Introduction
Hello and welcome back.
Today we’re going to talk about the strategies in our portfolio that have performed the best over the last period.
One of the coaches at the Unger Academy here, and in this new video, we’re going to be looking at two strategies that recently have performed very well on Crude Oil, the futures that track the price movement of Crude oil.
We are about to show you these two strategies that have generated profits of $52,000 over the last two years.
Strategy #1: Intraday Mean Reverting
Well, here we see the detailed profit curve of the first strategy.
The curve, the backtest curve I mean, starts in the first part of 2021.
In this case, I started the backtest on January 1, 2021, and we’re looking at the results up to the current days, June 13, 2023.
This strategy is out of sample from 2017, and as you can see, it has worked very well over the last two and a half years.
The average trade of the system is very capacious, even though it’s an intraday strategy.
It’s $360, which is $927 in 18 trades on the long side and then 49 trades on the short side with a much smaller average trade.
But as you can see, the long side has done very well recently.
We have seen post-pandemic, a rally in this commodity, and clearly, this strategy has benefited from that, or at least the long side of this strategy has.
These results already include the commission costs and the slippage we would face if we were to be live in this market.
Even if we look at the annual results, we can see that 2021 ended with a performance of $7,500 and an average trade of over $270.
In 2022, the performance of the previous year was more or less repeated.
And then a very good 2023, an excellent start, with an average trade of $500, for a total profit of $9,400.
As I told you, the strategy is a mean reverting, so it relies on market reversal points.
After market declines, we’ll open a bullish position, as in the case of these two exits in take profit.
When the market goes up, as we’ve seen in this case, the strategy will try to take short positions instead.
Then all positions will be closed by the end of the day or possibly with a take profit or a stop loss.
Strategy #2: Moving Average Crossover
Now let’s move on to the results of the second strategy. These are the results from 2021 until today.
This is a very different strategy than the one we just saw.
It doesn’t close its intraday positions but keeps them open for several days.
The primary trigger of this strategy is based on the crossing of two moving averages.
When these two averages cross, that is, the fast average crosses the slower one, the strategy will buy.
On the other hand, when the fast average crosses the slow average, the strategy will try to go short.
If we also look at the annual results, we see that the strategy has made gains in all three years from 2021 to the present.
In 2021 it gained $6,700, so not a particularly brilliant year.
We see here an average of $63, so this is the value of an average trade.
While instead, 2022 is certainly much more enjoyable, with performances over $25,000.
2023 seems to have started on the right foot with a performance of around $5,300.
So, in total, if the two strategies had been used together over the last two years, one would have made $20,700, and the other, starting more on less on the same day, June 13, would have made about $32,200, for a total of about $52,000.
In short, these are absolutely very interesting results.
Let’s take a final look at the equity lines of these two strategies.
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Thank you so much for watching and I will see you next time!
