CL Trading Strategy

Discussion in 'Strategy Development' started by MarkBrown, Mar 9, 2013.

  1. On another popular trading form someone asked for a public system to trade CL and so I thought I would post here as well in this Cesspool of Madness.

    Another Oddball System

    Active Trader Magazine - Trading System Lab

    May 2004

    • Bottom line: Given the original system was fully disclosed and we have not changed any parameters, it shows a rather good result. Many commercial systems are often optimized for certain markets; this one was not.

    • System results:The system returned an overall profit of 129.99% in approximately six years and an average annual return of 13.78 percent.

    —This system was originally developed by Mark Brown in 1997.


    { this tradestation code below }




    if c >bbh then buy this bar ;
    if c<bbl then sell short this bar ;

    { produced this chart below }


    { is this the holy grail? no but the price is right }

    Mark Brown


    gee looks like et needs to spend some money and get resize implemented, lol
  2. can you show the latest six month's trade result data?

    also, what are the overall results if single largest winner ($51k) is backed out of the data?

    assuming next time it was missed filling by one or one hundred ticks, how would the overall results appear then?
  3. i think you could optimize the system without the spikes and it would perform well. better than nothing probably especially considering it's generic in theory.

  4. I would opine it's untradable in reality, real-money real-time to any individual trader visiting this site. Account size and minimum stop-loss per single contract trade size would prohibit just about every CL trader here.

    In years past I wrote a lot of TS systems that were net profitable overall, but still untradable from mental = emotional and capital size standpoints.
  5. agreed that model is best with a large portfolio and certainly not for the average trader who is monitoring tight stops etc. its does however outperform aberration which sold for 2500 and touted as one the the best systems around, lol.

  6. +1

    I would robust is oddball - i.e., does it work on various markets?

    if not, then it's just a curvefit....just based on experience it is highly likely a curvefit

    markets are simple but profitable trading is not simplistic
  7. dom993


    Have you traded it on CL since 1997 ?
  8. no
  9. I guess that answers our question :D
  10. actually "HELL NO" lol
    #10     Mar 9, 2013