Among the most important energy futures is RBOB Gasoline, an instrument that tracks the price of gasoline in the United States. This instrument is listed on the NYMEX and is characterized by high volatility and changing liquidity during the session.

In today's video, we’ll introduce you to two strategies in our portfolio that exploit the recurring movements of this instrument.

By watching the video, you’ll discover:
-The rules of the two strategies, both of which are based on a bias approach
-Their recent performance

Enjoy! 😎

Transcription

Hello everyone, and welcome back to another one of our videos. One of the coaches at Unger Academy here and this is our usual chat about the strategies in our portfolio that have performed the best over the last period.

Okay, so this week, I want to talk to you about RBOB Gasoline. It's a futures that tracks the trend in gasoline prices in the US. And as you know, this commodity, being an oil derivative, recently saw its prices go up due to what we can certainly consider an energy crisis that derived from…yeah, that occurred after Russia invaded Ukraine.

So, this market is well-suited to different types of logic, namely, trend following, reversal, or bias, as we'll see here in this video.

This market also has a pretty high Big Point Value, that is, a pretty high value of one point.

In fact, it's worth $42,000, and at current prices, we're more or less around $2.30 on the current maturity.

We can see that the equivalent value of this underlying would reach around $100,000.

Clearly, a notional of this kind, with such volatility in this market, which I can already tell you is very high, makes these products very risky.

Unfortunately, there are still no micro or mini contracts that are, let's say, acceptable or at least tradable in terms of the number of contracts and liquidity traded during the day.

And that's why I'd recommend these products only to those traders who are well capitalized.

Let's see what will happen in the future, also given the trend of the new micro products that are launched in the market.

So let's see if this product, the RBOB, will also have more minor contracts that are liquid enough and can also be traded by retail traders like us.

But let's go and have a look at the first strategy, which is based on a bias approach.

More specifically, this is a weekly bias strategy that makes two trades per week, a long trade and a short trade.

But when does this strategy open the trades? Well, it enters bridging the weekend, so basically, between Friday and Monday.

In particular, we’ll enter on Friday with long positions at the breakout of the high of the last three bars, while for the short positions, we'll enter on Monday and then, in the next session, upon the occurrence of a breakout, this time towards the low of the last three bars.

This strategy was developed in 2018, and here we see the last 365 trading days, about a year and a half of trading.

And you can see that while there were periods where this type of strategy didn’t perform very well, these moments were followed by solid rallies, kind of moments where this strategy has responded very well to the logic of the weekly bias that dominates this market.

So let's move on to the next strategy, which was also developed on the RBOB, but this time we’ve introduced a more decisive breakout confirmation than in the previous strategy.

We’re going to make long trades mainly in the second part of the day and place our orders at the upper level of a 180-period channel.

In this case, we’re talking about 5-minute bars, so 180 periods are equivalent to 900 minutes, that would then be nothing more than an hourly confirmation of what happened in the mid-session.

Because we know that the session lasts 23 hours, in this case, 900 minutes are equal to 15 hours, so a little more than a high or a low occurred in the last 15 hours.

The short trades will take place similarly; on the lower side of the channel, we’ll place our short orders, and when the market reaches these levels, we’ll enter.

The long trades will occur as mentioned in the afternoon, so between 10:45 am and 3:15 pm Exchange time, we're talking about Nymex here, so New York.

On the other hand, the short side will be active between 03:30 am and 10:45 am, again, exchange time.

Now let's take a look at the results that this strategy has produced.

This strategy has also been out-of-sample for several years since 2017, to be precise, and over the last 365 days, it has also seen its profits soar and generally hold steady even around the equity highs.

Let's look at the year-by-year results that this strategy has produced.

We’ll see that if we see a little bit less for 2021, which has been cut. We’ll probably see something less than half a year.

But still, I mean, there were some excellent trades.

And then 2022 was confirmed to be more or less in line with the last months of 2021.

You can see that the Average trade is holding steady above $150.

These results are already net of commissions and slippage and, therefore, should be considered net.

At this point, we hope you enjoyed this video and found it helpful.

If there is anyone among you who's interested in the world of systematic trading, we're going to leave a link in the description of this video where you can access some very interesting resources.

You can go and watch a free presentation by Andrea Unger, our founder and the only 4-time world trading champion, or get our best-selling book, "The Unger Method," by just covering the shipping costs, or book a free call with a member of our team.

Of course, if you enjoyed this video, please leave us a Like, subscribe to our channel, and click on the notification bell to stay updated.

We thank you so much for watching and we will see you soon in our next video, bye bye for now!

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