Trading Soft Commodity Futures on the ICE Exchange: Strategies for Orange Juice & Coffee

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Soft commodity futures listed on the ICE (Intercontinental Exchange) in New York are very interesting products that can help us improve our portfolio’s diversification level.

In today's video, we present two strategies that perform very well with two instruments in this category: Orange Juice and Coffee.

By watching the video, you’ll discover:
-The rules of the two strategies (both trend following with price channel breakout entries)
-Some valuable tips on how best to approach these markets (especially Orange Juice)
-The recent performance of these strategies

Enjoy! 😎


Hey, everyone, welcome back to our usual chat that we have about the strategies in our portfolio that have performed the best over the past period.

One of the coaches at Unger Academy here, and in this new video, we’re going to be looking at two strategies that have done well recently on the ICE market, a U.S. exchange that trades the so-called soft commodities.

Now, as part of this basket of commodities, or it would be better and more correct perhaps to say of this exchange where soft commodities are listed, we find Orange Juice which was made famous, if you've seen it, by the movie "Trading Places."

On this exchange we can also find other commodities such as, for example, Coffee or Sugar and others.

But let's start with the first strategy that I want to show you today.

It works on Orange Juice, which is a market that we could say is not very "famous" if you will among traders.

Although it does have good volatility, this market isn’t too liquid. So the biggest risk in trading this market, especially if you want to approach it with multiple contracts, is the slippage, which can sometimes be very high.

In this regard, we’ve developed a strategy that doesn't trade very often during the year. You could even say that it trades very little.

In fact, we’re talking about a few trades during the year.

In fact, the windows to trade long and short are limited to just a few months a year.

Specifically, what we’ll do is we’ll enter long in the month of October at the breakout from a price channel built with the last 5 days.

And conversely, in December, which is the last month of the year, we’ll try go and the short entries still at the breakout of our 5-period channel but this time, clearly, from the lower side of that channel.

This is a strategy that closes its positions either with a take profit or possibly with a stop loss or even a trailing stop.

For example, let’s just take a look at this case: the market, after moving in our favor, has gone back down and broken the channel we formed, and that triggered the exit from the long position.

This is, as I said, a strategy that works very little.

Here we see the annual results of the system. In fact, you can see, it’s very difficult to see more than 3-4 trades per year.

Apart from this somewhat unusual case in 2019 with 6 trades.

But here it is, all in all, the strategy works very little, but if we look at the results from the 70s, even 60s, this strategy has held good profits over time.

And it's certainly a strategy that can help diversify our portfolio because it’s working in a less popular market and doing it in a way that is, let's say, absolutely independent of what the news might be that’s impacting more traditional markets instead.

This strategy operates very little, as I mentioned earlier, so a deeper backtest was required, so even from the 1970s.

It’s a strategy developed on a daily time frame. This is because, since it works so little during the year, it’s obviously not necessary to reduce the time frame used.

Let’s turn to the next strategy, which was developed on the Coffee market instead.

And this same strategy also uses a trigger that favors the trend as its main trigger.

Here we’ll specifically enter on the upward or downward break of a price channel, formed over the last 190 bars.

Bars that are built, in this case, at 5 minutes, and so here 190 bars more or less identify something like 15 hours which is roughly the equivalent of a day and a half, if we consider that this market opens at 4 a.m. and then closes at 1:30 p.m., exchange time, which in this case is New York time.

This strategy could also stay at market for a long time.

A trailing stop has also been added here, based on the same channel we use for openings.

So, for example, as with this short trade, if the market declines to a point where it breaks through the channel that we’ve formed, the strategy will close the short position.

This is also the case when we trade on the long side. As you can see in this case, the exit called "LXTrail" basically served as a stop loss for our system.

However, this strategy performs a check every Friday, so before the close of the week.

It checks if the Profit and Loss value is positive. If so, then we can have the conditions to keep the position open and as they say, we can go “overweek”, so basically keep the trade open between Friday and Monday.

On the other hand, if the position is negative, so basically, if we lose an amount below zero, the strategy will close both long and short trades on Friday.

This is a strategy that was developed in 2017. We could say more or less at this point here.

And you can see that even in the out-of-sample years, the market has been pretty directional, with good volatility, and it’s been, you could say, very stable and very true to what it’s been in the past.

Both the bullish equity curve and the bearish equity curve have followed the... let's say, the passage of time and the Buy and Hold of the underlying asset which is, let's say, predominantly bearish. Indeed, the equity curve long was struggling a bit more however, here is, all in all, the equity curve of this strategy, above all in the last period...

Look at what a great start to the year 2023.

These two trades are bringing in $11,000 right now, so we’re hoping that this year, like the previous years, can also be a very good year.

Well, I hope you enjoyed the video.

If there is anyone among you who’s interested in the world of systematic trading, I recommend that you go and click on the link in the description of this video.
From there, you can watch a free presentation by Andrea Unger, or go and get our best-selling book by just covering the shipping costs, that’s it, or even book a free consultation call with a member of our team.

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Thank you so much for watching and we will see you soon next time! Bye bye!

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Andrea Unger

Andrea Unger

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.