1st day of new CL futures day/swing system

Aug 25, 2012
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#1
first day of new system. Will post periodic updates on performance:

Crude Oil (CL) Day-Trading System

Expectation:
• 60-65% win rate. How? Mean reversion entries
• 1.025 risk/reward per trade • 1% portfolio risk per trade • Approximately 1.5 entries per day for 375 trades per year.

Edge:
• Risk of ruin/drawdown parameters are predictable via mean reversion entries.
• Most traders seeking 2 to 1 or more risk/reward per trade which reduces their likelihood of trade success (fading their majority of losers).
• Majority of range breakouts fail.

Execution:
• Auto OCO orders: 41 tick target. 40 tick stop
• Short 1 tick below high of previous 30 minute candle when above VWAP standard deviation 2.
• Buy 1 tick above low of previous 30 minute candle when below the daily VWAP standard deviation 2.
• Never hold position overnight.
 
Aug 25, 2012
2
0
11
#2
Update to system. Feedback?

-Changed VWAP standard deviation to 4.
-Short close of 30min candle above VWAP 4
-Long close of 30 min candle below VWAP 4

same 40 tick stop 41 tick target

Any thoughts?

1 winner so far. Have a CL swing short on as of today so will not take any
more system entries until that position is closed.
 

Stormy42

Active member
Aug 22, 2017
254
3
28
#3
60 to 65% win rate is some going! Interested to see how this pans out. Agree with not hold overnight. Good luck.