Long Crude

Discussion in 'Energy Futures' started by andrasnm, Nov 30, 2003.

  1. I am using a trading system I had developed - based on the PGO logic using ta-lib and the dot.net platform.
    I do intend to give free signals on this forum for your own benefit and analysis.
    But first lets understand trend-following signals and how to use them. It is my firm belief that a proper use of a long term trend following trading system should ideally be meshed with a short term system for proper timing of the buy/sell execution.
    Let us look at this the right way. The LT systems role is to identify a trend up and down NOT to tell you when to buy and sell.
    It is more like a "get ready" signal. The software when IS backtested uses the next day's open to buy or sell (with a generous $125 slippage) but that is due to necessity rather than optimal logic. Even with this inherent logic flaw the system tests rather well on a basket of futures going back 14 to 22 years. You may want to check out my website but I won't list urls here in hope of avoiding to be labelled crass commercial post.
     
  2. CONTRARIAN VIEWPOINTS
    WORKING ORDERS

    CRUDE OIL
    CLG04
    Sell @ 29.40 Sell Stop
     
  3. >I DISAGREE
    >Discretionary trading along with GUT feeling and intuition is KING!
    >Mechanical Systems trading is for LOSERS!

    The apprioximate 3/4 of all the hedge funds and CTA's who make money are actually trend followers using some kind of a "system"
    the ones that always fall behind the "Niederhoefers" of the industry are seat of the pants, blowout artists.
     
  4. What is "PGO logic", "ta-lib" and "dot.net platform"?

    What are your backtested results using a trend following system on crude? Personally, I have never been able to use such a system on crude.

    This has the potential to be an interesting and very educational thread.
     
  5. The test results going back 22 years on crude are not that great.
    However this is the signal I got recently and charts and macro readings (politics, etc) confirm it.
    Obviously I do not "cherry pick" my calls to only those that performed well historically nor that I belive that it will have conclusive bearing on current calls.
    - PGO = Pretty Good Oscillator (originally developed by Mark Johnson)
    - DOT.NET is Microsoft new development platform competing with Java.
    - TA.LIB is an open source Technical Analysis library available for C++ .NET and Excel
     
  6. I was wrong CRUDE tests well with the system
    Attached the results (sorry no fancy metrics yet)
    it is a big file Zip-ed)
     
  7. Thanks. Now I recall seeing the PGO before. Is this a proprietary system or can you explain what you are using to generate signals?
     
  8. I attached the public part, in my system I use it with volume and
    map a S/T system on the trend signals. that part is prop and I teach it as my side business.