Got the past 5 years of data and plugged in a simple trend following system on 60 min. data. Can't believe the results before getting started. Now I know why everyone's getting rich trading energies. Here's the summary...no optimization.
And here's the annual summaries. Seems very easy to trade. Most profits come in Dec. - Feb. quarter. That's all for today. I'll look at shorter timeframes since this did so well on longer periods.
Hey I'm a programmer between jobs (last friday was my last day, I'm going back to school) and I can run some tests for you. I just need the data.
ok, I've completed running tests on the data. Here's what I've learned. This market likes tight stops, trend following, with no profit targets. Trailing stops work very well. It seems that when a directional move happens it goes without retracements. Outsized moves happen from Dec. - Feb. (winter season) Also June - August (hurricane season) had very good and consistent results. The profits available the rest of the year are minimal compared to those periods. To do testing 2005 and 2006 should not be used because they swamp other market periods. The current volatility is extraordinary. I used 2001 - 2004 for parameter selection and was able to find really good stable results with a wide range of holding periods. Testing using 15 min. bars up through 120 min. were all profitable. The most stable results were obtained using 60 min. bars. One test I did was to put on a trade with 1 contract and then after a few hours, if it was profitable put on a 10 contract trade. The results moved the profit factor up to incredible results, so if you use a leader trade you can really kick butt. The next set of tests I'll be working on are volatility adjusted sized trades to see how stable the results are. This will also show me if the trades are dependent or independent. I was planning on trading this market next summer, however with such great results I'll be looking to add a system this Dec. and trade the two 3 month periods. Anybody else have something to add?
Sorry, all the data I have is copyrighted and I love my provider. You can get it pretty cheap from them. http://www.tickdata.com/html/pricing1.html
Hi there, This looks interesting. Thanks for starting the thread. I've traded Nat Gas in the past and found slippage to be quite painful. What slippage and brokerage cost assumptions did you make on your tests? Regards, AM
I used $75 per r/t for slippage and comission per-contract. I have no basis for this since I haven't looked at the min. data yet. I chose that amount so I could compare my systems to systems in Futures Truth. What estimate do you think is reasonable?
In the spirit of collaboration , here's the summary to a system I'll post that shows how simple and easy it is to trade this market. I used $75 r/t for commission and slippage estimate for this.