commissions are zero, but because they were included in the slippage costs), you see that for an equivalent of, say, 137 trades, we considered $6,000 in commissions.
So that’s a pretty good value that certainly lets us go live with this type of strategy.
So yeah, guys go and give it a try too! These strategies are easy to code and can give some excellent results!
And if anyone among you is interested in the world of systematic trading, you can go and click on the link in the description of this video. From there, you can go and watch a free presentation by Andrea Unger, the only 4-time World trading champion in real-money trading, or you can go and get our best-selling book by just covering shipping costs, or you can even book a free call with a member of our team.
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Thank you so much for watching and I will see you soon in our next video. Bye bye for now!
