Crude Target/stop analysis

Discussion in 'Energy Futures' started by intradaybill, Dec 14, 2010.


    It turns out that Crude is a more technical market than grains and it is mainly - as we know - a long market as opposed to grains, which are mostly short markets. Here are some results I got from Price Action Lab after applying different target and stop combinations:

    Target Stop #patterns long/short
    0.5 0.5 51 41/10
    0.75 0.75 136 110/26
    1 1 159 134/25
    1.5 1.5 340 332/8
    2 2 385 380/5
    2.5 2.5 347 347/0

    The trend is clear from the results. As the target and stop are increased the number of short patterns that survive decreases and by 2.5 points it is zero, although the total number of patterns increases. The optimal range is 0.75 - 1 points for long/short systems. Otherwise one must consider long-only systems despite prolonged bear markets. The combined trade sample is huge to support these conclusions. Actually from these results, as compared to the Wheat and Corn results I posted in the ag futures section, crude offers many more opportunities for finding patterns that survive out of sample testing. This is a pic from the results for 0.75 points target/stop

  2. dave4532


    Bill, very impressive analysis! Thank you.
  3. You're welcome!. I think this type of analysis is useful. Before one trades in a market the various possibilities should be studied carefully. There are many ways of doing that.
  4. tim888


    Bill, I see the data covered the period 01/1998 to 12/2010, EOD. How long did the program take to finish each run?
  5. The program has 2 modes, normal and extended. The extended mode produces many more patterns, the ratio is a factor of 5 on the average. The normal search for this amount of data takes about 5 minutes and the extended about 20 minutes. This is very fast for what this little program does. It could get faster with a faster processor.
  6. Good work Bill. I am linking to your post from another thread.
  7. what is it for,anyway?
  8. bone

    bone ET Sponsor

    Have you taken the next logical step - screening for particular technical studies that are more effective than others with respect to crude ?
  9. How long it would take to take the next logical step and start trading your spreads?