Trading NYMEX (Crude Oil) Like a Quant: 55% Annual Return

Quant Daniel HaiStrategy 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). results The results are an annual return of 55.5% with a sharpe ratio of 1.76 and an annual standard deviation of 22.3%.

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I Know First Hedge Fund Simulation: 39.5% Return in 7 Months

Starting with an equity of $10,000 on July 1st 2014 the simulation trades until February 1st 2015 when equity hits $13,942 for a staggering 39.42% return in just 7 months
  • I Know First hedge fund simulation -> 39.42%
  • I Know First stock simulation ->47.54%
  • I Know First interest rates simulation -> 32.27%
  • I Know First G10 currencies simulation -> 11.00%
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Plains All American Pipeline Stock Forecast: Use The Current “Fiasco” As An Entry Point (PAA)

Summary

  • The recent earnings report and oil spill inpaa stock forecast California have caused Plains’ stock price to drop, presenting an interesting investing opportunity.
  • Midstream MLPs such as Plains are attractive investment choices in the energy sector due to their limited exposure to volatile oil prices.
  • Oil rig counts are expected to start increasing during the second half of the year, and the company expects to meet its earnings estimates from February for the current fiscal.
  • I Know First Predictive Algorithm is bullish on Plains for the second half of 2015 and beyond.
Plains All American Pipeline L.P. (NYSE: PAA) is a midstream MLP (master limited partnership) that engages in the transportation, storage, and marketing of crude oil. While recent events have caused the stock price to dip, the company's overall health is still strong and the dip in the stock price is an overreaction. The stock price will recover, making now a great time to invest in this company.

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Top Stocks Based on Algorithms: Up to 12.63% Return in 14 Days

Package Name: Top 10 Stocks
Forecast Length: 14 days (5/12/2015 – 5/26/2015)
I Know First Average: 2.56%
 

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top 10 stocks

Trade Simulator – March, 2015 (Algorithmic Hedge Fund Simulation)

OVERVIEW

I Know First systematic hedge funds specialize in algorithmic trading according to the best market opportunities available on a daily basis. The market scanning is done on a nightly for over 6 markets and 2000 financial assets, through which we determine the best opportunities before the market opens the next morning. Good investments are often replaced by even better ones in order to ensure the portfolio performs at a constant optimum. The funds can trade according to any parameters and filters; moreover, they are generally market neutral. logo good quality

SWING TRADING FUND - PERFORMANCE HIGHLIGHTS

  • The swing trading nature of the fund involves a higher annual volatility of 11.1%, which is more than compensated by the expected annual return of 69.3%.
  • I Know First’s performance to risk ratio (Alpha) is 6.08, and represents one of the highest figures in the algorithmic trading industry.
  • While most algorithmic trading focuses on seconds to milliseconds (high frequency trading), I Know First scans the markets for longer horizons and is able to invest from the 1 day – 1 year investment horizons profitably.
  • In December 2014 and January 2015, when the S&P500 dropped by -0.42% and -3.10%,  I Know First had a monthly return of 7.18% and 7.71% respectively.  In March 2015 as the S&P500 dropped -1.74%, the I Know First fund had its highest return to date of 8.76%.

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XPO Stock – Quick Win: 17.72 % Gain In 14 Days

XPO Stock

XPO Logistics, Inc. was a top stock pick based on predictive algorithm recommended to I Know First subscribers on May 3rd for the 14-Day time horizon. XPO had a signal of 34.34 and a predictability of 0.12. In accordance with the algorithm, the company reported short-term capital gains of 17.72%.
XPO Logistics, Inc. was part of the stock forecast that can be found in the “Top 10 Stocks” Package.
The full Top 10 Stocks forecast includes a daily prediction for a total of 20 stocks with bullish and bearish signals:
  • top ten stocks picks to long
  • top ten stocks picks to short
  • S&P 500 forecast
XPO quickwin

SID Stock – Quick Win: 88.05% Gain In 3 Months

SID Stock

Companhia Siderurgica Nacional was a top stock pick based on predictive algorithm recommended to I Know First subscribers on February 1st for the 3-Month time horizon. SID had a signal of 370.73 and a predictability of 0.31. In accordance with the algorithm, the company reported short-term capital gains of 88.05%.
Companhia Siderurgica Nacional was part of the stock forecast that can be found in the “Top 10 Stocks” Package.
The full Top 10 Stocks forecast includes a daily prediction for a total of 20 stocks with bullish and bearish signals:
  • top ten stocks picks to long
  • top ten stocks picks to short
  • S&P 500 forecast
sid quick win
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