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BOOK YOUR FREE STRATEGY SESSION NOW >>ICE-listed futures are a very attractive option for those who want to diversify their portfolios by also covering markets that are somewhat less "popular".
Despite having to pay an additional monthly fee to access these instruments, if you have good strategies, it could be worth it.
For example, we have two Coffee systems in our portfolio that are performing very well. They are both trend-following and have been out-of-sample since 2017.
By watching the video you’ll learn about:
- The rules on which the two strategies are based
- Why these strategies are multiday
- Their real performance over the last period
Enjoy the video! 😎
Hey everyone! One of the coaches at the Unger Academy here and welcome back to our usual chat about the best performing portfolio strategies over the past period.
Alright, so this week we are going to be analyzing two strategies built on a slightly less popular market, the Coffee future. Specifically, this future is listed on the ICE exchange, which is the former NYBOT, so it's based in New York.
This exchange covers various commodities related to the breakfast industry, such as, for example, coffee, which we are going to be seeing later, sugar and also orange juice, which are foods and beverages that are widely consumed during breakfasts all over the world.
So today we're going to be focusing on Coffee. Let's start with the first strategy. It's a trend-following strategy where we calculate a sort of channel built on the highs and the lows, and we enter at breakout at a certain time of the day.
That time is noon exchange time, so that's when we place our orders on the high and the low of the previous hour. Why the previous hour? Because we're using 5-minute bars, the channel is built on 12 periods, so 12 times 5 equals 60 minutes.
If it crosses downwards, we’ll enter short. If it crosses upwards through the high, we'll enter long.
The trades will stay open beyond the end of the day, and now I'm going to explain why.
As you know, these commodities, and coffee is one of them, have a shorter session compared to the equity indexes or other commodities such as Crude Oil for example, which we know are open 23 hours a day, Monday through Friday. So these markets are tradable for multiple hours during the day and also overnight, so practically all day long.
On the other hand, Coffee has a shorter session, which for us systematic traders means using multiday strategies in a more consistent way. Because obviously if we work only intraday, there may not be enough time to get good average trade values.
Let's take a look at the report of this strategy from when it was developed. This strategy was built around here in 2017, let's say in this area. And you can see that it really, really stayed on track.
The ICE market has a few minor drawbacks. One of them is the high cost of the market data. In fact, in order to be able to do live trading on this market, namely the ICE market, not only for Coffee but also for Sugar and other commodities, you need to pay a monthly fee of over $100.
But we've seen that with a strategy such as this one, which can make good profits, it could still be worthwhile to subscribe to these data.
Let's move on to the next strategy which, as I mentioned, is very similar to the previous strategy. It's also based on a trend-following approach but in this case, the period of the channels will be much longer.
We are again working on a 5-minute timeframe but as we said before, we're going to wait for a more substantial breakout, since we have a longer channel, so that we can have a somehow more reliable indication on the direction of the trend.
These two strategies are clearly interrelated. There will be times when they have open positions that go in the same direction, but there will also be times when they don't.
And of course this is a good thing because, from the perspective of diversification and risk management, having two strategies that open opposing positions can be an advantage at certain times.
Let's go take a look at the report of this strategy, again from when it was developed until today. This system was also created in 2017 and you can see that it has performed very well even in out-of-sample.
The strategies based on a trend-following logic work pretty well on this underlying asset, and these two strategies, even if they are really very simple, I assure you, have been able to take advantage of the fluctuations of this market.
So, guys, be sure to give it a try because the ICE market can definitely conceal some great opportunities.
If there is someone among you who is interested in the world of systematic trading, I'd recommend clicking the link in the description of this video. From there you'll be able to watch a video of Andrea Unger, the 4-time world trading champion, or get our best-selling book "The Unger Method" covering only the shipping costs, or even book a free call with a member of our team.
If you liked the video, please give us a Like, subscribe to our channel and click on the notification bell to stay updated on the release of all our new videos.
And with that, goodbye everyone, and we'll see you soon!
We'll help you map out a plan to fix the problems in your trading and get you to the next level. Answer a few questions on our application and then choose a time that works for you.
BOOK YOUR FREE STRATEGY SESSION NOW >>Andrea Unger here and I help retail traders to improve their trading, scientifically. I went from being a cog in the machine in a multinational company to the only 4-Time World Trading Champion in a little more than 10 years.
I've been a professional trader since 2001 and in 2008 I became World Champion using just 4 automated trading systems.
In 2015 I founded Unger Academy, where I teach my method of developing effecting trading strategies: a scientific, replicable and universal method, based on numbers and statistics, not hunches, which led me and my students to become Champions again and again.
Now I'm here to help you learn how to develop your own strategies, autonomously. This channel will help you improve your trading, know the markets better, and apply the scientific method to financial markets.
Becoming a trader is harder than you think, but if you have passion, will, and sufficient capital, you'll learn how to code and develop effective strategies, manage risk, and diversify a portfolio of trading systems to greatly improve your chances of becoming successful.
