Algorithmic Strategy: 5 Day SMA Systematic Trading
With today's advancements you can easily transform your I Know First signals into a systematic trading strategy. What once took large investments into back testing environments and some advanced coding knowledge can now easily be learned and done online. In this tutorial I will cover how to build your first algorithm using a historical data file and QuantConnect. The strategy trade USO (Oil ETF) based on our CL1 forecast - a part of the commodities forecast. You can follow me step by step to make the code or simply copy it into your QuantConnect account ! You can easily transition from back testing to live trading with just one click using the brokers supported by the platform. Enjoy.
Trading NYMEX (Crude Oil) Like a Quant: 55% Annual Return
Strategy for maximizing profits trading a single commodity.
Author: Daniel Hai
While I strongly believe in good portfolio diversification I want to discuss trading a single commodity in this post, NYMEX Crude Oil futures which I Know First tracks as CL1 in the commodities forecast. The strategy is unique in that is uses the long term signal to trigger a decision; however the shortest term signal (3 Days) us used to actually execute it. First of all the results are listed below. For testing I use the QuantConnect Lean Engine which is free and open (highly recommended). As they currently dont support futures I use the United States Oil ETF (USO).
The results are an annual return of 55.5% with a sharpe ratio of 1.76 and an annual standard deviation of 22.3%.Read More
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