Intraday CL Trading Strategy

So the first few days of work have been interesting and somewhat stressing to say the least. It’s probably a good idea to write something about my experience in a future post. Since beginning my job I’ve transitioned very quickly from predominantly mean reversion to seriously examining trend-following systems. Primarily due to the reinforcement feedback on a trading desk with open collaboration. It’s much cooler to call out the beginning of a multi-point trend then scalp a megacap stock for .25 after going through 3x risk draw down. As such I did some work on crude oil futures and since I still trade equities I thought I would share the system here and hopefully get some feedback. My only request is that if you do utilize anything here that you report back how it is doing!! Seriously I’d like to know.

if time >= 1200 and time <= 1300 then begin
buy next bar at highd(0) stop;
sell short next bar at lowd(0) stop;
end;

if marketposition = 1 then begin
sell next bar at lowd(0) stop;
//    if barssinceentry = 1 and h[1] = highd(0) then sell next bar at market;
end;

if marketposition = -1 then begin
buy cover next bar at highd(0) stop;
//    if barssinceentry = 1 and l[1] = lowd(0) then buy cover next bar at market;
end;

setexitonclose;

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~ by largecaptrader on November 23, 2009.

One Response to “Intraday CL Trading Strategy”

  1. Dear Largecaptrader,

    I had a look at your strategy and I can say its simple and nice 🙂
    I have a lot of experience with the algotrading and I run it through my tool. Strategy seems to be focused on the makro news announcement price actions. In 8 cases out of 9 they will happen at 8.30 ECT or 12-13 your local time. However sometimes the announcement take place at 10. ECT. I run the sim including the data about the hours of the makro news announcements and that improved the performance of the strategy significantly 🙂

    Best Luck with your system,

    Bartek

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