CL 351

System characteristics

 

CL 351 is an intraday trading system, which essentially trades pullbacks in the direction of a confirmed macro-trend.
It is based on "pattern 351", a 5-trends variant of pattern 151, and is currently a single pattern system.

The system trades both the overnight-session & the day-session, and goes flat before the session-break (5:15pm EST) when the trades not closed by the session-break have a statistically high overnight risk.

The system makes use of a dynamically computed initial stop (recommended max value : 120-ticks), and offers an optional user-configurable target (recommended value : 60-ticks).

 

System design

 

This system uses CL151 market-model, with settings updated for greater sensitivity. It also makes use of CL151 software.

CL 351's statistical analysis improves upon CL 151, and benefits from the greatest rigor in that area.

Pattern 351 setup uses the last 5-trends (like pattern 302) - it looks for strength in the 3 oldest trends of the setup, making it less sensitive to spike reversals.  Like patterns 151 and 302, pattern 351 fades the trend-change signal coming off the extreme of the macro-trend, expecting that pullback to  attempt a retest of the macro-trend extreme.

Pattern 351 trades are exited either at the dynamically computed initial-stop (~10% of pattern 351 trades), at the target (~16% of pattern 351 trades), the next trend-change (68% of pattern 351 trades), or right before the session-break (~6% of pattern 302 trades).

CL351 offers 4 optional filters for pattern 351:

  • Three of these filters (F1, F2, F4) are statistically significant regardless of pattern 351.
  • The last filter is only statistically significant on pattern 351 perimeter, on which it is 4.2 standard deviations away from random. 

CL351 offers two trade-management options :

  • The Basic Trade-Management is identical to CL 151.
  • The Alternate Trade-Management is similar to CL 151, but  only applies to the best setups (about 35% of them) ; other setups fall-back to the Basic Trade Management.

 

System performance

 

The figures & charts below are for CL 351 v01, 4 filters, dynamic entry-stop max 120-ticks, backtest using 1 contract per trade, $5 commissions per round-trip, 1-tick systematic slippage per entry / same for exits.

  • 2007..2014 is the statistical analysis period, technically "in-sample".
  • 2015 is outside of the statistical analysis period, technically "out-of-sample".

 

Basic Trade Management - 4 filters

 

Capital requirements

 

  • The minimum account-size to trade 1 contract of Crude-Oil (CL) with this system (no filters) is $15,000
  • The recommended account-size to trade 1 contract of Crude-Oil (CL) with this system (no filters) is $20,000

 

Pricing

 

CL 351 is offered for lease at a monthly rate of $150 for a position-size of 1 contract.

Other lease terms available:

  • Quarterly rate: $360 for a position-size of 1 contract (20% discount vs. monthly)
  • Annual rate: $1080 for a position-size of 1 contract (40% discount vs. monthly)

These prices include all software updates & upgrades during the lease term.

Remote monitoring service for this system is available at an extra price of $150 / month (flat fee per system, independent of the position-size).

CL 351 can also be leased with a (2-cores / 1GB RAM) VPS hosted in Chicago (~1ms latency to CME Aurora) for $500 / quarter or $1600 annual.

 

How to order

 

Please contact us at dom993trading@gmail.com or use the Contacts form to get started.

Alternate Trade-Management - 4 filters
 

2015 to February-20th

2015 to February-20th