#019: MY STUDENT'S STRATEGIES (CASE STUDY #5)
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#019: MY STUDENT'S STRATEGIES (CASE STUDY #5)


​Today I have prepared for you a strategy for e-mini crude oil (QM). It is build on the concept I teach my students and is, again, quite simple - you need less than 10 lines of a code and 2 parameters to be optimized. But the fact that it is simple doesn't mean that it is not robust. This strategy has to pass the same robustness test as previously mentioned strategies.

The author of this strategy is Stanislav N., it is long-biased and was developed for QM market. Let's see the basic setup:

  • Market: E-mini Crude Oil (QM)

  • Main time frame (data1): 15-minute

  • Secondary time frame (data2): 1440-minute

  • Time template: 09:00-14:30 exchange time

  • Exit: stop-loss or at 14:30 exchange time (avg. winning trade +300 USD)

  • Stop-loss: 3,000 USD - only protective, never hit (avg. losing trade -241 USD)

During the last 12 years the strategy has experienced only a couple of drawdowns, the biggest one in 2008. That happened when all the markets were pretty wild. Yet, with big losses, most of the systems had experienced also big profits and the system hadn’t stayed in the 2008 drawdown for a long time. The drawdown was followed by series of profits and the system created new equity high soon after. The following equity is, as usual, based on Out-Of-Sample intervals, and it is not biased by overfitting or over-optimization.

And now the overview of the system:

On the above-shown numbers you can see really nice profit factor 1.80 and almost 60% winning trades. There is certain side benefit of strategies for QM - it usually works also on CRUDE OIL(CL) market as the markets are highly correlated.

This strategy just proves the rule:

And it gets even better, it works also on Gasoline (RB) market:

You should be able to optimize the parameters to trade profitably also other energy markets like Heating Oil (HO) or Natural Gas (NG).

The hard work always pays off and when you develop one really robust system, you can trade also other markets with it. Of course it takes time, and it also takes discipline to throw away the bad systems, but the hard work really brings profits. Start working on your better future today!

Happy Trading!

Tomas

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What others are saying

"Tomas is one of the most creative traders I know. He is able to generate unique trading ideas and elegant solutions to system development challenges."

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Andrew Swanscott, BetterSystemTrader.com

"Tomas has been a professional trader for more than a decade and I have had the privilege of monitoring his accounts in action since 2006. His systems are performing as some of the best I have ever monitored and executed. I have been in the trading industry since 2002 and worked with many developers from all over the world. Tomas is definitely the one to consider."

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Martin Lembak,

Systems Trading Expert,

MFRM, CAIA 

"Tomas is a professional trader, who for the last 10 years has specialized in developing trading systems. We have been tracking his trading systems for about 5 years and they generally show very robust, stable and above average performance. Striker is pleased to work with someone like him - a real professional with enthusiasm and deep knowledge of trading."

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William Galwas, President Of Striker Securities, Inc 

"Personal consultation with Tom helped me to re-evaluate the complexity of my robustness testing and optimization processes. Plus, it has helped me with a specific plan on how to take things forward. It has given me some great ideas on how to avoid overfitting and make my testing more robust and provided tips on low hanging fruit in terms of the best markets to trade for intraday/short-term breakouts."

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Craig Peters,

semi-advanced trader,

United Kingdom 

"Tom's approach to Automated Trading Strategies design, tests of robustness and portfolio diversification is really unique. He has been a professional trader for many years and the depth of his understanding of Breakout strategies and Market Internals is hard to find elsewhere."

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Antonin Fisher,

Hedge Fund Manager,

Czech Republic 

"Tom´s systems and trading approach do really work and can bring good, stable and reasonable returns. I can highly recommend him as a teacher."

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David Hruby,

Trader, Czech Republic 

Author: Tom Nesnidal (more about me) 
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