CL 151

System characteristics

 

CL151 is an intraday trading system, which essentially trades pullbacks in the direction of a confirmed macro-trend.
It is based on "pattern 151", the most stable and 2nd largest pattern of CL Always-In.

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 user-configurable initial stop (recommended value : 120-ticks), and offers an optional user-configurable target
(recommended value : 60-ticks).

 

System design

 

This system uses at its core the same trend detection mechanism as CL Always-In, but uses a different set of confirming factors.

It looks for series of trends (macro-trend) making HH (for up-trends) or LL (for down-trends), then 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.

In Basic Trade-Management, the trade is exited either at the initial-stop (~6% of the total number of trades), at the target (~14% of patterns 151 & 153 trades), the next trend-change (70% of the total number of trades), or right before the session-break (~10% of the total number of trades).

 

 

System performance

 

The figures & charts below are for v06 BasicTM, default patterns, entry-stop 120-ticks (CT) / 60-ticks (TR), 2007..2014,
backtest using 1 contract per trade, $5 commissions per round-trip, 1-tick systematic slippage per entry / same for exits.

  • 2007..2012 is the statistical analysis period, technically "in-sample".
  • 2013..2014 is outside of the statistical analysis period, technically "out-of-sample".

I am trading this system since March 2014

Capital requirements

 

  • The minimum account-size to trade 1 contract of Crude-Oil (CL) with this system (all 7 patterns, BasicTM) is $12,500
  • The recommended account-size to trade 1 contract of Crude-Oil (CL) with this system (all 7 patterns, BasicTM) is $15,000

 

Pricing

 

CL 151 is offered for lease at a monthly rate of $200 for a position-size of 1 contract.

Other lease terms available:

  • Quarterly rate: $480 for a position-size of 1 contract (20% discount vs. monthly)
  • Annual rate: $1440 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).

 

How to order

 

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

 

How to order

 

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

 

Note: this section describes v06's performance with Basic Trade-Management ...
... see the System details section down below to explore further capabilities

Note: pricing includes the System Extras described down below !!!

2014 to August-15th

2014 to August-15th

2014 to August-1st

2014 to August-15th

2014 to August-15th

2014 to August-1st

System details

 

CL 151 includes 1 core pattern (1515), 1 optional pattern (150) and 6 additional (bonus) patterns (301, 302, 152, 153, 154 ,155):

  • Pattern 1515 is the system's main pattern
  • Pattern 150 anticipates pattern 1515 in strong trends, where CL has a tendency to stop its pullbacks before generating pattern 1515 signals
  • Pattern 302 is a "double 151" ... this configuration denotes inherently stronger price-action than the regular pattern 151
    (of course, there is a lot of overlap between the 2 patterns, but pattern 302 adds about ~150 trades since 2007)
  • Pattern 301 anticipates pattern 302 in strong trends, where CL has a tendency to stop its pullbacks before generating pattern 302 signals
  • Patterns 152, 153, 154, 15 are "small sample size" (~180, ~55, ~160, ~70), which is the reason why they are presented as system extras instead of being part of the core system. They are all solidly rooted in price-action, and each of them has a great standalone performance.


CL 151 basic trade management keeps the trade to the next trend-change, which is usually on the way towards a retest of last trend's extreme.

CL 151 also comes with an alternate trade management, whereby patterns 151, 302 & 153 trades are kept beyond the current pullback, and ride the following trend. This alternate trade management has a significantly lower win rate, but an overall higher profit per trade.

In the last 5 years (2009..13) this alternate trade management has been outperforming the basic trade management by about 45%

 

Pattern 1515

 

The figures & charts below are for pattern 1515 BasicTM, entry-stop 120-ticks (CT), 2007..2014, backtest using 1 contract per trade, $5 commissions per round-trip, 1-tick systematic slippage per entry / same for exits.

 

Pattern 150

 

Because pattern 150 anticipates pattern 1515 in strong trends, its trades are a mix of:

  • Trades totally missed by pattern 1515 (about 17% of the pattern 150 count)
  • Trades taken earlier in the trend, with a better entry price and P&L than the regular pattern 1515 trade (about 13% of the pattern 150 count)
  • Trades taken "too soon", at a worse entry price and P&L than the regular pattern 1515 trade (about 70% of the pattern 150 count)

 

The following table summarize pattern 150 incremental performance year by year from 2007:

 

 

 

 

 

 

 

 

 

 

 


Note: these figures are for the recommended pattern 150 specific trade-management settings (Pattern150Mode = AlternateMode).

