CL 302

System characteristics

 

CL302 is an intraday trading system, which essentially trades pullbacks in the direction of a confirmed macro-trend.
It is based on "pattern 302", the most stringent variant of pattern 151, and its anticipated entry-signal, "pattern 301".

CL302 also features "pattern 152", which trades reversals off the weakest macro-trends.

The combination of these 3 patterns makes for a perfect low-frequency trading system, with the smallest recommended account-size of all dom993trading's systems.

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

 

System design

 

This system uses CL151 market-model, statistical analysis & software. Its 3 patterns have been carefully chosen with the ultimate goal of offering a versatile entry-level system, with good performance over a large range of entry-stop sizes.

Pattern 302 is a "double 151", ie. it looks for series of trends (macro-trend) making 2 consecutive HH (for up-trends) or 2 consecutive 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.

Pattern 302 trades are exited either at the initial-stop (~6% of pattern 302 trades), at the target (~12% of patterns 302 trades), the next trend-change (70% of pattern 302 trades), or right before the session-break (~12% of pattern 302 trades).

CL302 offers a single trade-management, identical to CL151 Basic Trade-Management.

 

System performance

 

The figures & charts below are for CL 302 v03, all patterns, entry-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-8th

Capital requirements

 

  • The minimum account-size to trade 1 contract of Crude-Oil (CL) with this system (3 patterns) is $10,000
  • The recommended account-size to trade 1 contract of Crude-Oil (CL) with this system (3 patterns) is $12,000

 

Pricing

 

CL 302 is offered for lease at a monthly rate of $100 for a position-size of 1 contract.

Other lease terms available:

  • Quarterly rate: $240 for a position-size of 1 contract (20% discount vs. monthly)
  • Annual rate: $720 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 302 can also be leased with a (2-cores / 1GB RAM) VPS hosted in Chicago (~1ms latency to CME Aurora) for $350 / quarter or $1300 annual.

 

How to order

 

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

System details

 

CL 302 includes 1 core pattern (302), 2 optional patterns (301 & 152):

  • Pattern 302 is the system's main pattern, looking for continuation of those strong macro-trends
  • Pattern 301 anticipates pattern 302 in strong trends, where CL has a tendency to stop its pullbacks before generating pattern 302 signals
  • Pattern 152 does the opposite of pattern 302, it looks for reversals off the weakest macro-trends

 

Pattern 302

 

The figures below are for pattern 302,  entry-stop 100-ticks, backtest using 1 contract per trade, $5 commissions per round-trip, 1-tick systematic slippage per entry / same for exits.

2014 to August-8th

Pattern 152

 

The figures below are for pattern 152,  entry-stop 100-ticks, backtest using 1 contract per trade, $5 commissions per round-trip, 1-tick systematic slippage per entry / same for exits.

 

Entry-Stop

 

Although the recommended entry-stop is 100-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 systems 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) & max (100-ticks) size for the entry-stop.

 

System performance with 50-ticks Entry-Stop

 

The figures & charts below are for CL 302 v03, all patterns, entry-stop 50-ticks, backtest using 1 contract per trade, $5 commissions per round-trip, 1-tick systematic slippage per entry / same for exits.

 

2014 to August-8th

2014 to August-8th

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:

 

2014 to August-8th