Such is the nature of reversion trading strategies, you make $ 8/10 but the other 2 times you lose most if not more of what you make. Commodity pits are littered with stories of traders doing these spreads. I personaly clerked for an oil trader who went through the cycle at least three times doing reversion strategies in the crack spreads. Not for the faint of heart and definitely not less risky than straight up trading, as some pro firms might want you to believe. Good luck
What about this strategy? http://www.smartquant.com/help/tutorial1/index.htm using this software : http://www.smartquant.com/download/QuantStudioTrial.exe Can it be transported to another platform like wealth-lab for example?
after our hit in feb we made it back in march. 2002 03.12.02 100.00 Dez 101.98 1.98% 2003 Jän 104.08 2.06% Feb 102.14 -1.86% Mär 104.10 1.91% working on our understanding regarding performance drivers. high dispersion and high vola are best for us. sharpe (3%) of 2.0 so far in real trading is satisfaying and in line with expectations, yet the timeframe is still too short to tell about the quality of the approach. one of the next things will be selected pairs intraday. peace