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commodities trading Near 'WorstEquity' based on historic Seasonal Trades:
- Calculate worst equity last column as '% of entry price' and have it as separate column named 'WorstEquity_percent'
- Now have Amibroker do calculation for this year 'seasonal trade' ( in our crdue example') and filter the trades that are showing <= Avg_WorstEquuity_percent' this should give good trades across CRUDE OIL, Nat. Gas, CRON/WHEAT, GOLD/SILVER, Bonds ..
- Run a back test and find it , for 'CRUDE' we can Use USO data which is available for 5 to 8 years.
example: 1/27/2010 crude OIL is down from 82 to 73 for last 10 days. MRCI sesional said trade for 1/12 to 3/15 for CRUDE OIL should give good return, since for year 2010 crude oil dropped to -50% of avg. profit of 'the Sesanoal' , I think it became 'Sesonal bargain trade'
( have Amibroker exploration based on seasonal Trade data:
- criteria: commodities that dropped to 30-50% of the the avarage profit for the seasonal based on historic seasonal return.
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why space here
Crude Oil(NYM)-June
Buy on approximately 01/11 - Exit on approximately 03/31
asr: see bottom chart, from JAN to MARCH curve moved from 20 to 60 , so got 40% of total years gain in 2 months so this is good period for OIL LONG side
asr 2: I copied table copy/paste from browser, we can easily write PHP regular expression to get all Table Data into fields and STORE in .CSV files so that ANY program can access it , let it be a CHARTING program or another PHP server side program ( .csv Great versatile text format )
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Cont Year | Buy Date | Buy Price | Exit Date | Exit Price | Profit | Profit Amount | Best Equity Date | Best Equity Amount | Worst Equity Date | Worst Equity Amount |
|---|---|---|---|---|---|---|---|---|---|---|
| 2009 | 01/12/09 | 50.91 | 03/31/09 | 51.37 | 0.46 | 460.00 | 03/26/09 | 4870.00 | 02/18/09 | -9760.00 |
| 2008 | 01/11/08 | 90.94 | 03/31/08 | 101.09 | 10.15 | 10150.00 | 03/13/08 | 17000.00 | 01/23/08 | -4980.00 |
| 2007 | 01/11/07 | 54.86 | 03/30/07 | 67.47 | 12.61 | 12610.00 | 03/30/07 | 12610.00 | 01/16/07 | -1170.00 |
| 2006 | 01/11/06 | 65.63 | 03/31/06 | 67.93 | 2.30 | 2300.00 | 01/30/06 | 4370.00 | 02/15/06 | -4500.00 |
| 2005 | 01/11/05 | 44.89 | 03/31/05 | 56.42 | 11.53 | 11530.00 | 03/21/05 | 13170.00 | ||
| 2004 | 01/12/04 | 32.69 | 03/31/04 | 35.08 | 2.39 | 2390.00 | 03/19/04 | 4040.00 | 02/06/04 | -1930.00 |
| 2003 | 01/13/03 | 28.72 | 03/31/03 | 29.19 | 0.47 | 470.00 | 03/12/03 | 5950.00 | 03/21/03 | -2540.00 |
| 2002 | 01/11/02 | 20.79 | 03/28/02 | 26.37 | 5.58 | 5580.00 | 03/28/02 | 5580.00 | 01/17/02 | -1340.00 |
| 2001 | 01/11/01 | 26.55 | 03/30/01 | 26.57 | 0.02 | 20.00 | 02/08/01 | 3420.00 | 01/17/01 | -410.00 |
| 2000 | 01/11/00 | 23.28 | 03/31/00 | 26.38 | 3.10 | 3100.00 | 03/07/00 | 7380.00 | ||
| 1999 | 01/11/99 | 13.66 | 03/31/99 | 16.73 | 3.07 | 3070.00 | 03/30/99 | 3080.00 | 02/16/99 | -1880.00 |
| 1998 | 01/12/98 | 17.31 | 03/31/98 | 15.94 | -1.37 | -1370.00 | 01/29/98 | 940.00 | 03/17/98 | -3390.00 |
| 1997 | 01/13/97 | 22.96 | 03/31/97 | 20.42 | -2.54 | -2540.00 | 01/15/97 | 710.00 | 02/28/97 | -3100.00 |
| 1996 | 01/11/96 | 17.62 | 03/29/96 | 20.15 | 2.53 | 2530.00 | 03/25/96 | 3120.00 | 02/05/96 | -710.00 |
| 1995 | 01/11/95 | 17.56 | 03/31/95 | 18.95 | 1.39 | 1390.00 | 03/29/95 | 1420.00 | 01/13/95 | -160.00 |
| Percentage Correct | 87 | |||||||||
| Average Profit on Winning Trades | 4.28 | 4276.92 | Winners | 13 | ||||||
| Average Loss on Trades | -1.95 | -1955.00 | Losers | 2 | ||||||
| Average Net Profit Per Trade | 3.45 | 3446.00 | Total trades | 15 | ||||||
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