So I was trying to figure out a strategy that works for the Wisdom Tree Commodity ETFs on LSE. The best I found so far was a Cesar Alvarez mean reversion idea for stocks, that didn’t work at all when I typed it into my simulator. So I inverted it. When 5 day RSI > 65 then buy, and when 5 day RSI < 20 sell. Throw in some ranking to limit to the top 5 strongest in the past 10 session, add an ATR based stop and I get this, cherry picking 13 of the more interesting commodities as a backtest. It has 20% drawdowns and long tedious periods but it does catch some bigger moves and trades enough to have a decent sample size in a 4 year period. Long side only!
wins 92/209 (44.0%) ave win (17.1%) loss (-4.1%) win/loss 4.2 ave hold win 70.9d loss 15.0d time in 48.1% expect 1.28 sdloss 2.18 SQN 5.88
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