Patterns 150, 1515, 301, 302, 152, 153, 154, 155 combined - Alternate Trade Management

 

The figures & charts below are for v05 AlternateTM, default patterns, entry-stop 120-ticks (CT) / 60-ticks (TR), 2007..2014,
backtest using 1 contract per trade, $5 commissions per round-trip, 1-tick systematic slippage per entry / same for exits.

  • 2007..2012 is the statistical analysis period, technically "in-sample".
  • 2013..2014 is outside of the statistical analysis period, technically "out-of-sample".

I also trade this system using the alternate trade management.

 

It should be noted that the capital requirement for trading the Alternate Trade Management are higher than for the Basic Trade Management:

  • The minimum account-size to trade 1 contract of Crude-Oil (CL) with the alternate trade management is $16,500
  • The recommended account-size to trade 1 contract of Crude-Oil (CL) with the alternate trade management is $20,000

 

Pattern 152

 

The following table summarize pattern 152 performance year by year from 2007, with entry-stop 60-ticks (TR):

 

 

 

 

 

 

 

 

 

 

 

 

Pattern 153

 

The following table summarize pattern 153 performance year by year from 2007, with entry-stop 120-ticks (CT):

 

 

 

 

 

 

 

 

 

 

 

 

Pattern 154

 

The following table summarize pattern 154 performance year by year from 2007, with entry-stop 60-ticks (TR):

 

 

 

 

 

 

 

 

 

 

 

 

2014 to August-15th

Pattern 155

 

The following table summarize pattern 155 performance year by year from 2007, with entry-stop 60-ticks (TR):

 

 

 

 

 

 

 

 

 

 

 

 

2014 to August-15th

Pattern 302

 

The following table summarize pattern 302 performance year by year from 2007, with entry-stop 120-ticks (CT)  ... note that only ~150 setups are actually "new" setups (vs. the core pattern 151)

 

 

 

 

 

 

 

 

 

 

 

 

2014 to August-15th

Entry-Stop

 

Although the recommended entry-stop is 120-ticks for CT patterns & 60-ticks for TR patterns, the system performs well on a large range of entry-stop sizes, making it easy to adjust to one's individual comfort zone on this important parameter.

The table below shows the v06 performance at various entry-stop sizes ; all backtests using 1 contract per trade, $5 commissions per round-trip, 1-tick systematic slippage per entry / same for exits.

The 2nd table shows the recommended min (50-ticks CT / 50-ticks TR) & max (120-ticks CT / 60-ticks TR) size for the entry-stop (BasicTM).

 

2007 to 2014, August 15th

System performance with 50-ticks Entry-Stop - Basic Trade-Management

 

The figures & charts below are for CL 151 v06, default patterns, Basic TM, entry-stop 50-ticks (CT) / 50-ticks (TR),
backtest using 1 contract per trade, $5 commissions per round-trip, 1-tick systematic slippage per entry / same for exits.

 

2014 to August-15th

System performance with 50-ticks Entry-Stop - Alternate Trade-Management

 

The figures & charts below are for CL 151 v06, default patterns, AlternateTM, entry-stop 50-ticks (CT) / 50-ticks (TR),
backtest using 1 contract per trade, $5 commissions per round-trip, 1-tick systematic slippage per entry / same for exits.

 

2014 to August-15th

How to order

 

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

 

Pattern 301

 

Because pattern 301 anticipates pattern 302 in strong trends, its trades are a mix of:

  • Trades totally missed by pattern 302 (about 17% of the pattern 301 count)
  • Trades taken earlier in the trend, with a better entry price and P&L than the regular pattern 302 trade (about 13% of the pattern 301 count)
  • Trades taken "too soon", at a worse entry price and P&L than the regular pattern 302 trade (about 70% of the pattern 301 count)

 

The following table summarize pattern 301 incremental performance year by year from 2007 ... note that only ~40 setups are actually "new" setups (vs. pattern 150):

 

 

 

 

 

 

 

 

 

 

 


Note: these figures are for the recommended pattern 150/301 specific trade-management settings (Pattern150Mode = AlternateMode).

2014 to August-15th