[idea] Fourth Natural Gas System #idea #natgas #101tradingideas

101 Trading Ideas:

Trading a Relationship, Trading a Geometry, Trading Fundamentals

 

A Simple Natural Gas System, End-of-Day:

Illustrates the idea of trading the relationship between Nat Gas and Crude Oil, trading economic fundamentals where Ten Year Notes are used as a proxy for the economy. Also illustrates trading a different geometry by trading a ‘box’ around recent prices in Ten Year Notes and moving boxes around Natural Gas and Crude Oil prices.

When economics are stable (Ten Year) and Crude and Natural Gas are repricing relative to each other, strategy expects the repricing to continue.

 

Buy Rules

Average close of last 9 days > Average close of prior 9 days

Average close of last 9 days of Crude Oil < Average close of prior 9 days of Crude Oil

Close of Ten Year Notes < Close 9 days ago of Ten Year Notes + 3 standard deviations

Close of Ten Year Notes > Close 9 days ago of Ten Year Notes – 3 standard deviations

 

 Sell Rules

Average close of last 9 days < Average close of prior 9 days

Average close of last 9 days of Crude Oil > Average close of prior 9 days of Crude Oil

Close of Ten Year Notes < Close 9 days ago of Ten Year Notes + 3 standard deviations

Close of Ten Year Notes > Close 9 days ago of Ten Year Notes – 3 standard deviations

Exit Rules

After 5 days, or

On reversing signal

Results, 2006-p:

108/192 wins/trades: 52%

Avg trade: $0.075

z score: 3.0

profitable 9 of 11 years

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