There indeed are many interesting and simple edges in the market.

In this short post, I just wanted to share an interesting discovery I made.

Yesterday I started experimenting with a few setups. Soon I found that one of the setups worked very well on the Lean hogs futures market (LH), but worse on another related market. In fact. once reversing the logic, it worked as well on the related market as it had on LH.

This led me to test the related market as a secondary datastream, and much to my delight, using the reversed setup on the secondary datastream produced very nice results when coupled with the original setup on the LH market.

Here is what I managed to build.

(with slippage $40 round turn)

Intermarket Strategy

Intermarket Strategy

 

Now, I don’t know if this will hold, or if I just curvefit the strategy. That will reveal itself later when I run it through our robustness testing criteria.

However, I found something I think is even better…

Broadening the Search to the Gold Market

As you always should do, I tested my idea on a rather different commodity, namely the gold futures market.

I loaded up the gold futures contract (GC) as my first data stream, and another related market in the same market category as the second datastream.

Once again to my delight, the same edge showed merit there too.

Here is what I managed to build:

(with slippage $60 round turn)

Edge in Gold

Edge in Gold

The strategy goes both long and short, and works well with nearly any parameter settings. This, and the fact that the idea is so simple, makes me quite confident in the strategy!

So, what will I do now?

Well, I will robustness test the strategy to ensure that it really works.

And then, of course, I will continue to test this very idea on more markets! Many times when you find one thing that works, you can build strategies with it on more markets as well!

That’s all for now! Happy Trading!

If you want to read more about this type of trading, you should have a look at our guide to algorithmic trading! We dare to say that it’s the most comprehensive free resource on the topic you will find online!

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