Results year-to-date, March 31 , 2019
Summary
Number of trades: 87
Total net value: $9,795
Number of winners: 39
Value of winners: $23,357.50
Number of losers: 48
Value of losers: -$13,562.50
Average winner: $598.91; average loser: $282.55
Longest winning streak: 4 trades; value $2385
Longest losing streak: 4 trades; value $1090
Cumulative Profit/Loss, Q1 2019
What are these trades?
How much money do they make?
What’s the best way to trade them?
For some time we’ve been posting selected examples of trades based on Nat’s inflection points. (Here’s an example of the Inflection points; here is an example of the selected calls).
We get lots of questions about the overall results of these calls, and about how to use them. So we ran a number of simulations comparing the inflection points to the actual market price action for the first three months of 2019. Here’s what we found.
- In the first three months of 2019 Nat’s inflection point calls returned a net gain of
$9,795 trading one contract per call. - There is a simple, relatively safe and consistent method of trading them which is available now at no additional charge to every member with Daily Access or above.
- Using that method Oil trades returned $6980 per contract over the three months of the study; ES trades returned $1575; gold trades returned $1,240.
- 366 orders were entered (two for each of three contracts for each of 61 trading days) of which 87 were filled and resulted in trades; 39 winners and 48 losers.
- After the first two days the cumulative profit/loss was positive and stayed positive for the entire period, with the exception of a single day; after the second week of January the simulation was never under water.
- These are all day trades, which means they require only day margin in your account, rather than the “maintenance” margin required for trades held after the close. Day margins are typically $400-$600 for each order filled (so a maximum 3 orders per day means total margin of about $1800 — see the trading rules below); “maintenance” margin is typically more than $6000 per contract. [/su_box]
There is a link lower down on this page to some of the raw data we used, so you can do your own analysis and ‘what-if’ scenarios. You may find an even more profitable way to trade Nat’s inflection points.
The trading rules
[su_section background=”#cbdde0″ parallax=”no” cover=”no” max_width=”850″ padding=”10px 0px 0px 0px”]- Enter a buy and a sell order overnight for each of the three contracts covered in the Naturus daily worksheet: oil futures, gold futures and the e-minis (i.e. a total of six orders each trading day).
- All orders are good “day-only” — automatically cancelled at the close of the day session.
- Place a hard stop on every order: $300 for gold and the ES, $400 for oil.
- If an order is filled, cancel the opposite order, i.e. order-cancels-order.
- If an order is filled, and not stopped out, cover it market-on-close.[/su_section]
All of these actions can be accomplished with limit orders placed in the evening (Eastern time) after the markets are closed and the daily workbook is published.
There is no need to watch the market after the orders are placed, and because the orders are good “day only” they qualify for (much lower) day — instead of overnight — margins
The entire process should require no more than an hour a day in the evening to place orders and record the results.
Managing risk
This is a mechanical, systematic method of trading, and limiting losses is automatic … as long as you faithfully follow the system.
Barring slippage, the maximum daily loss is three orders filled and all three stopped out on the same day. The maximum loss for a day like that would be $1000 — gold and the ES stopped out for a loss of $300 each and oil stopped out for a loss of $400. That occurred once in the 61 days in this study.
The second and third largest daily losses would be $700 or $600 — two orders filled and both stopped out, with no offsetting winners. That happened twice in the 61 days in this study.
In total, of the 61 days in the study, there were net losses on 14 days. The longest losing streak was three days, for a total loss of $503.50.
Stops
We experimented with different stops, both larger and smaller.
Tighter stops decreased the max loss per trade, but increased the number of times the trades were stopped out, and missed some highly profitable trades. Larger stops did not seem to catch more trades, but increased the total amount of losses.
We settled on stops of $300 for gold and the ES, $400 for oil. This level gave the best result for us, but Your Mileage May Vary.
Table: Weekly results, First Quarter, 2019
| Winners | Num. | Losers | Num. | Net | Total | ||
|---|---|---|---|---|---|---|---|
| January | Week 1 | $940.00 | 2 | $770.00 | 2 | $170.00 | 4 |
| Week 2 | $1,040.00 | 1 | $700.00 | 3 | $340.00 | 4 | |
| Week 3 | $752.50 | 3 | $1,600.00 | 5 | $-847.50 | 8 | |
| Week 4 | $1,735.00 | 2 | $600.00 | 3 | $1,135.00 | 5 | |
| Week 5 | $3,090.00 | 5 | $1,025.00 | 4 | $2,065.00 | 9 | |
| February | week1 | $1,875.00 | 3 | $800.00 | 3 | $1,075.00 | 6 |
| week2 | $3,930.00 | 6 | $1,000.00 | 3 | $2,930.00 | 9 | |
| week3 | $1,000.00 | 3 | $1,300.00 | 4 | $-300.00 | 7 | |
| week4 | $2,775.00 | 3 | $1,775.00 | 6 | $1,000.00 | 9 | |
| March | week1 | $460.00 | 1 | $700.00 | 2 | $-240.00 | 3 |
| week2 | $780.00 | 2 | $1,400.00 | 6 | $-620.00 | 8 | |
| week3 | $2,095.00 | 2 | $892.50 | 4 | $1,202.50 | 6 | |
| week4 | $2,885.00 | 6 | $1,000.00 | 3 | $1,885.00 | 9 | |
| Total | $23,357.50 | 39 | $13,562.50 | 48 | $9,795.00 | 87 | |
| Average | $598.91 | $-282.55 |
Comparing results across different contracts.
In Q1 2019 trades on oil contracts were far better than the other two combined and accounted for most of the profit. Trades on the e-mini futures and gold showed only a modest profit. Compare the following charts.
Profit/Loss by contract
Cumulative results for E-minis, Oil, Gold and all three combined for the first quarter of 2019. Each bar represents one day and shows the cumulative p/l including that day. Each group of bars represents the daily results for one week. Click charts to enlarge.
-
- ES
-
- GOLD
-
- OIL
-
- Combined
Oil only trades
In view of the vastly superior results from the oil trades, we separated out the results if only the oil calls were traded. Here’s what we got.
| Oil Trades - Q1, 2019 | Total Value | Number | Average Value |
|---|---|---|---|
| Winners | $19,190.00 | 17 | $718.24 |
| Losers | $5,230.00 | 15 | -$348.67 |
| Net/Total | $6,980.00 | 32 | $218.13 |
| Consecutive winners | 4 | Value: | Total: $2660 |
| Consecutive losers | 3 | Value: | Total: $1200 |
In summary, there were roughly as many winners as losers, but the winners were roughly twice as large. The cumulative profit/loss for oil trades turned positive after the first two days, and stayed positive for the entire 13 weeks.
Those results make it worthwhile to consider trading only the oil calls: one-third of the risk, one-third of the effort, and almost as much profit.
However markets run in streaks, and the relative profitability of different contracts can easily change. The daily range of oil during the time period was higher than for the other contracts and that affects the results; the more it moves the greater the opportunity.
Data downloads
Here is the download link for the raw data for February 2019, including a couple of tentative ‘what-if’ scenarios.
[gview file=”https://www.naturus.com/wp-content/uploads/2020/01/Strategyt-tester.xls”]Questions?
Contact admin@naturus.com
Here is the spreadsheet used to draw the charts and the associated data. (Automatic download in xls format, but does not open automatically. You need to save it to disk, then open the file from within Excel).
[gview file=”https://www.naturus.com/wp-content/uploads/2019/04/Charts-Q1-2019-cumulative.xls”]Please use the Comments below for questions or observations. Comments closed