Surprising backtest results now available; geopolitics intervenes in the oil market

I got a response from iVolatility; their data includes futures options out through 2021, and I had missed that. Screening those out and just focusing on the current futures contract gave me the results I was expecting (i.e. all the same futures closing prices on the same day.)

I tried various parameters (delta of the short strikes, mainly) and was only able to show a small profit at best ($2200 over the 4 years 2016-2019) ... I did notice fairly extreme volatility especially in 2016 so decided to try adding a "swing trade" component.

Here's what I added:

• buy 1 /CL futures contract when the price goes below $40;
• sell 1 /CL futures contract when the price goes above $60;
• in either case, close the trade when $10000 profit target is reached

Running this 2016 to 2019 gives these results:

• $2270 profit on options trades
• $31470 profit on futures swing trades
• max drawdown was around $11000

I didn't exceptionally "curve fit" ... I could have shown better results and less of a drawdown choosing $35 or $30 as the point to go long ....

Now for the geopolitical component:

Iranian General killed by U.S. drone strike Friday

The /CL (West Texas Intermediate) went only to $63.04 on Friday ... the plan above would have it going short. I'd certainly have to watch it closely if I were to do this, or else wait and just use a limited-risk call spread until the situation is resolved. /CL is $1000 per point, so one can't let it get too far out without managing it!

I need one of these to be able to glance at overnight:

Ambient orb displays market data at a glance

More next week!