Cost of Fuel Hedging using CL Call Options

[OddTrader]

My objective for this journal is to conduct a forward-test of hedging fuels using futures options of crude oil (CL) in order to find out its annual cost on average.

The system always buys long calls only (one or more contracts), and maintains a long call position 24 hours, 7 days and 12 months.

Only the signals together with their prices will be posted here on weekly basis, in order to calculate its weekly/yearly cost.

Current (unfavourable/losing about -$2,080) position: Bought (earlier this week) 2x Feb CL (Exp 17Jan) 100.50 Call @$3.78 (price filled on simulation account).

 

[OddTrader]

People generally believe a system that always buys long puts of a same size is basically a losing game!

This journal is also to test whether a system that always buys long puts of varying sizes must be a losing game, or it can be a nearly breakeven or slightly profitable game! The magical power of position sizing! Actually, a result of losing minimum would be already a Big success!!!

Parrondo's paradox - Wikipedia, the free encyclopedia

"
Parrondo's paradox, a paradox in game theory, has been described as: A losing strategy that wins. It is named after its creator, Spanish physicist Juan Parrondo, who discovered the paradox in 1996. A more explanatory description is:

Given two games, each with a higher probability of losing than winning, it is possible to construct a winning strategy by playing the games alternately.

...

Simple finance textbook models of security returns have been used to prove that individual investments with negative median long-term returns may be easily combined into diversified portfolios with positive median long-term returns.[10] Similarly, a model that is often used to illustrate optimal betting rules has been used to prove that splitting bets between multiple games can turn a negative median long-term return into a positive one.
"

 

[OddTrader]

My objective for this journal is to conduct a forward-test of hedging fuels using futures options of crude oil (CL) in order to find out its annual cost on average.

The system always buys long calls only (one or more contracts), and maintains a long call position 24 hours, 7 days and 12 months.

Only the signals together with their prices will be posted here on weekly basis, in order to calculate its weekly/yearly cost.

Current (unfavourable/losing about -$2,080) position: Bought (earlier this week) 2x Feb CL (Exp 17Jan) 100.50 Call @$3.78 (price filled on simulation account).

Closed today 2x Feb CL (Exp17Jan) 100.5 Call @$2.07, for a loss $3,420.

Bought today 1x Feb CL (Exp17Jan) 101.5 Call @$1.60.

 

[OddTrader]

Closed today 2x Feb CL (Exp17Jan) 100.5 Call @$2.07, for a loss -$3,420.

Bought today 1x Feb CL (Exp17Jan) 101.5 Call @$1.60.

Closed 1XFeb CL (Exp17Jan) 101.5 Call @$0.07, for a loss -$1,530.

Bought today 1xMar CL (Exp 15Feb) 102.5 Call @$2.62.

 

[OddTrader]

Bought today 1xMar CL (Exp 15Feb) 102.5 Call @$2.62.

Today add 1x Mar CL (Exp 15Feb) 102.5 Call @1.56. Total 2x Calls @2.09.

 

[OddTrader]

Today add 1x Mar CL (Exp 15Feb) 102.5 Call @1.56. Total 2x Calls @2.09.

Hold the current position for another week.

 

[OddTrader]

This system is now under review.

Back to the drawing board!