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

July 16, 2015

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%.

Read More

Algorithmic Articles Algorithmic Performance