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BOOK YOUR FREE STRATEGY SESSION NOW >>RBOB Gasoline futures (NYMEX-listed) are characterized by high volatility and variable liquidity during the session.
In today's video, we’ll introduce you to two strategies from our portfolio that perform very well with these futures by taking advantage of their characteristics.
By watching the video, you'll discover:
The rules of our trend-following strategy on the RBOB (developed in 2017, based on breakouts from the Donchian Channel)
The rules of our bias strategy on the RBOB (developed between 2017 and 2018)
The real performance of these strategies
Enjoy the video! 😎
Hello everyone and welcome back to our usual chat about the strategies in our portfolio that have been performing the best over the last period.
Okay, so this week, I’d like to tell you about an energy market, specifically the energy sector futures, the RBOB Gasoline futures.
Now these futures have a very high volatility while their liquidity, especially at certain times of the session, tends to go down quite significantly.
This is the case, for example, with the opening bars of the session. As you can see, we have some messy data here, both towards the end of the session but especially at the beginning of the session as well. You see, because this contract is traded mainly by the U.S. traders. So as a result, the highest volumes in this market generally occur in the hours that go from around 8:00 a.m., exchange time, until just before the end of the session.
So today I’d like to introduce you to two strategies that have done well in the last period. One is based on a bias approach, while the other one is a trend-following strategy.
So, let's get started right away with the trend-following strategy. This system was programmed almost five years ago, in 2017. It has been working very well over the last few years and continues to perform well also today.
And in fact, this trend-following strategy has been able to take advantage of the movements that have occurred in recent months in these futures. Movements that are certainly related to the outbreak of the war between Russia and Ukraine and, in general, to the energy crisis that we are currently experiencing. So the volatility of this market has increased significantly, and this strategy was certainly able to exploit the very volatile movements that we have seen in recent months.
As for the trigger of this strategy, that is, the entry level, it is based on the calculation of a Price Channel, which can also be called Donchian Channel. You can call it either way, really.
So this Donchian Channel identifies a kind of price channel where the upper side of the channel is calculated as the highest high of the last 180 bars, while the lower side of the channel corresponds to the lowest low of the last 180 bars.
The bars are calculated in 5-minute intervals, which means that the upper and lower sides of the channel identify the highest highs and lowest lows of the last 15 hours.
This strategy opens both long and short positions at the breakout of this price channel and, as we have already seen, it is performing pretty well.
The strategy was developed in 2017, so about this period here. And although the slope of the equity line is — well, isn't as pronounced as it was in the in-sample, even the out-of-sample also provided our portfolio with some excellent profits, and this strategy is still near the equity highs and continues to gain.
And as I told you, this kind of logic is undoubtedly one of the strongest and most effective in this market. So guys, go and give it a try too, either with a channel breakout, like the strategy we have just seen together, or with more traditional strategies that enter on the break of the highs and lows of the previous session.
So let's move on to the next strategy, the second one that I want to show you today. Unlike the previous one, this is a bias strategy, so it’s going to open long and short positions only on certain days of the week and at certain times of the session.
This strategy was built on 15-minute time bars and opens the long positions on Friday, that is to say, in the last session of the week, at 10:30 in the morning or between 10:30 a.m. and 2:30 p.m.
So we can kind of say towards the end of the session, which will end at 5:00 p.m., exchange time of course, as you know.
And so the strategy will place orders on the highest high of the last three bars. The reason for this is to have a further confirmation of the trend and not just buying based solely on the day of the week and time bias.
On the other hand, the short positions will be opened in the first session of the week, so basically Sunday’s session. The entry will occur at the break of the lowest low of the last three bars.
And again, the purpose is to have a confirmation of the trend and not just to buy and sell, let's say, "too bad" compared to the underlying trend of the market.
This strategy was also developed between 2017 and 2018. We could say in this period here. As you can see, it did go through some difficult years… Look, here between 2020 and 2021, when the market was not so volatile, so the strategy couldn't get good returns. However, here in 2022, it's made an amazing upswing which is now continuing.
So that's to tell you that even a good strategy can go through difficult moments or sideways moments, if you will, as is the case with this strategy, and then recover all the lost ground and make us, let's say, jump for joy because you see that this was a rally, we could say, of the strategy, which is very important.
This strategy is also pretty straightforward to code. I've just told you about the entry rules of the strategy. As for the exits. The long positions will be closed at 3:15 p.m. on Friday, before the end of the session. While on the other hand, the short trades will be closed Tuesday night, at 4:30 a.m. exchange time.
Of course, Stop loss and Profit target are also present in this strategy and they were set at $2,000 and $2,800, respectively.
So, guys, go and give it a try too! These strategies are, as mentioned, they're easy to code and don't require too much programming knowledge.
If there is anyone among you who is interested in the world of systematic trading, I suggest that you go and click the link in the description below. There you can watch a video of Andrea Unger, get our best-selling book by just covering the shipping costs, or even book a free call with a member of our team.
So please, be sure to leave us a Like, subscribe to our channel, and click on the notification bell so that you can stay updated.
And with that, I will see you again soon in our next video! Bye-Bye!
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.
