[101 Trading Ideas] Natural Gas and Camouflage #strategy #natgas #101tradingideas

This strategy is another example of using 101 Trading Ideas to find alpha – this strategy is based on an idea triggered by ‘Camouflage’.

101 Trading Ideas:

#58 Camouflage

Triggered Idea:

How does the market camouflage moves in natural gas?

From Triggered Idea to Trading Strategy:

What happens when crude oil and natural gas move in opposite directions? Camouflage or signal?

Long Rules:

the close of natural gas is higher then the close of natural gas 5 days ago

the close of crude oil is lower than the close of crude oil 5 days ago

then buy natural gas

Short Rules:

Opposite long rules


After 5 days

Nat Gas and Crude

Results (2007-p)

trades: 389

w/l: 55%,  214/389

avg trade: 0.03 pts

z: 2.15

profitable 6 of 10 years

Notes and Next Steps:

See also, Crude Oil #2 in 101 Trading Ideas for a similar idea. Maybe combine the two to bring the drawdown in.

A rough draft, alpha hunt idea. Not a complete strategy.

There is risk in trading. Most strategies degrade when moving from in-sample backtests to out-of-sample live markets. Be careful.

101 Trading Ideas:

This strategy idea was triggered by 101 Trading Ideas, A Magical List for Fast-Paced Alpha Hunting. It turns out that ideas are like the old-fashioned game of telephone – when the List says one thing, you hear a more personal, interesting trading idea. As you scan the List while thinking of the markets, when you pause, when you find yourself thinking “What if…” that is your idea! Try it, test it, find your alpha. It’s as easy as Scan, Pause, Idea, Scan, Pause, Idea.

More info on the book here. The book is available on Amazon in print and for Kindle.

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