The RBOB Gasoline Future is a very volatile market that has some recurring behaviors that can be effectively exploited in systematic trading. Our portfolio has two bias strategies that exploit these recurring behaviors and have performed pretty well in 2022.

Watch the video now to learn more about:
-The rules of the first strategy: "hybrid" trend-following bias intraday
-The rules of the second strategy: weekly bias with trend confirmation
-The real performance of these strategies

Enjoy! 😎

Transcription

Hey everyone, and welcome back to our usual chat about the strategies in our portfolio that have performed the best over the last period.

Alright, so today, we're going to be talking about the RBOB Gasoline futures, which tracks the trend in gasoline prices.

Or rather, it’s the underlying asset of reference for the gasoline price in America.

And for sure, we've heard many people talk about this underlying asset, and the increases in energy costs, not just gasoline, but also natural gas, for example. So, today we're going to be taking a look at how our trading systems have responded to those market conditions.

So, let's start with the first strategy that I want to show you today.

This is a trend-following strategy, but it also contains rules that are typical of bias strategies, that is to say, strategies that will enter and exit at specific times during the trading session of this market.

As some of you may know, RBOB Gasoline futures have what is called a very strong "intraday bias," which means that on average, within the day, or it would be more correct to say within the session, this market tends to move in an upward direction in the second part of the session, so we generally see a rise in the second part of the session, while on the other hand, we generally see an average downward or average downward movements in the first part of the session, so let's say from the opening to the middle of the session.

So, given this average tendency, this strategy will try to exploit these movements by sending long orders only from 11 am, so late morning, to 3:15 am, in the afternoon, of course exchange time, so that will be New York time.

On the other hand, the short side will enter the trade at 3:30 a.m., so in the night, and then will try to trade until the bullish window opens, which is 10:45 am.

So where will we place these orders? We’ll place them on a price channel calculated on 180 periods.

In this case, since we are trading using a "speedy" 5-minute timeframe, 180 periods means about 900 minutes, which is about half a day, so half a day for these futures.

You can see that this channel is updated very frequently. In fact, the channel is updated at every new high or every new low of the last 180 bars.

So, you can say that this channel is updated every 12 hours more or less, so every half a day.

This strategy will then place the long orders on the upper channel because we're applying a trend-following logic.

Instead, when the conditions are right to enter short, we’ll place short orders on the lower side of the channel.

This strategy opens positions pretty often because, because as we've mentioned earlier, we’re waiting for the break of the last 12 hours -- 15 hours to be precise, so more or less a little more than half a day.

Here we see many entries from this strategy, it enters very frequently and tries to intercept the trends that develop in this market, in the RBOB Gasoline future.

Let's see when the positions are closed. As far as the long side is concerned, the trades are closed at the end of the day, so at 4:55 p.m., 5 minutes before the market closes.

On the other hand, the short trades will be closed -- assuming that a breakeven, stop loss, or even a take profit may not occur before, such as in this case – well, the short positions will be closed at 12:15 p.m., exchange time of course.

So, we’re more or less at that point in the session when there are still a few hours left until the end of the session.

So, a strategy that will stay on the market for a few more hours.

But RBOB Gasoline is a particularly volatile market that allows even those strategies that enter and exit pretty often to remain active even during the out-of-sample period.

This is a strategy that was developed about 5 years ago, in 2017, you could say more or less at this point.

And you can see that there are almost more years of out-of-sample than in-sample for this strategy, and of course, the equity slope was much better in the in-sample years, as you can see.

However, despite that flattening, the strategy has proven able to exploit all the intraday trends that developed on the RBOB Gasoline future.

Alright, let's move on to the next strategy that I want to show you.

This is another bias strategy, but differently from the previous one, you could say that this is almost exclusively bias.

Unlike the previous one, this strategy doesn't trade very often. Actually, it only opens two trades per week, one long and one short.

The short trade will take place in the Monday session, while the long trade will take place in the Friday session.

So, we have a weekly bias, as we can call it, and our strategy will only make at most two trades per week, one on Friday and one on Monday.

This very simple strategy, which may even raise some doubts due to its incredible simplicity, has nonetheless proven to be excellent over the years.

I mean, just for the fact that the entry conditions aren’t so stringent because we only need the day to be Friday to open a long position and we only need the day to be Monday to open a short position, we decided to add some conditions on the entries. A sort of confirmation if you will of the trend in the last ten bars (we're using a 15-minute time frame) to avoid us blatantly buying or selling against the trend.

This simple strategy has undoubtedly produced a somewhat erratic trend over the years.

For years, it even looked like it would never recover.

But then, what happened is that from the beginning of 2022 until today, there’s been an upswing in the performance of this strategy, which of course, makes us very, very happy.

This strategy is also absolutely not a complex strategy to code at all.

And if you want to learn more about how to create this kind of strategies, I invite you to go and click on the link that you find in the description of this video.

From there, you can access a free presentation by Andrea Unger, or you can book a free call with a member of our team, or even get a free copy of our best-selling book "The Unger Method" just by paying the shipping costs.

And if you enjoyed the video, please leave us a Like, subscribe to our channel and click on the notification bell so you can stay updated on all our upcoming videos!

Thank you so much for watching, and until we see you next time, please stay safe. Bye-bye!

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