Strategy of the Month (October): Intraday Trend-Following on Crude Oil Futures

Transcription
Introduction

Hello and welcome to this brand-new video!

Today, we’ll take a look at the results of our Strategy of the Month contest for October.

One of the coaches at Unger Academy here.

And today, we'll see together a selection of the most promising and interesting strategies among all those submitted by the participants and then, of course, we’ll discover which strategy won the contest.

I know we repeat ourselves every month, but again, this month, you’ve got us in trouble because we received so many strategies, many of which have been very well-developed.

We’re happy about that because it means that the Unger Method works, and it's also easily transferable.

As always, we’ll also give you some trading insights by going through the basic logic of the strategies and observing their performance together.

I want to remind you that the Strategy of the Month contest is reserved for Unger Academy students. Every month, they can participate by submitting their strategy and competing to win a €1,000 Amazon voucher.

I'd also like to give you some great news.

I’m talking about the Unger Strategy Club, the latest offer from our Academy.

The club is reserved for students and gives you access to a monthly live masterclass to get advanced training.

You’ll also receive monthly insight videos where we explain the key rules of one of the best strategies in our portfolio.

And you'll receive the open-source code of the winning strategy of this contest with the database of all strategies that have won in the past.

So let's look at the three best strategies you sent us in October.

Multiday fade-breakout strategy for Gold

Here we are at the first strategy developed on Gold futures with a 30-minute time frame.

Here we see it recorded from 2010.

How does this strategy work?

We could call it a fade breakout. What do we mean by that?

We're waiting for the price to fall below the low reached the day before.

Here, we see a session. This is the low that was reached in this session.

And in the next one, you can see that the price drops below this level with this candlestick.

As soon as it falls below this level, it rises above this level again in the next bar.

In this case, it was a fade breakout because we first broke through that level to the downside with a breakout, and then retraced and rose above it.

We'll open a long position here.

Of course, the opposite happens on the short side.

It's a strategy that was developed entirely based on the Unger Method.

It’s symmetrical because we’re trading a commodity.

And it only contains a few patterns.

Let's take a look at the metrics.

We have a net profit of over $220,000 with a maximum drawdown of 21,000.

The equity curve is very smooth, both on the long side and the short side, although a little bit less on the short side.

The average trade is nearly $250, unbalanced on the long side, and makes about 900 trades.

Let's look at the regularity of the strategy in the Annual Period Analysis report.

We can see that it has always performed well from 2014 onwards, especially in recent years.

This year, let's say, it's pretty flat for now.

Only-long weekly bias strategy for Soybean

Let’s move on to the next strategy, which is also excellent. It was developed for Soybean futures with a 5-minute time frame.

This is based on a bias approach, so it takes advantage of a recurring behavior of the underlying asset and only goes long.

Let's take a look at the chart to see how it works.

It works beyond the end of the session.
Here, we see a trade... we need to zoom in a little bit to get a better understanding...
...that was opened just before the end of the session and closed at the opening of the next session.

This strategy bridges the weekend, meaning it always opens long positions at the end of the week, just before the close on Friday, and closes them at the beginning of the next week.

So, it's only in the market for very few bars because the market is closed on the weekend and nonetheless it achieves outstanding results.

Let's look at them: a net profit of almost $60,000. This seems very little, but if we compare it with the maximum drawdown of just over $3,000, we understand how good the strategy is.

The ratio between these two values is almost 18 and is undoubtedly very good.

The curve is rising and we see that this is a pretty strong strategy.

Of course, on the long side only, since we don't have a short side.

The average trade is $160, which is undoubtedly good for this instrument.

Let's also look at the Annual Period Analysis.

Apart from 2015, the strategy performed very well, especially in the last period.

It is a straightforward strategy: it works with fixed opening and closing times, which can be at the beginning of the session or a few bars later.

It only contains a momentum filter condition that allows market entries when there has been a significant push, for example, upwards.

Intraday trend-following strategy for Crude Oil

And now we come to the winning contest strategy for the month of October.

The strategy was submitted by Vincenzo, whom the Academy wishes to congratulate. It's a system designed for Crude Oil with a 5-minute time frame.

It is a trend-following intraday strategy, so it closes at the end of the day and takes advantage of bullish or bearish market movements by trying to ride them.

It is built from one of the templates that the Academy makes available to its students and uses as entry levels the minimum and maximum reached by the market in the last few hours.

Here, we see a short position open at this point, which corresponds to this low.

And here we see a long position opened at this level corresponding to this high, so at the last few hours - a handful of hours, let's say.

Let's look at the metrics of the strategy.

It has a net profit of $233,000 compared with a maximum loss of less than 14,000.

So, the ratio between the two is almost 17, and it is really a remarkable value.

The curve is increasing.

Here, we see a few trades, maybe only one taken in this position that made the strategy jump quite a bit, but in general, it grows very well on both the long and short sides.

The average trade is $217, and makes about 1000 trades.

We have seen the regularity, and we can also appreciate it here from this table.

It suffered somewhat in 2013, but then it did well, and we can see in the last few years, it has been explosive.

The stop loss is wide, which allows the strategy to absorb any retracements and is placed at an excellent level.

Now, this strategy does not make use of any profit target.

If we go and look at the metrics, we can see that the strategy has achieved some very huge targets, some of which were actually outliers, and this was only thanks to the lack of a profit target.

So should we set it or not? Did the student evaluate it?

In this case, he chose not to set it, and I must say it was a brilliant choice because otherwise, it would have taken the wind out of our sails in some cases.

The average trade is certainly good for the instrument, as we said.

It amounts to $218 and is about twice what we suggest as the minimum average trade to trade it live with real money.

It closes positions at the end of the session and remains in the market for a very short time.

We can also see from the Time Analysis that the percentage of time to market is only about 10%.

This is also a guarantee for lower risk because we are only in the market a small portion of the time.

So, it is developed symmetrically, being a commodity, and, as we said, it takes advantage of the templates made available by the Academy.

The strategy uses three filters and three patterns, one of which we usually do not suggest using for energy instruments.

But it is also true that its filtering effect is only marginal and doesn’t alter the metrics of the system at all.

Let's say it could also have been avoided.

So here, the strategy has a symmetrical development, as we have said, and it is perfect since it is a commodity.

It has a well-optimized time window, very few conditions, an excellent average trade, perfect metrics in general, and in short, it convinced us to decree it as the best strategy of the month.

Vincenzo, congratulations from the entire Unger Academy technical team!

Conclusion

Well, I hope this video can help you.

If you want to create trading strategies like the ones we have seen, you are in the right place.

While learning you too can participate in this contest dedicated exclusively to Unger Academy students and win an Amazon voucher of as much as €1,000 each month.

Finally, I would like to remind you of the big news I mentioned initially, the Unger Strategy Club. Assess for yourself all the contents of this service at ungerclub.com.

For any other information, I invite you to click the link in the description. From there, you will get a free presentation by Andrea Unger and the best-selling book "The Unger Method" delivered to your home, covering only shipping costs. And finally, book a call with a member of our team to get a free strategy consultation.

Wel, that's really all for today. Thank you for listening and see you next time!

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Strategy of the Month (October): Intraday Trend-Following on Crude Oil Futures

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