#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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