Daily - Fuel Matrix
- hypothetical · Annual Return (Compounded)
- -0.6%
- Max Drawdown
- 46.9%
- Trades
- 119
- Win Trades
- 54.6%
- Profit Factor
- 1
- Win Months
- 2.0%
About this strategy
Buy and Sell signals issued after the close for the next trading day and during market hours as necessary. ITM highly recommended for trade signals and commentary during the day session. On average, positions are closed within 2 days.
Profit Targets can be reached in overnight access trading by using limit orders.
A word about overnight trading. I always put in a Limit order to take profits at the PT. You never know what might happen to give you the profits during the overnight session AND the market not give it to you during open outcry, a total reversal and loss on the trade. Yes, this does not happen often but I do not take the chance. If I can get the PT overnight, I take it!
If the PT is hit in the overnight session: For those who do not want to trade the overnight session and because C2 does not track overnight prices, I will change the order entry to a limit if necessary before open outcry. Basically you want to be filled at or near the entry price as the signal states. If this happens, ITM must be utilized in order to get the trade signal immediately or just realize that you may need to cancel your entry stop and place a limit order if the signal price has already been passed through in overnight trading.
What about slippage? Come on folks, this is the real world. There will be slippage on stop orders from the prices posted here on C2 but not enough to consistently make a nice profit on the trade when the PT is hit. You CAN place a stop limit which I will do if the market is moving fast and I dont want to be clipped for 30 to 50 points on a fill. Here, this is at the traders discretion wether or not place a stop or a stop limit and take the chance of not getting filled at all.
What about the eminis? I do not trade the mini contracts but if they line up closely tick for tick with the full contracts then go for it, price movement should be very consistant.
I have been trading the NYMEX for almost 10 years and this system has been developed from my trading experience.
If you can stomach trading one of the most volitale markets in the world, then I welcome you aboard. With volitility also comes the chance to make some nice profits. Use the 14 day FREE trial period to see the action for yourself.
Thanks for the look!!
Note: Past performance is not indicative of future results. All investing has risk of loss. Trading may not be suitable for all investors.
Hypothetical Monthly Returns (includes fees/commissions)
| Year | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | YTD |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2006 | 2.5 | 6.6 | 9.7 | 16.0 | -5.6 | -0.8 | 2.0 | -24.9 | -1.8 | -2.9 | 0.0 | -4.9 | |
| 2007 | 0.0 | 0.0 | 0.0 | 0.0 | -0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | -0.0 |
| 2008 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 |
| 2009 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | -0.0 | 0.0 | 0.0 | -0.0 |
| 2010 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 |
| 2011 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 |
| 2012 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 |
| 2013 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 |
| 2014 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 |
| 2015 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 |
| 2016 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 |
| 2017 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 |
| 2018 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 |
| 2019 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | ||
| 2020 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 |
| 2021 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 |
| 2022 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 |
| 2023 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 |
| 2024 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 |
| 2025 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 |
| 2026 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 |
Statistics
Overview
| Strategy began | 2/2/2006 |
|---|---|
| Suggested Minimum Capital | $100,000 |
| Age | 251 months |
| What it trades | Futures |
| # Trades | 119 |
| # Profitable | 65 |
| % Profitable | 54.6% |
| Avg trade duration | 1.9 days |
| Max peak-to-valley drawdown | 46.9% |
| drawdown period | June 09, 2006 - Oct 12, 2006 |
| Annual return (compounded) | 0.0% |
| Avg win | $1,749 |
| Avg loss | $2,113 |
Ratios
| W:L ratio | 1 |
|---|---|
| Sharpe Ratio | -0.22 |
| Sortino Ratio | -0.33 |
| Calmar Ratio | 0 |
CORRELATION STATISTICS
| Correlation to SP500 | -0.00 |
|---|---|
| Return Percent SP500 (cumu) during strategy life | 499.9% |
| Return of Strat Pcnt - Return of SP500 Pcnt (cumu) | -36.2% |
Return Statistics
