Introduction
Hello and welcome back. As usual, today we’ll evaluate the strategies in our portfolio that have performed the best in the last period.
One of the coaches at Unger Academy here, where we develop automated strategies and then apply them to the major futures markets like Gold, stock indexes, and more.
Today, we’re going to be looking at two strategies that have performed well recently in the Crude Oil market and have made some exciting moves in the last few weeks.
Here, we see all the strategies that are part of Andrea Unger’s personal database of strategies on the Crude Oil Futures.
Today, I’d like to introduce you to two of them that have performed very well in the last few weeks before Christmas.
Intraday Strategy on Crude Oil
The first strategy I want to talk about is number 230.
It’s an intraday strategy, which means it closes its positions at the end of the session.
And this particular strategy will do at most one trade per week, which is on Wednesday around 10:30 a.m. exchange time, which we know is New York time, so 4:30 pm CET.
And on that day and at that time, Crude Oil inventory data is usually released.
And this strategy will work right around and join the release of this macroeconomic news.
As you may know, it’s commonly said that the first move after a release is always wrong.
So, with this strategy, you wait for a market move and then place a counter order against the first market move after the news is released.
That was the case with this short trade, for example, where we saw the market move up immediately after the news was announced. The strategy then went short and, fortunately, was able to close with a profit of $1,330.
We’ve already factored in the commission costs and slippage involved in live trading on this market.
This is the equity line of the strategy.
The average trade is very positive, even though this is an intraday strategy, so it’s only in the market for a few hours. Indeed, it reaches $140.
As I told you, the annual profits have also been positive.
In 2022, 24 trades took home about $3,300. In 2023, another $2,260, the result of 19 trades.
As I told you, this strategy doesn’t trade very often: considering that there are 52 weeks in a year, this strategy doesn’t word more than 30 times a year.
So, you can see that the strategy certainly provides for less than one entry per week. This makes this strategy very scalable and suitable for investors with limited capital.
Trend-following Strategy on Crude Oil
But now, let’s move on to the next strategy I want to show you today.
It has had some lucky periods in the last month and has generally proven particularly good in the previous two years.
In terms of approach, this is a different strategy than the one we just saw.
More specifically, it’s a trend-following strategy that enters in favor of the trend, as in the case with these short positions.
As you can see, the market fell, and the strategy tried to enter a short trade, which fortunately closed with a take profit of $2,490.
Again, the market went down.
The strategy went short and, in this case, the loss was $340.
Another short trade. Again, the market declined, and here, the strategy took a bearish position.
This strategy has been out of sample since 2015, so for a very long time.
In the last two years, it has taken home $32,000, fortunately making up for a very bad 2021.
However, in general, we can say that the strategy performance is in line with our expectations. It was codified back in 2015,
and even in the post-development period it performed well, apart from 2021, where we saw the pandemic and the Crude Oil futures went through a bad time, even reaching negative prices at some maturities, which is more than rare in the world of futures.
So, we can say that even the out of sample period was more or less in line with what we had seen in the development period.
In this case, as mentioned earlier, the strategy brings home some decent gains.
Specifically, in 2023, the average trade wasn’t the best.
Again, as with the previous strategy, we’ve already factored in the commission costs and hypothetical slippage costs that we would face trading live in this market and with these strategies.
Conclusion
So, we’ve already considered, for each strategy, a cost of about $20 for trade, which includes the potential slippage and the broker’s commissions.
Crude Oil is undoubtedly an exciting market to approach with bias and trend-following strategies, and it has returned to a very extensive volatility, especially in the last two years, which can be interesting for all systematic traders.
Thanks for watching and I will see you next time!
