CL 15x-TR

System characteristics

 

CL15xTR is an intraday trading system, combining continuation trades in the direction of a confirmed macro-trend, with reversal trades
off the weakest macro-trends.

It is based off CL151 "TR" patterns, hence this system's name.

All trades taken by CL15xTR are with the current (or new) trend, which make it possible to use much smaller stops (from 30 to 60 ticks) than CL151. On the other hand, the win% is also much lower than that of CL151, but the overall Profit Factor is just as good.

The system trades both the overnight-session & the day-session, and does not go flat before the session-break (5:15pm EST) - except of course before the week-end.

The system makes use of a user-configurable initial stop (recommended value : 60-ticks), and offers an optional user-configurable target
(not recommended).

 

System design

 

This system uses CL151 market-model, statistical analysis & software.

It includes 2 continuation patterns (150 & 301) and 3 reversal patterns (152, 154, 155).

CL15xTR offers a single trade-management, identical to CL151 Basic Trade-Management with patterns 150/301 Alternate Mode.

v02 offers the possibility to keep an existing trade beyond the next trend-change, if that next trend-change generates a valid CT signal
(CL151 patterns 151, 302, 153). The stop used for that trade extension is configurable separately from the entry-stop.
This enhancement allows to use CL15xTR either as an add-on for CL151 (focusing on TR setups, with a small CT extension stop, typically 15-ticks), or as a standalone system (with a larger CT extension stop, typically 50 to 100 ticks).

 

System performance - standalone

 

The figures & charts below are for CL15xTR v02, all patterns, entry-stop 60-ticks, extension-stop 100-ticks ;
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".

 

2014 to August-15th

Capital requirements

 

  • The minimum account-size to trade 1 contract of Crude-Oil (CL) with this system is $10,000
  • The recommended account-size to trade 1 contract of Crude-Oil (CL) with this system is $12,000

 

Pricing

 

CL15xTR is offered for lease at a monthly rate of $125 for a position-size of 1 contract.

Other lease terms available:

  • Quarterly rate: $300 for a position-size of 1 contract (20% discount vs. monthly)
  • Annual rate: $900 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).

CL15xTR can also be leased with a (2-cores / 1GB RAM) VPS hosted in Chicago (~1ms latency to CME Aurora) for $450 / quarter or $1500 annual.

 

How to order

 

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

Entry-Stop

 

Although the recommended entry-stop is 60-ticks, 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 v01 performance (no trade extension CT) 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 (30-ticks) & max (60-ticks) size for the entry-stop.

 

System performance - CL151 add-on : 30-ticks Entry-Stop, 15-ticks Extension-Stop

 

The figures & charts below are for CL15xTR v02, all patterns, entry-stop 30-ticks, extension stop 15-ticks ;
backtest using 1 contract per trade, $5 commissions per round-trip, 1-tick systematic slippage per entry / same for exits.

 

How to order

 

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

2014 to August-8th

2014 to August-15th

 

System performance - CL151 add-on

 

One of the drivers for CL15xTR is to provide the ability to use a constant max-loss $ amount for CL151 setups, whether CT or TR.
As CT setups recommended EntryStop is twice as big as the EntryStop for TR setups, it can make sense to trade twice as many contracts
on TR setups than on CT setups.

In this configuration, one doesn't want to keep the trades too far beyond the next trend-change, however, using a small extension stop (15-ticks) from that trend-change yield a nice performance improvement vs v01.

The figures & charts below are for CL15xTR v02, all patterns, entry-stop 60-ticks, extension-stop 15-ticks,
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".

 

2014 to August-15th