| Ann Return (w trading costs) | -0.6% |
|---|---|
| Return Pcnt Since TOS Status | 0.0% |
| Ann Return (Compnd, No Fees) | 0.0% |
Slump
| Current Slump as Pcnt Equity | 51.4% |
|---|---|
| Current Slump, time of slump as pcnt of strategy life | 1.0% |
Instruments
| Percent Trades Forex | 0.0% |
|---|---|
| Percent Trades Futures | 1.0% |
| Percent Trades Options | 0.0% |
| Percent Trades Stocks | 0.0% |
Automation
| Percentage Signals Automated | 0.0% |
|---|
Trading Style
| Any stock shorts? 0/1 | 0 |
|---|
Trades-Own-System Certification
| Trades Own System? | 0 |
|---|---|
| TOS percent | 0.0% |
Win / Loss
| Avg Loss | $2,113 |
|---|---|
| Avg Win | $1,749 |
| # Winners | 65 |
| Sum Trade PL (losers) | $114,100 |
| Sum Trade PL (winners) | $113,700 |
| Num Months Winners | 6 |
| # Losers | 54 |
| % Winners | 54.6% |
Dividends
| Dividends Received in Model Acct | 0 |
|---|
Age
| Num Months filled monthly returns table | 248 |
|---|
Frequency
| Avg Position Time (mins) | 2666.52 |
|---|---|
| Avg Position Time (hrs) | 44.44 |
| Avg Trade Length | 1.90 |
| Last Trade Ago | 7243 |
Regression
| Alpha | -0.01 |
|---|---|
| Beta | 0 |
| Treynor Index | 26.20 |
Maximum Adverse Excursion (MAE)
| MAE:Equity, average, all trades | 0.02 |
|---|---|
| MAE:Equity, 95th Percentile Value for this strat | 0.04 |
| MAE:Equity, average, losing trades | 0.02 |
| MAE:Equity, losing trades only, 95th Percentile Value for this strat | — |
| MAE:Equity, average, winning trades | 0.01 |
| MAE:Equity, win trades only, 95th Percentile Value for this strat | — |
| Avg(MAE) / Avg(PL) - All trades | -29.99 |
| MAE:PL (avg, all trades) | 0.14 |
| MAE:PL (avg, losing trades) | — |
| MAE:PL - Losing Trades - this strat Percentile of All Strats | 11.05 |
| MAE:PL - Winning Trades - this strat Percentile of All Strats | 31.21 |
| MAE:PL (avg, winning trades) | — |
| MAE:PL - worst single value for strategy | — |
| Avg(MAE) / Avg(PL) - Winning trades | 0.51 |
| Avg(MAE) / Avg(PL) - Losing trades | -1.17 |
| Hold-and-Hope Ratio | -0.03 |
RATIO STATISTICS
| a (intercept, estimate of alpha) | 0.10 |
|---|---|
| VAR (95 Confidence Intrvl) | 0.04 |
DRAW DOWN STATISTICS
| Max Equity Drawdown (num days) | 125 |
|---|---|
| Last 4 Months - Pcnt Negative | 0.0% |
Trading record
Placed 14 trades in real-life brokerage accounts.
| Symbol | Side | Qty | Opened | Closed | P/L |
|---|---|---|---|---|---|
| CL Z6 | long | 1 | Nov 6, 2006 | Nov 16, 2006 | ($3,508) |
| HO Z6 | long | 1 | Nov 3, 2006 | Nov 7, 2006 | $832 |
| HU X6 | long | 3 | Oct 9, 2006 | Oct 30, 2006 | $144 |
| CL Z6 | long | 2 | Oct 24, 2006 | Oct 30, 2006 | $1,084 |
| HO X6 | long | 2 | Oct 24, 2006 | Oct 27, 2006 | $866 |
| NG X6 | long | 1 | Oct 16, 2006 | Oct 27, 2006 | $15,242 |
| CL X6 | long | 1 | Oct 9, 2006 | Oct 20, 2006 | ($2,258) |
| HO X6 | long | 1 | Oct 9, 2006 | Oct 18, 2006 | $958 |
| NG X6 | long | 1 | Oct 9, 2006 | Oct 12, 2006 | ($8,208) |
| CL X6 | short | 2 | Oct 6, 2006 | Oct 9, 2006 | ($2,916) |
| HO X6 | short | 2 | Oct 6, 2006 | Oct 9, 2006 | ($4,804) |
| HU X6 | short | 2 | Oct 6, 2006 | Oct 6, 2006 | $803 |
| CL X6 | long | 2 | Sep 27, 2006 | Oct 2, 2006 | ($1,516) |
| HO X6 | long | 2 | Sep 27, 2006 | Oct 2, 2006 | ($1,402) |
| HO V6 | short | 2 | Sep 27, 2006 | Sep 27, 2006 | ($4,384) |
| HU V6 | short | 2 | Sep 27, 2006 | Sep 27, 2006 | ($4,048) |
| CL X6 | short | 2 | Sep 27, 2006 | Sep 27, 2006 | ($5,316) |
| HO V6 | long | 2 | Sep 25, 2006 | Sep 27, 2006 | ($1,360) |
| HU V6 | long | 2 | Sep 25, 2006 | Sep 27, 2006 | ($3,040) |
| CL V6 | long | 2 | Sep 25, 2006 | Sep 27, 2006 | ($16) |
| HO V6 | short | 2 | Sep 25, 2006 | Sep 25, 2006 | ($3,838) |
| HU V6 | short | 2 | Sep 20, 2006 | Sep 25, 2006 | ($4,258) |
| CL V6 | short | 2 | Sep 25, 2006 | Sep 25, 2006 | ($16) |
| CL X6 | long | 2 | Sep 18, 2006 | Sep 18, 2006 | $784 |
| HU V6 | long | 2 | Sep 18, 2006 | Sep 18, 2006 | $1,034 |
| CL V6 | short | 2 | Sep 13, 2006 | Sep 15, 2006 | $2,184 |
| CL V6 | short | 2 | Sep 13, 2006 | Sep 13, 2006 | ($2,016) |
| HO V6 | long | 2 | Aug 31, 2006 | Sep 5, 2006 | ($3,586) |
| CL V6 | long | 2 | Aug 31, 2006 | Sep 5, 2006 | ($3,116) |
| HU U6 | long | 2 | Aug 30, 2006 | Aug 31, 2006 | ($16) |
Past results are not necessarily indicative of future results.
These results are based on simulated or hypothetical performance results that have certain inherent limitations. Unlike the results shown in an actual performance record, these results do not represent actual trading. Also, because these trades have not actually been executed, these results may have under-or over-compensated for the impact, if any, of certain market factors, such as lack of liquidity. Simulated or hypothetical trading programs in general are also subject to the fact that they are designed with the benefit of hindsight. No representation is being made that any account will or is likely to achieve profits or losses similar to these being shown.